標題: 台灣上市公司盈餘與股價關係之探討
Association within earning and stock price of public company in Taiwan
作者: 蔡友福
Tsai Yu Fu
巫永森
Wu Yong Sen
經營管理研究所
關鍵字: 盈餘;股價;上市公司;earning;stock price;public company
公開日期: 1999
摘要: 本研究的主要目的在於實證台灣股票市場中,盈餘與股價是否具有顯著的關聯性。不同的產業間,關聯性是否會有所差異。本文旨在實證台灣股市盈餘與股價間,是否具有顯著的關聯性。 研究方法為針對低波動性與高波動性,低波動性、低周轉率與高波動性、高周轉率之個股樣本做一比較,驗證波動性與周轉率較低之個股,其盈餘與股價關聯性是否更為顯著。 本文所得到的結論如下: 1. 以全體個股樣本分析下,顯示台灣股市整體而言,盈餘與股價關聯性並不顯著,盈餘約可解釋股價變動的3.5%2. 台灣股市中,波動性較低的個股,其盈餘與股價之關聯性較波動性較高之個股為強,在排除波動性較高之個股 後,盈餘約可解 釋股價變動的4.7%。 3. 台灣股市中,波動性與周轉率較低之個股,其盈餘與股價之關聯性較波動性與周轉率較高之個股為強,在排除 波動性與周轉率 較高之個股後,盈餘約可解釋股價變動的17.7%。 4. 以全體個股為樣本時,以水泥業、塑膠業、造紙業、金融業之盈餘與股價關聯性較強,其盈餘解釋股價變動都 在20%以上。 5. 在考慮低波動性、低周轉率的因素之下,能提升各產業盈餘與股價之關聯性。其中水泥業、食品業、汽車業、 觀光業、百貨業、其他業之盈餘解釋股價變動在30%以上,而紡織業、化工業、電子業、金融業之盈餘解釋股 價則在20%左右。 6. 在年度別分析中,以低波動性、低周轉率之個股樣本的R2為最高,顯示台灣股市就整體而言,以波動性與周轉 率區隔個股樣本,可以得到盈餘與股價關聯性較為顯著的結果。 7. 在產業別分析中,大部份的產業之低波動性、低周轉率的部份,其R2明顯較高,顯示台灣股市各產業中,以波 動性與周轉率區隔樣本後,能得到盈餘與股價之關聯性較為顯著的結果。
The main objective of this research is to prove there is conspicuous association within earning and stock price in stock market, and different association is different industry. This research compare low fluctuation, low turnover and high fluctuation, high turnover to prove low fluctuation and turnover's more conspicuous. The following is concluding: 1. Under using all sample, there is no obvious association within earning and price to all stock market. The R2 is 3.7%. 2. Association of low fluctuation within earning and price is more obvious than high fluctuation. The R2 is 4.7%. 3. Association of low fluctuation and low turnover is more obvious than high fluctuation. The R2 is 17.7%. 4. Using all sample, association within earning and price of Cement industry, Plastic industry, Paper & pulp industry, and Bank & Insurance industry is more than 20%. 5. Under low fluctuation and low turnover, association of Cement industry, Food industry, Automobile industry, Tourism industry, Department store industry, and other industry is more than 30%. Association of Textile industry, Chemical industry, Elec industry and Bank & Insurance industry is more than 20%. 6.In year analysis, R2 of low fluctuation and low turnover is most obvious. 7.In industry analysis, R2 of low fluctuation and low turnover is most obvious.
URI: http://140.113.39.130/cdrfb3/record/nctu/#NT880457056
http://hdl.handle.net/11536/66000
顯示於類別:畢業論文