剩餘盈餘評價模型應用在台灣晶圓代工產業之個案研究

Abstract

本研究係探討臺灣股票市場評價誤差與資訊不對稱之關聯性，同時衡量企業內含價值估計以及資訊不對稱，在外資機構法人與國內機構法人間是否存在顯著差異，以上市、櫃3大晶圓代工公司為樣本，並以2012年為研究期間。 本研究採用剩餘盈餘評價模型作為衡量企業內含價值(Intrinsic Value)之基準，載入5家外資機構法人及3家國內機構法人所預估之每股盈餘及每股股利，並將折現率按不同風險溢酬分為3種可能方案，再將模型中未來年度之剩餘盈餘固定永續成長率細分為5種可能方案，總計共15種可能方案加以探討不同因素變化下企業內含價值之變化幅度，同時藉由比較企業內含價值與市場價格之差異，衡量該公司評價誤差幅度。而資訊不對稱方面，則採5家外資機構法人及3家國內機構法人，在2012年第1季，針對相同晶圓代工公司預估之目標價，以極端值差異幅度作為資訊不對稱幅度之代表。 研究結果發現，(一) 評價誤差與資訊不對稱呈現正相關：在15種評價誤差不同可能方案中，高達10種方案其評價誤差與資訊不對稱結果呈現高度正相關；(二) 資訊不對稱方面：實證發現，樣本公司資訊不對稱幅度大小依序為聯電、台積電、世界先進；(三) 評價誤差方面：評價誤差幅度按15種可能方案而有不同結果，以評價誤差及資訊不對稱結果相關性顯著之組合而言，評價誤差幅度較大者為聯電，幅度較小者為台積電；(四) 在5種不同剩餘盈餘永續成長率可能方案中，僅有2種方案下的聯電與世界先進，外資法人與國內法人評價有明顯差異，而在資訊不對稱的比較上，外資法人的差異幅度則顯著高於國內法人。

The thesis aims to find the correlation between mispricing and asymmetric information in Taiwan Stock Market. The dataset employed in this essay is acquired from Taiwan IC foundry companies, including listed and OTC. The period under analysis is focused on the year 2012. The study takes Residual Earnings Model as a valuation way to reflect the intrinsic value of the IC foundry companies, and evaluate the ranges of intrinsic values combining with 3 scenarios of different risk premiums and 5 scenarios of different residual earning growth rates. The difference between the market price and the intrinsic value determines the mispricing level, and the difference between the 12-month target prices forecasted by 5 foreign institutional investors and 3 local institutional investors determines the asymmetric information level. The conclusions are drawn as follows. (1) Mispricing does positively related to asymmetric information：There are 11 scenarios showing obviously positive correlation between mispricing and asymmetric information within 15 kinds of scenarios in total. (2) In terms of asymmetric information：Asymmetric information level in descending order is UMC、TSMC、Vanguard that the empirical results show. (3) In terms of mispricing：Descending order of mispricing level depends on different kinds of scenarios. Overall for the IC foundry companies, UMC has much severer mispricing level and TSMC has lower mispricing level under those scenarios that shows significantly positive correlation between mispricing and asymmetric information. (4) In terms of different valuation price and asymmetric information level between foreign institutional investors and local institutional investors: Only UMC and Vanguard have obviously difference price under 2 scenarios of residual earning growth rates, and asymmetric information level under foreign institutional investors is higher than local institutional investors.