台灣股票市場超額報酬率與風險、規模、價值、動能之關係—考慮持有時間與產業的差異

Abstract

本研究使用多元迴歸分析，探討市場β值、市值、股價淨值比、股價營收比、現金股利率、本益比、動能、落後6個月動能與落後12個月動能，共9個指標是否能夠預測台灣股市持有時間1、6、9，與12個月的個股超額報酬率。並把公司分為上市公司、下市公司、上櫃公司、21個產業、傳統製造業、高科技製造業、知識密集服務業、傳統服務業，與文化創意產業。實證結果顯示，無論持有時間長短，上市公司的市場β值、股價營收比，與本益比皆無法預測超額報酬率；股價淨值比與落後12個月動能皆能反向預測超額報酬率；現金股利率與動能皆能正向預測超額報酬率；持有時間6、9，與12個月的市值與落後6個月動能皆能反向預測超額報酬率。持有時間愈長，9個指標對超額報酬率整體的解釋能力愈高。下市公司的規模效應較顯著，但不存在價值效應與動能持續性。21個產業的9項指標對超額報酬率的影響程度皆非全然相等。電子業與高科技製造業的本益比能夠反向預測超額報酬率，且動能持續時間較短。上櫃公司不存在價值效應。上市公司的成長股在投資形成前的超額報酬率較高、成長率較高，成長率的成長率也較高，但投資形成後超額報酬率較低。與上市公司不同，上櫃公司的成長股成長率和成長率的成長皆較低，在投資形成前後超額報酬率則無顯著地較高或較低。

In this paper, I use multiple regression to examine whether market β, market value, market-to-book ratio, price-to-sales ratio, price-to-earning ratio, cash dividend yield, momentum, lag 6 months momentum, and lag 12 months momentum, totally 9 variable, can predict stock excess returns in Taiwan stock market when holding period is 1, 6, 9, and 12 months. I also categorize companies into listed companies, unlisted company, listed companies in OTC, 21 industries, traditional manufacture, high-tech manufacture, knowledge-intensive business service, tranditional service industry, cultural and creative industry. Empirical results show that no mater holding period is short or long, market β, price-to-sales ratio, and price-to-earning ratio have no prediction power over excess returns; market-to-book ratio and momentum have positive prediction power over excess returns; cash dividend yield and lag 12 months momentum have negative prediction power over excess returns; market value and lag 6 months momenturm have negative prediction power over excess returns when holding period is 6, 9, and 12 months. The longer the holding period , the more overall prediction power which the 9 variable have over excess returns. there are more significant size effect but no value effect and momentum continuity in unpublic companies. price-to-earning ratio has negative prediction power over excess returns and momentum last longer in electronic industry and high tech manufacture. There are no value effect in listed companies in OTC. Listed companies’growth stocks have higher excess returns, growth rate, and the growth of growth rate before investiment, but lower excess returns after investment. Unlike listed companies, growth stocks of listed companies in OTC have lower growth rate and the growth of growth rate before investiment, but no significant higher or lower excess returns before and after investiment.