台灣上市上櫃商業銀行股多因子模型實證研究

Abstract

歷年來對於銀行經營績效與股價分析的研究不在少數，本研究沿用CAMEL銀行經營原則，運用客觀的計量統計方法，以台灣商業銀行股作樣本，篩選出具顯著性的基本面影響因子來作實證研究，並明確指出影響因子為何，及其對超額報酬的影響程度。本研究分為三個階段:第一階段依據銀行經營原則與前人研究整理出一套客觀評估銀行經營能力的財務指標，第二階段則以因素分析作初步篩選，第三階段則利用上階段之篩選變數，探討這些代表銀行經營能力的財務比率變數與其股價超額報酬的關係，研究樣本取自上市上櫃銀行1999年至2005年共27季的資料。 研究結果發現，全體樣本銀行多因子實證中，以負債比率、備抵呆帳準備率、營業費用率、資產與市值四項變數較能解釋銀行股超額報酬; 非隸屬金控銀行的實證發現，以負債比率、備抵呆帳準備率、存放款利差、資產週轉率、放款貼現成長率、淨值成長率與市值較顯著，且模型解釋能力最高。金控子銀行在併入金控前，以存款成長率和資產規模較能解釋股價超額報酬，在併入金控後則以逾放比率、稅前淨利率與市值較能解釋股價。初步來看，本研究的多因子實證對台灣上市上櫃商業銀行股有一定的解釋力。

Previous studies have discussed the valuation of bank performance and the prediction of the stock return. This study gives an empirical example for Taiwan listed and OTC commercial banks. Using CAMEL principals, we sort the fundamental factors and indicate significant variables by econometric and statistical methods. The research is organized as following three part: part I develops a objective set of financial indexes to evaluate the performance of the sample banks according to CAMEL and former studies. Part II sifts preliminary by factor analysisis. Part III discusses the relationship between the sorted financial indexes and stock return. Quarterly data are employed in this study between Jan. 1999 and Sept. 2005 on the Taiwan listed and OTC commercial banks. We discover that the debt ratio, the bad debt ratio, operating expenses ratio , total asset, and market value can be used to present the performance of all the sample banks from 1999 to 2005. In the model of non-financial holding banks, the debt ratio, the bad debt ratio, the interest spread, total asset turnover, the growth rate of loan, net assets growth ratio and the market value are significant and get the highest explanation power . Growth rate of deposit and total asset can be applied to explain the stock excess return of financial holding banks before mergered, while the rate of overdue, earning before tax and market value work well after merged. This empirical result suggests that study of multi-factor could be adopted in Taiwan.