本益比是衡量股票價值的投資指標,是一種易於了解且好用的方法。在許多研究中,常常發現有「本益比效果」存在,所謂「本益比效果」是指低本益比的投資組合,比隨機投資組合及高本益比的投資組合,含有較高的報酬。本論文是探討臺灣上市公司之股票,其益本比與超額報酬率之關係。另外,在不同期間及不同產業下,益本比與超額報酬率的關係又是如何,是否有所差別?最後,再加上營業成長率、毛利率及公司規模三個自變數,以研究這些自變數對超額報酬率的影響。
經由民國七十五年一月至民國八十五年十二月之季資料,以迴歸分析法實證研究後,歸納出以下結論:
一、預期益本比、歷史益本比與超額報酬率呈現正相關。
二、在上漲期間,對超額報酬率的解釋力,以預期益本比最強。在下跌期間,以歷史益本比最有解釋力。
三、在大部份的產業下,預期益本比與超額報酬率仍呈正相關。
四、成長率、公司規模對超額報酬率並沒有顯著的相關性,而毛利率與超額報酬率的關係,呈現負相關。 / P/E ratio is an understandable and useful indicator to measure stock price. Many researches have demonstrated the effect of P/E ratio that reflects high return resulting from a low-P/E ratio rather than from a high-P/E ratio or random one. The essay discusses the relationship between E/P ratio and excess return in Taiwan stock market. In addition, the causes and effects of E/P ratio and excess return in different industries and different periods are also verified. At last, I will discuss excess return as a function of the growth rate, the gross profit rate and the scale of an organization.
Via the information from Jan. 1986 to Dec. 1996 and the regression analysis, I conclude that:
1.The expected E/P ratio, historical E/P ratio and the rate of excess return are positively related.
2.The expected E/P ratio is more persuasive to a bull market. Nevertheless, historical E/P ratio is more persuasive to a bear one.
3.In most industries, expected E/P ratio and excess return are positively related.
4.The relationship between excess return and the growth rate as well as the scale of a organization is not significant. Gross profit rate and excess return are negatively related.
Identifer | oai:union.ndltd.org:CHENGCHI/B2002002125 |
Creators | 祝豪傑 |
Publisher | 國立政治大學 |
Source Sets | National Chengchi University Libraries |
Language | 中文 |
Detected Language | English |
Type | text |
Rights | Copyright © nccu library on behalf of the copyright holders |
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