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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/117017
    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/117017


    題名: 企業乘數與股價報酬之台灣實證研究
    Does enterprise multiple predict stock returns? An empirical evidence in Taiwan
    作者: 錢昭豪
    Chien, Chao Hao
    貢獻者: 屠美亞
    錢昭豪
    Chien, Chao Hao
    關鍵詞: 企業乘數
    資本報酬率
    投資組合績效
    Enterprise multiple
    Return on invested capital
    Portfolio performance
    日期: 2018
    上傳時間: 2018-05-02 15:46:34 (UTC+8)
    摘要: 本研究以1992年至2017年計19,710筆台灣上市櫃公司為樣本,探討以企業乘數與資本報酬率為指標形成投資組合的績效表現與可行性。研究發現單純以低企業乘數指標組成的投資組合表現最佳,且能長期打敗大盤;以低企業乘數與高資本報酬率的綜合指標形成的投資組合表現次佳;而單純以高資本報酬率為指標形成的投資組合表現最差,且長期劣於大盤表現。研究結果亦包括企業乘數投資組合可以創造出顯著的超額報酬(Alpha),且其優異的表現可以歸因於投資人對於企業的未來盈餘表現預期錯誤,造成市場暫時出現錯誤定價的現象。
    We employ Taiwan’s listed companies from 1992 to 2017 as a sample to examine the performance and feasibility of forming a portfolio based on enterprise multiple and return on invested capital. We find that the portfolio which consists solely of low enterprise multiple stocks outperform the market in the long run; the portfolio formed by composite indicators of low enterprise multiple and high return on invested capital beats the market as well; while the pure high return on invested capital portfolio underperforms. We also find that the low-minus-high enterprise multiple portfolio generates Fama-French alpha, and its excellent performance can be attributed to investors' expectation errors of the company's future earnings performance, resulting in temporary market mispricing.
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    描述: 碩士
    國立政治大學
    財務管理研究所
    104357026
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104357026
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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