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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94675


    Title: 公司內部價值之衡量對未來股價報酬率的影響
    The intrinsic value of MSCI Taiwan index
    Authors: 涂宗廷
    Tu, Zong-Ting
    Contributors: 郭維裕
    涂宗廷
    Tu, Zong-Ting
    Date: 2002
    Issue Date: 2016-05-09 11:27:38 (UTC+8)
    Abstract: 本研究的目為衡量公司之內在真實價值，以摩根史坦利台灣股價指數成分股(MCSI Taiwan Index)為研究標的，並從基本面來檢視公司的市場價格是否被低估或高估，我們將以公司的市場價格與內在價值來建構一預測性指標－內在價值價格比(V/P)，研究其對公司未來股價報酬率的影響。從我們的實證研究結果發現，市場分析師對公司的預測資訊將有助於投資人精確地衡量內在價值，且內在價值價格比能夠預測未來6至12個月間的平均股價報酬率，越高的比率預測未來的報酬率也越高，然而以會計上的歷史資料所構建的傳統預測性指標，除了盈餘價格比(E/P)對未來股價報酬的預測仍有顯著性之外，帳面價值價格比(B/P)與股利價格比(D/P)都沒有預測能力。
    We provide an empirical assessment of the residual income valuation model bases on analyst forecast data in Taiwan stock market. At the same time, we model the times-series relation between stock price and intrinsic value as a co-integrated system. In this framework, we compare the performance of alternative estimates of intrinsic value for the component stocks of MSCI Taiwan Index. According to our results, analyst forecasts are good sources for us to estimate the intrinsic values of companies. Intrinsic value-to-price and earning-to-price ratios are reliable predictors of market returns over longer horizons. However, traditional value benchmarks such as book value-to-price and dividend-to-price ratios have little predictive power for returns in Taiwan stock market.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    89351035
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G91NCCU2712012
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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