公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究

An Empirical Study on the Relationship between Stock Return and Firm Size, Stock Price, Price-to-earnings, and Book-to-market

10.6656/MR.2002.21.3.CHI.25

洪榮華(Jung-Hua Hung)；雷雅淇(Angel Lei)

公司規模 ； 益本比 ； 淨值市價比 ； Size ； P/E ratio ； M/B ratio

管理評論

21卷3期（2002 / 01 / 01）

25 - 48

繁體中文

本研究旨在探討臺灣股票上市公司之規模、股價、益本比以及淨值市價比與股票報酬間之關係。經由變異數分析、相關分析及迴歸分析後，本研究發現：1.單獨使用變數解釋股票超常報酬時，台灣股票市場存在規模、淨值市價比、低股價與益本比等效應。然而，益本比效應只存在益本比為正的時候，而益本比為負的股票具有顯著高超常報酬；2.利用變數相互控制進行一因子及兩因子變異數分析時，在控制其他變數之後，只有股價對股票超常報酬最具有顯著解釋力；3.進行變數與超常報酬相關分析時，股價及淨值市價比對超常報酬之相關係數正負方向較一致，不會隨時間而改變，其中以股價的相關較強；4.複迴歸分析結果顯示，股價是對股票超常報酬最有解釋力的變數，而逐步迴歸分析結果亦相同。

We examine the relationship between stock return and firm size, stock price, price-to-earnings and book-to-market for a sample ranging from 48 listed firms in 1982 to 244 listed firms in 1998. We find that the sample after 1988 has more significant effects of size, stock price, P/E and M/B. We also find that stock price has the most significant influences on stock return when we do variance analysis by controlling other variables step by step. Finally, the results of both multiple regression analysis and stepwise regression show that stock price explains stock return the most.

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