財務危機模型之規模、淨值市價比及動能與報酬之關聯

The Relationship between Size, Book to Market Ratio, Momentum and Return on Financial Distress Models

陳信憲(Bryan H. Chen)；呂羽茜(Yu-Qian Lu)

財務危機模型 ； 規模效應 ； 淨值市價比 ； 動能 ； Financial Distress Models ； Size Effect ； Book to Market Ratio ； Momentum

企業管理學報

84期（2010 / 03 / 01）

107 - 141

繁體中文

本研究主要探討以臺灣上市公司為樣本，研究樣本期間為2000年1月到2008年12月，在採用兩種不同財務危機模型建構下，區分出有高財務危機與低財務危機的公司，並且探討Z-score及O-score的規模、淨值市價比、動能與報酬的關聯。研究結果中發現無論在採用何種財務危機模型區分，且在控制規模或淨值市價比下，高財務危機公司的報酬皆小於低財務危機公司，表示市場對於高財務危機公司存在反應不足的現象。此外低財務危機或高財務危機皆會有動能的持續現象，而在迴歸分析中也可發現高財務危機公司會有持續較低的動能現象。顯示出臺灣股票市場對於壞消息存在反應不足的現象，導致股價無法反映真實價值，建議投資人應以低財務風險的投資組合較佳。

This study used the listed companies in Taiwan as samples. The research sample period was from January 2000 to December 2008. Two different models were used to detect the financial distress, including the Z-score and O-score models. We found that the Taiwan stock market is underreacted to bad news; therefore, it does not reflect the true value of the market. Consequestly, we recommend investors better construct investment portfolios of low financial risk.

1. 李春安、羅永進、蘇永裕(2006)。動能策略報酬、投資人情緒與景氣循環之研究。財務金融學刊，14(2)，73-109。
   連結：
2. 陳業寧、王衍智、許鴻英(2004)。臺灣企業財務危機之預測：信用評分法與選擇權評價法。風險管理學報，6(2)，155-179。
   連結：
3. Agarwal, V.,R. Taffler(2008).Does Financial Distress Risk Drive the Momentum Anomaly?.Financial Management,39,461-484.
4. Agarwal, V.,R.J. Taffler(2007).Twenty-five Years of the Taffler Z-score Model: Does it Really Have Predictive Ability?.Accounting & Business Research,37(4),285-300.
5. Altman, E.I.(1968).Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy.Journal of Finance,23,598-609.
6. Avramov, D.,T. Chordia,G. Jostova,A. Philipov(2007).Momentum and Credit Rating.Journal of Finance,62,2503-2520.
7. Banz, R.W.(1981).The Relationship between Return and Market Value of Common Stock.Journal of Financial Economics,6,103-126.
8. Barberis, N.,A. Shelifer,,R. Vishny(1998).A Model of Investor Sentiment.Journal of Financial Economics,49,307-343.
9. Basu, S.(1983).The Relationship between Earnings Yield, Market Value, and Return for NYSE Common Stocks: Further Evidence.Journal of FinancialEconomics,12,129-156.
10. Chan, K.C.,N.A. Chen(1991).Structural and Return Characteristics of Small and Large Firms.Journal of Finance,46,1467-1484.
11. Daniel, K.,D. Hirshleifer,A. Subrahmahyam(1998).Investor Psychology and Security Market Under- and overreactions.Journal of Finance,53,1839-1886.
12. Daniel, K.,S. Titman(1999).Market Efficiency in an Irrational World.Financial Analysts Journal,55,28-40.
13. Dichev, I.D.(1998).Is the Risk of Bankruptcy a Systematic Risk.Journal of Finance,53,1131-1147.
14. Fama, E.F.(1970).Efficient Capital Markets: A Review of Theory and EmpiricalWork.Journal of Finance,25,383-417.
15. Fama, E.F.,J.D. MacBeth(1973).Risk, Return, and Equilibrium: Empirical Tests.Journal of Political Economy,81,607-636.
16. Fama, E.F.,K.R. French(1992).The Cross- section of Expected Stock Returns.Journal of Finance,7,427-465.
17. Fama, E.F.,K.R. French(1998).Value versus Growth: The International Evidence.Journal of Finance,6,1975-1999.
18. Fama, E.F.,K.R. French(1995).Size and Book-to-Market Factors in Earnings and Returns.Journal of Finance,50,31-155.
19. Fama, E.F.,K.R. French(1996).Multifactor Explanations of Asset Pricing Anomalies.Journal of Finance,51,55-84.
20. SSRN Working Paper
21. Griffin, J.M.,M.L. Lemmon(2002).Book-to-Market Equity, Distress Risk, and Stock Returns.Journal of Finance,57,2317-2336.
22. Jegadeesh, N.,S. Titman(1993).Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.Journal of Finance,48,65-91.
23. Jegadeesh, N.,S. Titman(2001).Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.Journal of Finance,56,699-720.
24. Kaplan, S.N.,L. Zingales(1997).Do Investment Cash Flow Sensitivities Provide Useful Measure of Financing Constraints.Quarterly Journal of Economics,12,169-215.
25. Lamont, O.,C. Polk,J.S. Requejo(2001).Financial Constraints and Stock Returns.Review of Finance Studies,14,529-554.
26. Lintner, J.(1965).The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.Review of Economics and Statistics,47,13-37.
27. Maria, M.,Y. Xing(2004).Default Risk in Equity Returns.Journal of Finance,59,831-868.
28. Ohlson, J.A.(1980).Financial Ratios and the Probabilistic Prediction of Bankruptcy.Journal of Accounting Research,18,109-131.
29. Rosenberg, B.,K. Reid,R. Lanstein(1985).Persuasive Evidence of Market Inefficiency.Journal of Portfolio Management,11,9-17.
30. Sharpe, W.F.(1964).Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.Journal of Finance,19,442.
31. Taffler, R.J.(1983).The Assessment Company Solvency and Performance Using a Statistical Model.Journal of Accounting Research,18,109-131.
32. 古永嘉、李鑑剛(1998)。臺灣股票市場報酬率之橫斷面與縱斷面混合分析。輔仁管理評論，5(1)，77-96。
33. 吳文清譯(1995)。財務報表分析之理論、運用與解釋。臺北:臺灣西書出版社。
34. 李春旺、劉維琪、高孔廉(1989)。股價行為與規模效應: 臺灣股票市場實證研究。管理評論，99-121。
35. 黃振豐、呂紹強(2000)。企業財務危機預警模式之研究－以財務及非財務因素建構。當代會計，1(1)，19-40。

1. 陳婉綺、李國榮、呂素蓮(2016)。探討違約風險與系統風險之關聯性。企業管理學報，111，99-118。
2. 蘇郁升、林佳靜(2015)。低本益比選股策略之投資績效評估。管理資訊計算，4(2)，138-158。