價值型與成長型股票－錯誤評價、成長與風險

Value versus growth stocks: Mispricing, growth, and risk

吳貞和(Chen-Ho Wu)

價值－成長股 ； 市價淨值比 ； 錯誤評價 ； 成長 ； 風險 ； value-glamour stocks ； market-to-book ratio ； mispricing ； growth ； risk

東海管理評論

20卷1期（2018 / 07 / 01）

51 - 95

繁體中文

本研究將市價淨值比拆解為錯誤評價因子、會計保守因子與成長價值因子等三項組成，其中，Penman and Zhang（2016）指出，根據會計保守原則，當不確定性越大，會計處理會越保守（如盈餘會延後認列與支出立即費用化等），因此會計保守程度具有風險資訊，另外，Zhang（2005）的投資q理論則是認為，成長價值能反映未來風險，風險越低、成長（投資）價值越高。因此，經由市價淨值比的三項組成，本研究同時直接驗證風險與錯誤評價對於市價淨值比效應的影響。實證發現，市場錯誤評價是市價淨值比最主要的組成，然而，低市價淨值比（價值型）股受市場錯誤評價的影響最大，高市價淨值比（成長型）股除了反映較高的成長價值外，與（低）風險有較高的關聯。市價淨值比效應，主要是因為價值（成長）型股的市場錯誤偏低（高）評價，以致之後價格反轉所造成；會計保守程度亦是市價淨值比效應驅動因子之一，只是影響程度不如錯誤評價因子，研究結果支持市場錯誤評價與風險兩者對於市價淨值比效應之解釋。

In this study, we decompose market-to-book ratio into three components: mispricing, growth, and accounting conservatism corrector. For accounting conservatism corrector, Penman and Zhang (2016) verify the association of conservative accounting with risk via an accounting principle for deferring earnings recognition until the uncertainty has been resolved and expensing investment when it is particularly risky. Zhang (2005) argues that firms with lower (higher) future discount rate tend to make more (less) investment and to have a higher (lower) market-to-book ratio. Thus, this study employs these components directly to examine the explanations of mispricing and risk for market-to-book effect. The evidences show that mispricing is the main component of market-to-book ratio. Besides, for value stocks, the mispricing is the key factor that explains the variance of market-to-book ratio; however, for glamour stocks, the key factor is risk. Market-to-book effect is mainly stemmed from price reversion for the underpriced (overpriced) of value (glamour) stocks, and accounting conservatism corrector is another driver. Hence, this study supports that risk and mispricing both are explanations of market-to-book effect.

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