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| 研究生： |
錢昭豪 Chien, Chao Hao |
|---|---|
| 論文名稱： |
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 |
| 指導教授： | 屠美亞 |
| 口試委員: |
李志宏
黃慶堂 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2018 |
| 畢業學年度： | 106 |
| 語文別： | 英文 |
| 論文頁數： | 34 |
| 中文關鍵詞： | 企業乘數 、資本報酬率 、投資組合績效 |
| 外文關鍵詞： | Enterprise multiple, Return on invested capital, Portfolio performance |
| 相關次數： | 點閱：42 下載：3 |
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| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
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.
1. Introduction 1
1.1 Motivation 1
1.2 Chapter Outlines 4
2. Literature Review 4
2.1 Value Investing and the Value Effect 4
2.2 Enterprise Multiple as Value Factor 6
2.3 Return on Invested Capital as Quality Factor 7
2.4 Market Expectation Errors 8
3. Data, Variables and Methodology 9
3.1 Data 10
3.2 Variables 11
3.3 Methodology 12
4. Empirical Results 16
4.1 Summary Statistics 16
4.2 Portfolio Returns and Risk Measurement 18
4.3 Characteristics of Enterprise Multiple (EM) 21
4.4 Characteristics of Return on Invested Capital (ROIC) 25
4.5 Earnings Surprise and Expectation Errors 28
5. Conclusion 31
6. Reference 32
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