臺灣博碩士論文加值系統

股東權益報酬率（ROE）受兩種因素之影響：運用資產獲利之能力及所運用資產基礎相對於股東投資額之程度，本文有鑑於股東權益報酬率(return on equity, ROE)之於股權及企業評價的預測力及重要性，欲以國內股東權益報酬率為主要對象，分析其組成要素之變動以及要素之間的連動關係，進而了解國內ROE之習性及其變動趨勢。
ROE之傳統運算方式在計算過程中受到某些限制及爭議，本文將以ROE新解構模式分析ROE及其組成要素之變動行為，並藉由對ROE變動行為的掌握，更精確地了解ROE對未來獲利力的預測效果。
結果發現：
一、國內上市、櫃公司之股東權益報酬率呈平均數復歸
二、欲預測短期之ROE變動，以當期之ROE來進行預測為準確
三、欲預測長期之ROE變動，則以平均數復歸的概念來預測為適當

The return on equity (ROE) is affected by two factors which are the ability of application of asset to gain profit and the level of asset-base to the amount of stakeholder investment. In view of the importance and forecast capability of ROE to stock equity and business evaluation, this study analyzes the connection of the variation in components of ROE by taking the rate of ROE of Taiwan lists and OTC companies (hereinafter called “the companies”) as the major object to see the behavior and trend of alternation of ROE in Taiwan.
The Du-pont model has some limitation in operation of ROE; this study will analyze the alternative behavior of ROE and its components, interpret the forecasting results of ROE more precisely.
The statistic result indicated the following conclusion:
1. The rate of ROE in Taiwan shows the pattern of mean reverting
2. Taking the present ROE to predict the variation of ROE in short term will be more accurate.
3. Taking the idea of mean reverting to predict the variation of ROE in long run will be more suitable.

摘 要 i
ABSTRACT ii
誌 謝 iii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究範圍與限制 2
第四節 研究預期成果 3
第五節 研究結構與流程 3
第二章 文獻探討 6
第一節 股東權益報酬率（ROE）之重要性 6
第二節 財務比率之變動與預期未來獲利力之相關性 8
第三節 股東權益報酬（ROE）與公司績效間的關連性 12
第四節 ROE之變動與產業之間的相關性 14
第三章 研究設計 19
第一節 資料說明 19
第二節 研究假說 20
第三節 研究變數之操作性定義 21
第四節 資料分析方法 24
第肆章　實證結果分析 27
第一節 基本資料分析結果 27
第二節 股東權益報酬(ROE)習性分析結果 30
第三節 預測未來ROE分析結果 37
第四節：實證分析結論 41
第五章 結論與建議 43
第一節 結論 43
第二節 研究建議 44
參考文獻 46

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