臺灣博碩士論文加值系統

摘要
本研究旨在探討股市是否能正確評估非財務指標的價值，亦即，股市是否存有非財務指標異常現象。囿於資料取得的限制，我們只能獲得專利權與商標權資訊，這兩個非財務指標也是公司重要的獲利來源，本研究所探討的非財務指標為專利權與商標權二者。如果股市無法正確評估非財務指標的價值，我們可以根據非財務指標價值多寡發展一個套利策略獲得超額報酬。另外，本研究也一倂探討我國股市是否存有應計項目異常現象，及非財務指標異常現象是否與應計項目異常現象有關。

Abstract

This paper investigates whether the stock market precisely price non-financial indicators, namely, whether the stock market exists non-financial indicators based anomaly？Data obtaining limitation, we simply acquire patents and trademarks information, both are the main resources of the company’s profit. Hence, we examine two non-financial indicators－patents and trademarks. If the stock market misprices non-financial indicators, we can extend a portfolio strategy to earn abnormal returns according to non-financial indicators. Further, we investigate whether the stock market in Taiwan exists accrual-based anomaly and whether it relates to the non-financial indicators anomaly.

目錄
第壹章 前言 1
第貳章 文獻探討 4
第參章 樣本選取與變數衡量 6
一、 樣本選取 6
二、 變數衡量 6
3.2.1 財務報表資訊變數 6
3.2.2 非財務指標資訊變數 7
3.2.3 分組變數 8
三、 變數敘述統計量 9
第肆章 市場效率性之分析 11
4.1 Mishkin（1983）架構 11
4.2 投資組合策略 16
4.2.1 應計投資組合策略 16
4.2.2 非財務指標投資組合策略 17
4.2.3 聯合投資組合策略 19
4.3 迴歸基礎之測試結果 20
第伍章 結論 23
參考文獻 25
附錄 專利權與商標權價值之估計 27

圖表目次
圖一 民國80-89年間應計項目投資組合策略各年度報酬 17
圖二 民國80-89年間非財務指標投資組合策略各年度報酬 18
表一 樣本之產業與年度分布 7
表二 樣本之財務變數與非財務變數敘述統計量 10
表三 Mishkin架構下效率市場之測試 15
表四 應計項目與非財務指標投資組合測略 17
表五 聯合投資組合策略 20
表六 迴歸模式測試 21
表七 投資策略敏感性測試 22

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