臺灣博碩士論文加值系統

Cooper, Gulen, and Schill (2008) 提出「總資產成長率」這個最能夠代表公司整體成長的因子，探討其對於股票報酬的影響。其研究結果也證實「總資產成長率」確實比起過去我們常見到被拿來解釋股票報酬的因子，更能夠解釋美國股票的平均報酬。

台灣股票市場的市場規模、成立時間、交易制度皆與美國股票市場不同，尤其是交易者組成結構的部分，主要以散戶居多。另外，市場交易自由化的程度又因為政府相關的法規管制而受到影響。以上種種因素，皆使得台灣股票市場與美國股票市場之間可能存在某些差異。本研究的主要目的，即是探討 Cooper, Gulen, and Schill (2008) 所提出的「總資產成長率」這個因子是否適用於解釋台灣上市櫃公司的股票報酬。

本研究以1991年到2009年台灣上市櫃公司的股價資料以及1986年到2008年台灣上市櫃公司的財務資料作為樣本，使用追蹤資料 (panel data) 模型，探討「總資產成長率」這個因子對於台灣股票市場的股票報酬是否具有良好的解釋能力，並考慮加入過去文獻當中常見的因子，以及其他和公司成長有關的變數之後，「總資產成長率」這個因子是否依舊具有良好的解釋能力，以及其解釋力是否優於其他因子。實證結果如下：

1.在全體樣本以及高總資產成長產業子樣本之下，「總資產成長率」和股票報酬之間的關係都是負向且顯著的，而在低總資產成長產業子樣本之下，「總資產成長率」則和股票報酬皆沒有顯著的關係。因此「總資產成長率」對於股票報酬的解釋能力，可能僅限於總資產成長率較高的產業。

2.在台灣的股票市場當中，「總資產成長率」對於股票報酬解釋能力的顯著性並未高於傳統上常見的股票報酬解釋變數。即使如此，「總資產成長率」對於股票報酬的解釋能力依舊不可忽視。

目錄
第一章 緒論........................................... 1
第一節 研究背景與動機................................. 1
第二節 研究目的....................................... 2
第三節 研究架構....................................... 3
第二章 文獻探討....................................... 4
第一節 影響股票報酬常見的因子......................... 4
第二節 和公司資產增減有關的融資活動對股票報酬的影響... 7
第三節 公司的投資活動及成長對股票報酬的影響........... 10
第三章 研究方法....................................... 14
第一節 樣本與資料來源................................. 14
第二節 變數的衡量與定義............................... 14
第三節 統計方法與實證模型............................. 19
第四章 實證結果與分析................................. 26
第一節 樣本資料描述................................... 26
第二節 實證結果分析................................... 32
第五章 結論與建議..................................... 37
第一節 研究結論....................................... 37
第二節 研究建議....................................... 37
參考文獻.............................................. 38

表目錄
表4.1 各變數基本統計量—全體樣本...................... 26
表4.2 各變數相關係數矩陣—全體樣本.................... 28
表4.3 各變數基本統計量—低ASSETG產業.................. 28
表4.4 各變數相關係數矩陣—低ASSETG產業................ 30
表4.5 各變數基本統計量—高ASSETG產業.................. 30
表4.6 各變數相關係數矩陣—高ASSETG產業................ 31
表4.7 迴歸結果分析—全體樣本.......................... 34
表4.8 迴歸結果分析—低ASSETG產業...................... 35
表4.9 迴歸結果分析—高ASSETG產業...................... 36

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