臺灣博碩士論文加值系統

在台灣市場營業收入的資訊為每月公告，較財務報表的公告有更高的頻率。因此，關注營收的資訊有其必要性。本文運用 Schnytzer and Westreich (2013) 修正Aumann and Serrano (2008) 的風險指標公式分別計算價格風險與營收風險。由於每家公司都有不同的產業循環，因此本文考慮注意更長的時間範圍信息。本文在兩個時間視野中進行了研究，分別為 12 個月(短期)和 60 個月(長期)。研究結果發現，個別股票的價格風險和營收風險對其預期回報均存在效果。進一步，研究分別從是短期價格風險，長期價格風險，短期銷售風險和長期銷售風險建立四個動能投資組合。四個動能組合沒有明顯的反轉。短期和長期價格風險的平均每月回報隨著時間的推移而下降，這意味著在較短的時間內有較高的效果。短期營收風險的月平均報酬率在較短時間內較高。而長期營收風險的效果是穩定的，持續超過 50 個月。

The sales announcement published per month by the firm listed on Taiwan Securities Market is more frequently than the financial report. Hence, investors should pay attention to sales announcement. This paper calculates price risk and sales risk based on Aumann and Serrano (2008) measure of riskiness adjusted by Schnytzer and Westreich (2013). Because each firm has different industrial cycles, this paper considers pays attention to a longer time horizon information. This paper studied in two horizons, 12 months(short-term) and 60 months(long-term). The results of the study found that price risk and sales risk of individual stocks both exist effect on its expected return. Further, study separately constructs four self-financing portfolios from short-term price risk, long-term price risk, short-term sales risk and long-term sales risk. There is no clear reversal on four self-financing portfolios. The average monthly return of short-term and long-term price risk drops over time that means the effect is more effective in a shorter period. The average monthly return on short-term sales risk is higher in a shorter period. And the effect of long-term sales risk is stable, it continued for more than 50 months.

摘要 i
ABSTRACT ii
誌謝 iii
表目錄 v
一、緒論 1
二、文獻回顧 3
2-1　　營收動能策略 3
2-2　　隨機優勢(Stochastic Dominance) 4
2-3　　風險指標 5
2-4　　風險指標在金融領域的文獻 8
三、實驗架構 9
四、資料來源與實證結果 12
4-1　　資料來源 12
4-2　　營收風險與價格風險的解釋能力 12
4-3　　營收風險、價格風險與預期股價報酬 13
4-4　　投資組合的預期報酬 15
4-5　　Fama-MacBeth 16
五、結論 18
Reference 31
中文文獻 32

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