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研究生:簡純彬
研究生(外文):Chun-pin Chien
論文名稱:銀行股價報酬之關鍵因素研究
論文名稱(外文):The Dominant Factors to Bank Stock Returns
指導教授:陳和全陳和全引用關係
指導教授(外文):Ho-chyuan Chen
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:82
中文關鍵詞:股價報酬銀行公司特徵基本變數關鍵因素
外文關鍵詞:dominant factorsbank-specific fundamental variablesbank stock returns
相關次數:
  • 被引用被引用:13
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本研究旨在探討國內上市銀行,每季財務報告發佈後,銀行公司特徵基本變數對其股價報酬的影響性。採取橫斷面迴歸與變動量排序法的觀點,以盈餘、放款、備抵壞帳、非利息收入、客戶尚未動用放款承諾、擔保信用狀、財務槓桿、淨值市值比、股票市場總資本額、逾放比率、和淨值報酬率為自變數,而以一季的平均股價報酬為應變數,進行本研究各項分析實證。
單因子排序分析的結果,銀行盈餘變動量的增加及淨值報酬率的增加,被視為好消息,而逾放比的增加則是壞消息。橫斷面迴歸分析結果,盈餘、非利息收入、客戶尚未動用放款承諾、財務槓桿、淨值市值比、逾放比、和淨值報酬率等資訊,對於銀行股價報酬具有較高的解釋性,其中只有逾放比為負相關,其餘皆為正相關。雙因子排序的分析,由前期報酬與各變數形成的動態效果中,發現投資者有過度反應的現象。樣本外預測顯示,國內的季報的資訊傳遞效果,對股價的反應是即時的。
最後,所有實證的結果指出,淨值報酬率、逾放比、淨值市值比、和盈餘是影響股價報酬的最關鍵因素。
The purpose of this study is to explore the affection of the cross-section of bank stock returns by taking advantage of the unique set of industry characteristics that prevail in the financial services sector. We examine affection and predictability in the cross-section of bank stock returns by sorts and regression using information contained in individual bank-specific fundamental variables such as earnings, loan, loan-loss reserves, non-interest income, previous loan commitments, standby letters of credit, leverage, book-to-market, market capitalization of equity, non-performing loan, and return of equity.
Empirical results of one-way sorts conclude that investors appear to treat large increases in earnings and return of equity as good news to bank stock returns, while treat non-performing loan as bad news to bank stock returns. In the cross-sectional regressions we find that variables related to percentage changes in earnings per share, non-interest income to net income, previous loan commitments, the book value of equity of total assets, book-to-market, non-performing loan, and return of equity are all univariately important in forecasting the cross-section of bank stock returns, all exclude non-performing loan are positive relation. The results from the two-way sorts are consistent with investor overreaction to firm specific good and bad news. The out-of-sample experiment appears a real-time investor result.
Overall, changes in firm specific fundamental variables appear to be important predictors of our banks returns. Especially return of equity, non-performing loan, and book-to-market emerge as dominant factors.
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文架構與流程 4
第二章 文獻探討 6
第一節 銀行業務結構 6
第二節 財務報表資訊與報酬關係 8
第三節 相關研究方法文獻 16
第三章 研究設計 21
第一節 研究期間與資料來源選取 21
第二節 研究樣本選取 22
第三節 研究變數的選取 23
第四節 研究方法 26
第五節 研究步驟 38
第四章 實證結果與分析 40
第一節 樣本特性 40
第二節 模型一實證結果 45
第三節 模型二實證結果 54
第四節 模型三實證結果 60
第五節 模型結果比較 66
第五章 結論與建議 71
第一節 結論 71
第二節 研究限制與建議 75
參考文獻 77
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二、中文部分
1. 余招賢,1997,台灣股票市場風險、規模、淨值/市價比、成交量週轉率與報酬之關係,國立交通大學管理科學研究所碩士論文。
2. 李明華,2001,臺灣銀行業跨業經營風險分散效果及轉換機制之研究,銘傳大學金融研究所碩士論文。
3. 杜幸樺,1998,影響台灣股票報酬之共同因素與企業特性之研究─Fama-French 三因子模式、動能策略、與交易量因素,國立中山大學企業管理研究所碩士論文。
4. 卓瑞祥,1997,台灣地區銀行技術效率之實證研究,銘傳大學金融研究所碩士論文。
5. 林立文,1994,銀行業財務分析之研究-財務比率與股票超額報酬關連性之實證分析,國立台灣大學會計學研究所碩士論文。
6. 林美花,1992,“財務報表資訊與股票投資報酬率關係之研究”,行政院國家科學委員會專題研究計畫成果。
7. 邱玉玫,1992,運用財務報表分析預測股票超額報酬率之研究,國立台灣大學會計研究所碩士論文。
8. 胡玉雪,1994,益本比、淨值╱市價比及公司規模對股票報酬之影響-相似無關迴歸之應用,國立台灣大學商學研究所碩士論文。
9. 徐萬爐,2001,台灣地區商業銀行效率之研究-應用資料包絡分析法,暨南國際大學國際企業系研究所碩士論文。
10. 張祥生,1994,本國銀行獲利方式與獲利能力之關係-應用差異分析模式實證,中原大學企業管理研究所。
11. 張漢傑,2001,“從財報資訊看銀行股價明日之星”,會計研究月刊,189,139-146。
12. 張家豪,2003,從資產負債面探討台灣地區銀行業盈餘管理之季別差異現象,東華大學企業管理研究所。
13. 郭逢春,1992,臺灣上市公司在不同投資區間下的淨值/市價比效果,國立台灣大學財務金融研究所碩士論文。
14. 陳旭宏,2000,基本分析運用於股票超額報酬之研究,大同大學事業經營研究所碩士論文。
15. 陳建良,1993,我國股票市場異常現象之實證研究,國立交通大學管理科學研究所碩士論文。
16. 陳惠萍,1998,股票橫斷面之橫斷面分析--以台灣與上海股票市場為例,逢甲大學企業管理研究所碩士論文。
17. 彭正浩,1999,台灣銀行業多角化與其績效之研究,國立台灣大學經濟學研究所碩士論文。
18. 游奕琪,2000,台灣股市產業與價格動能策略關連性之實證研究,國立政治大學財務管理研究所碩士論文。
19. 黃偉信,2001,橫斷面預期報酬、公司特徵變數與動能效果之研究,東海大學企業管理研究所碩士論文。
20. 董水量、杜榮瑞,1994,“財務報表分析及股票報酬預測之深入研究”,行政院國家科學委員會專題研究計畫成果。
21. 蔡美芳,2001,逾期放款、高階主管持股比率與銀行績效間關係之研究,國立高雄第一科技大學金融營運研究所碩士論文。
22. 鄭詩蓉,2001,臺灣銀行業多角化程度對風險、報酬與調整風險後報酬的影響,淡江大學會計學系碩士論文。
23. 蕭翠玥,1988,台灣地區上市公司股票報酬率規模效應之研究,國立中山大學企業管理研究所碩士論文。
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