臺灣博碩士論文加值系統

本文以上市櫃公司為樣本，探討不同成長相對價值 (Relative Value of Growth, RVG)指標之公司在面臨購併成長訊號時，其股價異常報酬表現是否有顯著差異。另外文中亦採用P/B指標，作為成長股與價值股之分類依據，同樣探討公司購併成長訊號發布時對高低P/B指標公司之股價異常報酬，是否有顯著差異；最後再比較當公司有購併成長事件發生時RVG指標或P/B指標何者較具投資意涵。
實證結果顯示：
1、樣本公司群之RVG值與P/B值間之相關係數為0.1264，相關性並不高；間接隱含前述二指標為價值股與成長股不同分類方式。
2、當公司面臨購併成長訊號時高RVG值股在三日、五日或七日方面的報酬是屬於正向的表現，尤以三日的平均異常報酬率顯著大於0；而低RVG值股，不論在三日、五日或七日之平均異常報酬率皆為負向，但未達小於0的顯著水準；然而針對高低RVG族群做比較，高RVG值股三日及五日之平均異常報酬率都顯著大於低RVG值股之同天期平均異常報酬率。
3、當公司面臨購併成長訊號時，以P/B值為分類依據無法得到高P/B值公司各天期股價異常報酬率為正，而低P/B值其各天期股價異常報酬率為負之結果，同時高P/B值各天期的平均異常報酬率也非顯著高於低P/B值之同天期平均異常報酬率。
綜合上列之說明，隱含著當公司發布合併與收購的成長訊號時，以其RVG指標高低做為投資該公司股票與否之依據，相對傳統P/B值的分類方式更具投資意涵。

This study discusses the stocks which are issued in the market and classified by RVG ratio as an indication, and investigates whether the stock price return will be significant different when the signal of merge and acquisition are happened.
We also compare with the significant difference of performance between these two groups based on P/B ratio. Finally, we will discuss while M&A event is declared which classification is useful.
The results of this study are summarized as bellow：
1. The coefficient of correlation between P/B ratio and RVG ratio is 0.1264. The linear relationship is not very strong. It means these two classification is different.
2. When companies within different RVG ratio receive the M&A growth signal, the stock price return of high RVG group is positive. Especially, there is strong evidence that the average abnormal return of three days is significantly greater than 0. For high RVG group, investors will give the positive response of the huge growth of sales. On the other hand, the stock price return of low RVG group is negative. There is strong evidence to conclude that the stock price return will be significant difference between high RVG and low RVG during the event period.
3. The result is that the stock price return of high P/B group is not positive and low P/B group is not negative exactly when M&A event is happened. There is not strong evidence of a significant relationship between the return of value stocks and growth stocks based on P/B ratio when the M&A event is happened.
Altogether, when the M&A event is declared the classification based on RVG ratio can be more accurate in calculating the stock return rather than P/E ratio. It is more useful for investors.

目錄

第壹章 緒論.....................................................................................1
第一節 研究動機...............................................................................1
第二節 研究目的...............................................................................5
第三節 研究架構及章節安排...........................................................5
第貳章 文獻探討............................................................................8
第一節 價值股及成長股...................................................................8
第二節營收盈餘水準、成長訊號與股價關聯性............................16
第參章 研究方法與設計..............................................................23
第一節 研究假說.............................................................................23
第二節 資料蒐集與樣本.................................................................24
第三節 變數定義.............................................................................26
第四節 統計檢定方法.....................................................................28
第肆章 實證結果與分析..............................................................31
第一節 原始樣本描述.....................................................................31
第二節 實證結果.............................................................................35
第三節 實證結果彙總.....................................................................38
第伍章 結論與建議......................................................................42
第一節 結論.....................................................................................42
第二節 建議.....................................................................................43
參考文獻.........................................................................................45
第一節 英文部分.............................................................................45
第二節 中文部份.............................................................................46
附表..................................................................................................47

第一節英文部分

Capaul, Carlo, Ian Rowley, and William S.,” International Value and Growth Stock
Returns,” Financial analysts journal,（January/February 1993）, pp.27-36
Fama, E.F., French, K.R., “The Cross-Section of Expected Stock Returns,” Journal of
Finance 47,（1992）, pp.427-465
Fama, E.F., French, K.R,” Value Versus Growth: the International Evidence,” Journal of Finance 53,（1998）, pp.1975-1999
Lakonishok, J., Shleifer, A., and Vishny, R., “Contrarian Investment, Extrapolation, and
Risk,” Journal of Finance 49,（1994）, pp.1541-1578
Robert G. May, “The Influence of Quarterly Earnings Announcements on Investor
Decisions as Reflected in Common Stock Price Changes,” Empirical Research in
Accounting,（1971）, pp. 119-161
Robert N. Freeman, “The Association Between Accounting Earnings and Security Returns and Security Returns for Large and Small Firms,” Journal of Accounting and Economics 9,（1987）, pp. 195-228
Stewart L. Brown, “Earnings Changes, Stock Prices and Market Efficiency,” Journal of
Finance33, (1978), pp. 17-27
W. Scott Bauman and Robert E. Miller, “Investor Expectations and the Performance of
Value Stocks Versus Growth Stocks”, Journal of Portfolio Management, （Spring 1997）,pp. 57-68

第二節 中文部份

1. 余尚武，「台灣證券市場股票上市公司盈餘宣告所含資訊內容之研究」，國立台灣大學商學研究所碩士論文，民75年
2. 吳璟昇，「價值型與成長型股票投資績效之研究—以台灣股票市場為例」，國立政治大學財務管理研究所碩士論文，民86年
3. 邵朝賢，「超額報酬投資組合之研究」，國立政治大學金融學系研究所碩士論文，民88年
4. 林季甫，「價值特徵在台灣股票市場之實證研究」，國立政治大學財務管理研究所碩士論文，民88年
5. 許淑蕙，「我國上市公司會計盈餘、成長機會與股價變動關聯性之研究」，國立政治大學會計學系碩士班碩士論文，民87年
6. 蔡惠光，「新上市公司首次盈餘宣告與股價關連性之研究－以資訊電子業為例」，國立政治大學企業管理研究所碩士論文，民89年
7. 劉秉龍，「成長型與價值型投資策略之實證分析—以台灣股票市場為例」，私立靜宜大學企業管理研究所碩士論文，民91年
8. 楊秋昱，「價值股與成長股財務資訊宣告效果之研究」，國立政治大學財務管理研究所碩士論文，民92年
9. Nathaniel J. Mass納薩尼爾•梅斯，「成長的相對價值」於Havard Business Review 哈佛商業評論中文號(May 2005) 刊載 pp.117-129