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研究生:李律瑩
研究生(外文):Lee Lu-Ying
論文名稱:淨值市價比效應之再驗證
論文名稱(外文):Reexamination of book-to-market effect
指導教授:詹家昌詹家昌引用關係
指導教授(外文):Chan Chia-Chung
學位類別:碩士
校院名稱:東海大學
系所名稱:財務金融學系
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:2007
畢業學年度:95
語文別:中文
論文頁數:36
中文關鍵詞:帳面價值市場價值淨值市價比效應有形資產無形資產
外文關鍵詞:book-to-market effectbook valuemarket valuetangible assetintangible asset
相關次數:
  • 被引用被引用:4
  • 點閱點閱:517
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
過去有相當多文獻證實市場確實存在淨值市價比效應,但對於成因卻有不同看法,然這些文獻皆將淨值市價比當成一整個特徵變數來探討,但淨值市價比大小可能來自帳面價值,也可能是來自市場價值,所以淨值市價比效應究竟是公司帳面價值,還是公司市場價值所帶動,有待進一步拆解探討。
本文結果顯示市場系統風險不足以解釋淨值市價比效應,且不論控制公司帳面價值或是市場價值,股票報酬仍存有淨值市價比現象,而當我們分別將報酬針對規模進行修正後,淨值市價比效應仍舊無法消除,且最小投資組合的淨值市價比效應最為明顯,而進一步驗證有形資產與無形資產與淨值市價比的關聯性後,發現市場參與者會對無形資產中的研發支出有過度反應,即過度推估公司過去所投入的研發支出多寡於未來報酬,造成淨值市價比現象。另一方面,投資人會對有形資產中的土地、廠房與設備(property,plant and equipment,簡稱PP&E)有錯誤訂價,但卻不會對此錯誤訂價進行修正,由此可知,市場價值與帳面價值皆為淨值市價比效應產生之因素,然相較下市場價值確較重要,因投資人對市場價值較為敏感,會修正具有過度反應之市場價值,且修正市值後之淨值市價比效應下降幅度亦大於修正帳面價值後。
Book-to-market effect has been showed in abundant literatures with inconsistent reasons. All the papers take this ratio as a variable to discuss but actually this ratio could be divided into book value and market value. Which is the key factor to dominate book-to-market ratio and cause this abnormal effect? We find system risk is not a sufficient factor to interpret book-to-market effect.After controlling book value and market value as well as adjusting the return of them,we couldn’t let book-to-market effect disappear. Under controlling one variable,investors will overreact the intangible asset (reach and development) as well as tangible asset (property, plant and equipment) to arise mispricing and cause book-to-market effect. In addition, because investors will correct the overreaction to market value instead of book value, the former may be more important than later.
謝辭 i
中文摘要 ii
Abstract iii
目錄 iv
壹、緒論 1
貳、相關文獻探討 5
叁、研究方法 8
一、資料來源 8
二、研究設計 8
肆、實證結果分析 12
伍、結論 30
參考文獻 32
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