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研究生:巫雅琪
研究生(外文):Ya-chi Wu
論文名稱:結合財務指標與經濟附加價值於類神經網路模型預測股價-以光電產業為例
論文名稱(外文):Forecasting Stock Price of the Optoelectronics Industry byCombining Financial Indicators with Economic ValueAdded in the Neural Network Model
指導教授:莊宗南莊宗南引用關係
指導教授(外文):Tzung-Nan Chuang
學位類別:碩士
校院名稱:國立臺南大學
系所名稱:科技管理研究所碩士班
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
畢業學年度:96
語文別:中文
論文頁數:53
中文關鍵詞:經濟附加價值類神經網路光電產業財務指標
外文關鍵詞:Economic Value AddedOptoelectronics Industry.Artificial Neural NetworksFinancial Indicators
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在證券交易市場裡,大家最關心的莫過於預測股價趨勢了。類神經網路有大量相互連結的處理單元,可以透過內部網路系統的演算法來學習輸入與輸出之間的關係,從許多文獻均證明類神經能準確處理非線性問題,如股價預測。本研究擬結合經濟附加價值與財務指標來預測股價,是否對於股價有關聯性,以及於較多歷史資料量下是否有較大的預測準確性,希以採用類神經網路(ANN)能準確預測台灣光電產業股價。此研究資料從民國94 年第一季至民國96 年第一季,共九季資料,資料來源篩選自台灣經濟新報資料庫共90 間光電公司。本研究發現:所建構的類神經網路模型預測出光電產業股價具有準確性,相關係數高達0.98;加入每股EVA 變數,對類神經網路模型預測能力有提升作用;對於歷史資料量多寡類神經網路預測能力差別不大,探討其原因可能為股票市場對於長期財務因素反應不足,及景氣循環等因素。
The most concerned issue for participants in stock market is to predict the trend of stock price. Artificial neural networks (ANN), a computing system containing many nonlinear computing units or nodes interconnected by links, is a well-tested method for financial analysis in the stock market. This study aims to find whether 10 financial ratio and Economic Value Added (EVA) are beneficial to stock price forecasting by using neural networks under different terms of history horizon, especially in Optoelectronics industry. The research period consists of 9 seasons, from Jan. 2005 to Jan. 2007. The financial data of 90 Optoelectronics companies are extracted from the TEJ database. The empirical findings of this research are :First, the research constructed an artificial neural network model with higher accuracy of prediction, and the correlation coefficient is 0.98. Second, adding the EVA variable can enhance the prediction accuracy of ANN approach. Third, it makes no difference to the prediction ability of ANN, whether the quantity of input data is big or small.
摘要 i
ABSTRACT ii
誌謝 iii
目錄 iv
表目錄 vi
圖目錄 vii
一、 緒論 1
1.1 研究背景與動機 1
1.2 研究目的與方法 1
1.3 研究限制 1
1.4 研究流程 2
二、 文獻探討 4
2.1 光電產業概況 4
2.2 經濟附加價值 8
2.2.1 企業評價 8
2.2.2 經濟附加價值簡介 8
2.2.3 經濟附加價值與傳統會計方法之比較 9
2.2.4 經濟附加價值的會計調整科目 9
2.2.5 經濟附加價值與市價相關性實證研究文獻探討 12
2.3 類神經網路 12
2.3.1 資料探勘 12
2.3.2 類神經網路簡介 13
2.3.3 類神經網路架構與類型 14
2.3.4 類神經網路與統計方法相比其優缺點 16
2.3.5 類神經網路於財務領域之運用 17
2.4 倒傳遞類神經網路 18
三、 研究方法 21
3.1 研究範圍與對象 21
3.2 經濟附加價值之計算 22
3.2.1 經濟附加價值理論架構 22
3.2.2 經濟附加價值的會計調整項目 23
3.2.3 加權平均資金成本 24
3.3 研究變數之選取 25
3.4 類神經網路架構 27
3.5 倒傳遞網路模型重要參數設定 27
3.6 倒傳遞網路應用之可能面臨之限制與網路評估 28
3.6.1 倒傳遞應用可能面臨之限制 28
3.6.2 網路評估 28
四、 實證結果與分析 30
4.1 網路測試步驟 30
4.2 倒傳遞類神經網路研究結果 31
4.2.1 各項網路架構和參數設定 31
4.2.2 探討每股EVA加入與否對股價預測能力之影響 32
4.2.3 探討歷史資料輸入值多寡對股價預測能力之影響 35
4.2.4 總結 35
五、 結論與建議 38
5.1 研究結論 38
5.2 研究建議 38
參考文獻 40
附錄 一 43
附錄 二 44
附錄 三 47
附錄 四 48
附錄 五 49
附錄 六 50
中文部分

王信陽等編寫,2008,2007-2008年全球光電市場及台灣光電產業總論,光電科技工業協進會PIDA

王婼葳,2006,股價與公司價值在評價-EVA的應用,國立中山大學財務管理研究所碩士論文

李武隆,2000,績效衡量指標與股票報酬關聯性之研究,國立台灣大學會計學研究所碩士論文

涂宏任,2000,經濟附加價值解釋科技產業經營績效能力之研究,國立中正大學企業管理研究所碩士論文

黃紋萍,2004,兩稅合一經濟附加價值與股價之關聯性實證研究,國立中山大學財務管理研究所碩士論文

葉怡成,2001,應用類神經網路,儒林圖書有限公司

蔡湘萍,2000,銀行績效指標的選擇-EVA與會計指標孰優,國立中正大學財務金融研究所碩士論文

蔡爵穗,2000,以附加經濟價值(EVA)評估中油之經營績效,國立台灣大學會計學研究所碩士倫文


英文部分

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Biddle, G..C., Bowen, R.M. and Wallance, J.S., 1997. Does EVA Beat Earnings? Evidence on Associations with Stock Returns and Firm Values, Journal of Accounting and Economics, 24: 301-336.

Chen, S. and Dodd, J., 2001.Operating Income, Residual Income and EVA: Which Metric Is More Value Relevant. Journal of Managerial Issues , 13(1): 65-86.

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