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研究生:鐘輝龍
研究生(外文):HUI-LUNG CHUNG
論文名稱:杜邦分析與股票報酬率及信用評等關聯性之研究
論文名稱(外文):The Use of Du Pont Analysis on Equity Valuation and Credit Rating Analysis
指導教授:楊朝旭楊朝旭引用關係
指導教授(外文):Chaur-Shiuh Young
學位類別:碩士
校院名稱:國立成功大學
系所名稱:財務金融研究所
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:2009
畢業學年度:97
語文別:中文
論文頁數:64
中文關鍵詞:杜邦分析信用評等股票報酬率財務報表分析
外文關鍵詞:Equity valuationFinancial statement analysisDu Pont analysisCredit rating analysis
相關次數:
  • 被引用被引用:15
  • 點閱點閱:472
  • 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
本研究運用杜邦分析將股東權益報酬率拆解成三個組成要素,探討杜邦分析是否提高股東權益報酬率對股票報酬率及信用評等的解釋能力。實證結果顯示:
ㄧ、杜邦分析的三個財務比率與股票報酬率均呈現正相關。
二、加入杜邦分析的回歸模型對股票報酬率的解釋能力增加。
三、杜邦分析的三個財務比例各有不同的財務屬性,整體而言,資產週轉率與股票報酬率之關聯性最大。
四、淨利率與資產週轉率與信用評等成正相關,財務槓桿與信用評等呈負相關。
上述的結果顯示,信用評等機構及台灣股票市場的投資人已運用杜邦分析所傳達的資訊於財務決策上。
Du Pont analysis, a common form of financial statement analysis, decomposes return on equity into three multiplicative components: profit margin, asset turnover and financial leverage. The three accounting ratios measure different constructs and, accordingly have different properties. In this study I examine whether equity valuation and credit rating analysis have any relationship with these three components.
The evidence shows that:
1. The aforementioned three components are positively related to equity valuation.
2. The explanatory power of ROE for stock returns increases significantly when ROE is decomposed into three components suggested by the Du Pont analysis.
3. Among the three components, asset turnover ratiois the most significant component in explaining equity valuation.
4. Profit margin and asset turnover are positively related to credit rating, while financial leverage is negatively related to credit rating.
These results suggest that investors and credit rating agencies have used the information contained in Du Pont analysis in their financial decisions.
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究流程 4
第貳章 文獻探討 6
第ㄧ節 會計盈餘相關文獻 6
第二節 財務比率分析相關文獻 17
第三節 信用評等之相關文獻 20
第參章 研究方法 29
第一節 研究樣本的資料來源及選取標準 29
第二節 變數之定義及衡量 30
第三節 實證模型 35
第肆章 實證結果與分析 42
第一節 資料統計 42
第二節 敘述統計量 44
第三節 實證結果 46
第伍章 結論與建議 54
第一節 結論 54
第二節 研究建議 54
第三節 研究限制 55
第四節 未來研究建議 55
參考文獻 56
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黃秀敏,1992,評價模式、盈餘與股票報酬關係之探討,政治大學會計研究所碩士論文。
陳志愷,1992,盈餘反映係數之研究-台灣股票市場之實證分析,政治大學會計研究所碩士論文。
張智堯,2005,企業信用評等改變宣告在新興市場的資訊內容:以台灣市場為例,朝陽科技大學財務金融研究所碩士論文。
張鈺雯,2006,我國上市、櫃公司股東權益報酬率之習性分析,雲林科技大學企業管理研究所碩士論文。
曾建勝,1993,上市公司股票價格的資訊內涵-季盈餘的實證,台灣大學會計研究所碩士論文。
葉金成、李冠豪,2001,盈餘與股價因果關係之實證研究,當代會計,2(1),17-38。
楊陳松,1997,盈餘與股價關係模式之比較研究,國立政治大學會計學系碩士論文。
蔡秀麗,1999,季營業外淨利增額資訊內涵之研究,東海大學管理研究所碩士論文。
鄭慧文,1998,季盈餘宣告對股價之影響,中原大學會計研究所碩士論文。
謝佩芬,2004,財務指標與非會計資訊對股價之影響-Ohlson模型之延伸引用,中原大學國際貿易研究所碩士論文。
儲蓉,1999,對發展信用評等應有的態度與做法,經濟情勢暨評論,5(1):51-74。
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