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研究生(外文):Tse-An Liao
論文名稱(外文):Considering the Profitability of Intangible Capital to Value Strategy
指導教授(外文):Shuh-Chyi Doong
口試委員(外文):Kun-Li Lin
外文關鍵詞:intangible capitalcapitalizationstock returncorporate grouping
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實證結果發現:在不同持有期間當中綜合表現以滾動持有五年的報酬率表現最好,報酬率可以比傳統多空策略提高2.15%且標準差僅為持有一年的三分之一;而在公司分群當中,以Tobin’s Q做為分群標準的投資組合表現最好,可以比傳統策略提高10.53%。
In recent years, companies all over the world have paid more and more attention to research and development activities, and the research and development expenses invested by companies in various countries have also increased year by year. However, International Financial Reporting Standards require companies to count expenses for creating intangible capital as expenses rather than capitalization. This requirement leads to the underestimation of the book value of equity, which causes some indicators that can be used to distinguish value stocks from growth stocks, such as market to book ratio, to be affected by accounting distortions. This research capitalizes expenses that can create intangible capital, such as research and development expenses, sales and management expenses, and uses traditional book value and book value that adds intangible capital to screen value stocks and growth stocks and form a long-short strategy. Use market to book ratio to screen for value and growth stocks, whether the investment portfolio that takes intangible capital into account can improve the performance of traditional value investment strategies, in addition to holding them with rolling returns for two to five years, depending on the holding period. What kind of differences will there be under different conditions? Finally, different indicators are used to group companies to explore which groups have more obvious improvement effects under different groups of one indicator.

The empirical results show that the comprehensive performance among different holding periods is the best rate of return for five years of rolling holding. The rate of return can be increased by 2.15% compared with traditional long-short strategy and the standard deviation is only one-third of that of holding for one year. ; And in the grouping of companies, the investment portfolio with Tobin's Q as the grouping standard performed the best, which can increase by 10.53% compared with the traditional strategy.
摘要 i
Abstract ii
目次 iii
表目錄 iv
圖目錄 v
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 2
第二章 文獻回顧 4
第一節 價值策略文獻回顧 4
第二節 無形資本文獻回顧 5
第三節 無形資本折舊率文獻回顧 7
第三章 研究方法 11
第一節 資料來源 11
第二節 建構無形資本存量 11
第三節 建構投資組合 13
第四節 變數定義 16
第四章 實證結果分析 18
第一節 敘述統計 18
第二節 檢定結果 26
第五章 結論 37
第一節 研究結論 37
第二節 研究建議 37
參考文獻 38


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