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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31559


    Title: 營收市價比與股票報酬 : 臺灣市場之進一步證據
    Other Titles: Sales-to-price and stock returns : further evidence from Taiwan market
    Authors: 張穎宸;Chang, Ying-chen
    Contributors: 淡江大學財務金融學系碩士班
    顧廣平;Ku, Kuang-ping
    Keywords: 營收市價比;股票報酬;台灣;Sales-to-Price;stock returns;Taiwan
    Date: 2009
    Issue Date: 2010-01-11 00:56:51 (UTC+8)
    Abstract: 本研究樣本為1985年6月至2005年7月在台灣證券交易所上市與中華民國櫃檯買賣中心上櫃之普通股股票月資料,以營收市價比做為樣本分類指標,將股票分成SP1~SP5五組,其中SP1為最低營收市價比組別,SP5為最高營收市價比組別。主要探討以營收市價比將股票分類後之相關特性分析,將分析其(1)公司屬性:包含上市年限、規模、產業,上市(櫃)別等屬性; (2)財務特性:以杜邦方程式作為重要財務比率分析基礎;(3)交易特性:週轉率、價格,報酬等以及(4)長期營運與投資績效:討論樣本分類形成前後三年之營運與投資績效。
    研究過程中發現最低營收市價比組合所包含之股票多為相對較年輕、較高獲利且較高成長的公司,並多為近年高成長之類股,例如觀光類股,據此可推得其為何有相對較高週轉率之原因。而最高營收市價比組合則是多為單價低,高銷售量之較成熟公司,如紡織、食品類股。最後在長期投資績效方面,不論使用累積異常報酬法或者是因子模式日曆時間投資組合法,均可發現高營收市價比投資組合的平均異常報酬在投資組合形成期當年度反轉並獲得正的報酬;反之,低營收市價比投資組合,未來的平均異常報酬是呈現平緩的走勢,不如過去高速的成長,亦即營收市價比效應應起因於投資人過度反應所致。
    This study investigates the performance of firms sorted by sales-to-market ratios on Taiwan Stock Exchange from June 1985 to July 2005.Our results show that those stocks with the lowest sales-to-market ratio most likely tend to be young, big, profitable stocks, for example Tourism stocks highly growing in recent years. At the same time, we find evidence about overreacting. About the long-run market returns, the average abnormal returns of those stocks with the highest sales-to-market ratio reverse in the portfolio’s formation year and then perform well after the formation year no matter the cumulative abnormal returns or calendar-time portfolio. On the contrary, the average abnormal returns of those stocks with the lowest sale-to-markets ratio underperform after the formation year.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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