營收市價比、成交量、動能與股票報酬：臺灣市場之進一步證據

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Title:	營收市價比、成交量、動能與股票報酬：臺灣市場之進一步證據
Other Titles:	Sales-to-price, trading volume, momentum and stock returns : further evidence from the Taiwan market
Authors:	郭怡君;Kuo, Yi-chun
Contributors:	淡江大學財務金融學系碩士班林蒼祥;Lin, William. T.
Keywords:	營收市價比;成交量;動能;股票報酬;台灣;Sales-to-Price;Trading Volume;Momentum;stock returns;Taiwan
Date:	2008
Issue Date:	2010-01-11 01:06:42 (UTC+8)
Abstract:	本研究樣本為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，主要探討股票平均報酬與公司規模、淨值市價比、成交量、營收市價比、前2至12月平均報酬及前7至12月平均報酬等六個變數之間的橫斷面關係。研究結果顯示，股票平均報酬與成交量之間呈現顯著的負向橫斷面關係，且與營收市價比及前7至12月平均報酬之間呈現顯著的正向橫斷面關係。然而平均報酬與其他三個變數之間的關係並不顯著或穩定。總而言之，成交量、營收市價比與前7至12月平均報酬等三個變數確實對平均報酬橫斷面變異有顯著的解釋能力，且此三變數與平均報酬間的顯著關係並不會因為其他變數加入模式中而受到影響。藉由敏感性分析，更進一步確認其結果的穩定性，並不會因為資料分割、期間分割而受到影響。至於各因子模式的評估比較結果發現，市場單因子模式並沒有充分捕捉到超額報酬的時間序列變異，而其他三因子模式或四因子模式則有捕捉到市場因子所遺留下來的股票超額變異。就解釋股票報酬橫斷面變異方面可發現，由市場、成交量與營收市價比所組成的三因子模式與市場、成交量、營收市價比與前7至12月平均報酬所組成的四因子模式似乎較能充分解釋台灣股票間橫斷面之變異。 This study explores the cross sectional relationships between average stock returns and market value, book-to-price, trading volume, sales-to-price, average return over the previous 7 to 12 months and average return over the previous 2 to 12 months, on Taiwan Stock Exchange from January 1978 to December 2007. Our results show that average stock returns are significantly negatively related to trading volume, and significantly positively related to sales-to-price and average return over the previous 7 to 12 months. However, the relationships between average returns and remaining three variables are insignificant or unstable. Summarily, trading volume, sales-to-price, average return over the previous 7 to 12 months seem to have a joint role in explaining the differentials in average returns. The results of three variables model are robust and insensitive to sub-sample and sub-period. By comparison, we conclude that the market, volume and sales-to-price three factor model, and the market, volume, sales-to-price and momentum four factor model can fully explain the cross sectional variation in average returns.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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