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題名 企業乘數與股價報酬之台灣實證研究
Does enterprise multiple predict stock returns? An empirical evidence in Taiwan
作者 錢昭豪
Chien, Chao Hao
貢獻者 屠美亞
錢昭豪
Chien, Chao Hao
關鍵詞 企業乘數
資本報酬率
投資組合績效
Enterprise multiple
Return on invested capital
Portfolio performance
日期 2018
上傳時間 2-May-2018 15:46:34 (UTC+8)
摘要 本研究以1992年至2017年計19,710筆台灣上市櫃公司為樣本，探討以企業乘數與資本報酬率為指標形成投資組合的績效表現與可行性。研究發現單純以低企業乘數指標組成的投資組合表現最佳，且能長期打敗大盤；以低企業乘數與高資本報酬率的綜合指標形成的投資組合表現次佳；而單純以高資本報酬率為指標形成的投資組合表現最差，且長期劣於大盤表現。研究結果亦包括企業乘數投資組合可以創造出顯著的超額報酬（Alpha），且其優異的表現可以歸因於投資人對於企業的未來盈餘表現預期錯誤，造成市場暫時出現錯誤定價的現象。
We employ Taiwan’s listed companies from 1992 to 2017 as a sample to examine the performance and feasibility of forming a portfolio based on enterprise multiple and return on invested capital. We find that the portfolio which consists solely of low enterprise multiple stocks outperform the market in the long run; the portfolio formed by composite indicators of low enterprise multiple and high return on invested capital beats the market as well; while the pure high return on invested capital portfolio underperforms. We also find that the low-minus-high enterprise multiple portfolio generates Fama-French alpha, and its excellent performance can be attributed to investors` expectation errors of the company`s future earnings performance, resulting in temporary market mispricing.
參考文獻 Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
Brown, D., & Rowe, B. (2007). The productivity premium in equity returns.
Buffett, W., & Cunningham, L. A. (2001). The essays of Warren Buffett: lessons for corporate America. L. Cunningham.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
Chen, L., Novy-Marx, R., & Zhang, L. (2011). An alternative three-factor model.
Crawford, S., Gray, W. R., Vogel, J., & Xu, Y. (2017). Why Do Enterprise Multiples Predict Expected Stock Returns?.
Damodaran, A. (2012). Investment valuation: Tools and techniques for determining the value of any asset (Vol. 666). John Wiley & Sons.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
Greenblatt, J. (2006). The little book that beats the market. John Wiley & Sons.
Graham, B., & McGowan, B. (2005). The intelligent investor. Harper Collins.
Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics, 41(3), 401-439.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91.
Koller, T., Goedhart, M., & Wessels, D. (2010). Valuation: measuring and managing the value of companies (Vol. 499). john Wiley and sons.
Klarman, S. (1991). Margin of safety. New York, NY: HarperBusiness.
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The journal of finance, 49(5), 1541-1578.
Loughran, T., & Wellman, J. W. (2011). New evidence on the relation between the enterprise multiple and average stock returns. Journal of Financial and Quantitative Analysis, 46(6), 1629-1650.
Marks, H. (2011). The most important thing. New York: Columbia University.
Novy-Marx, R. (2013). The quality dimension of value investing. Rnm. simon. rochester. edu, 1-54.
Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
Porta, R. L., Lakonishok, J., Shleifer, A., & Vishny, R. (1997). Good news for value stocks: Further evidence on market efficiency. The Journal of Finance, 52(2), 859-874.
Piotroski, J. D., & So, E. C. (2012). Identifying expectation errors in value/glamour strategies: A fundamental analysis approach. The Review of Financial Studies, 25(9), 2841-2875.
Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 1-41.
Petkova, R., & Zhang, L. (2005). Is value riskier than growth?. Journal of Financial Economics, 78(1), 187-202.
描述 碩士
國立政治大學
財務管理研究所
104357026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357026
資料類型 thesis
dc.contributor.advisor 屠美亞zh_TW
dc.contributor.author (Authors) 錢昭豪zh_TW
dc.contributor.author (Authors) Chien, Chao Haoen_US
dc.creator (作者) 錢昭豪zh_TW
dc.creator (作者) Chien, Chao Haoen_US
dc.date (日期) 2018en_US
dc.date.accessioned 2-May-2018 15:46:34 (UTC+8)-
dc.date.available 2-May-2018 15:46:34 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2018 15:46:34 (UTC+8)-
dc.identifier (Other Identifiers) G0104357026en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/117017-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 104357026zh_TW
dc.description.abstract (摘要) 本研究以1992年至2017年計19,710筆台灣上市櫃公司為樣本，探討以企業乘數與資本報酬率為指標形成投資組合的績效表現與可行性。研究發現單純以低企業乘數指標組成的投資組合表現最佳，且能長期打敗大盤；以低企業乘數與高資本報酬率的綜合指標形成的投資組合表現次佳；而單純以高資本報酬率為指標形成的投資組合表現最差，且長期劣於大盤表現。研究結果亦包括企業乘數投資組合可以創造出顯著的超額報酬（Alpha），且其優異的表現可以歸因於投資人對於企業的未來盈餘表現預期錯誤，造成市場暫時出現錯誤定價的現象。zh_TW
dc.description.abstract (摘要) We employ Taiwan’s listed companies from 1992 to 2017 as a sample to examine the performance and feasibility of forming a portfolio based on enterprise multiple and return on invested capital. We find that the portfolio which consists solely of low enterprise multiple stocks outperform the market in the long run; the portfolio formed by composite indicators of low enterprise multiple and high return on invested capital beats the market as well; while the pure high return on invested capital portfolio underperforms. We also find that the low-minus-high enterprise multiple portfolio generates Fama-French alpha, and its excellent performance can be attributed to investors` expectation errors of the company`s future earnings performance, resulting in temporary market mispricing.en_US
dc.description.tableofcontents 1. Introduction 1
1.1 Motivation 1
1.2 Chapter Outlines 4
2. Literature Review 4
2.1 Value Investing and the Value Effect 4
2.2 Enterprise Multiple as Value Factor 6
2.3 Return on Invested Capital as Quality Factor 7
2.4 Market Expectation Errors 8
3. Data, Variables and Methodology 9
3.1 Data 10
3.2 Variables 11
3.3 Methodology 12
4. Empirical Results 16
4.1 Summary Statistics 16
4.2 Portfolio Returns and Risk Measurement 18
4.3 Characteristics of Enterprise Multiple (EM) 21
4.4 Characteristics of Return on Invested Capital (ROIC) 25
4.5 Earnings Surprise and Expectation Errors 28
5. Conclusion 31
6. Reference 32		zh_TW
dc.format.extent 421759 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357026en_US
dc.subject (關鍵詞) 企業乘數zh_TW
dc.subject (關鍵詞) 資本報酬率zh_TW
dc.subject (關鍵詞) 投資組合績效zh_TW
dc.subject (關鍵詞) Enterprise multipleen_US
dc.subject (關鍵詞) Return on invested capitalen_US
dc.subject (關鍵詞) Portfolio performanceen_US
dc.title (題名) 企業乘數與股價報酬之台灣實證研究zh_TW
dc.title (題名) Does enterprise multiple predict stock returns? An empirical evidence in Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
Brown, D., & Rowe, B. (2007). The productivity premium in equity returns.
Buffett, W., & Cunningham, L. A. (2001). The essays of Warren Buffett: lessons for corporate America. L. Cunningham.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
Chen, L., Novy-Marx, R., & Zhang, L. (2011). An alternative three-factor model.
Crawford, S., Gray, W. R., Vogel, J., & Xu, Y. (2017). Why Do Enterprise Multiples Predict Expected Stock Returns?.
Damodaran, A. (2012). Investment valuation: Tools and techniques for determining the value of any asset (Vol. 666). John Wiley & Sons.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
Greenblatt, J. (2006). The little book that beats the market. John Wiley & Sons.
Graham, B., & McGowan, B. (2005). The intelligent investor. Harper Collins.
Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics, 41(3), 401-439.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91.
Koller, T., Goedhart, M., & Wessels, D. (2010). Valuation: measuring and managing the value of companies (Vol. 499). john Wiley and sons.
Klarman, S. (1991). Margin of safety. New York, NY: HarperBusiness.
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The journal of finance, 49(5), 1541-1578.
Loughran, T., & Wellman, J. W. (2011). New evidence on the relation between the enterprise multiple and average stock returns. Journal of Financial and Quantitative Analysis, 46(6), 1629-1650.
Marks, H. (2011). The most important thing. New York: Columbia University.
Novy-Marx, R. (2013). The quality dimension of value investing. Rnm. simon. rochester. edu, 1-54.
Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1-28.
Porta, R. L., Lakonishok, J., Shleifer, A., & Vishny, R. (1997). Good news for value stocks: Further evidence on market efficiency. The Journal of Finance, 52(2), 859-874.
Piotroski, J. D., & So, E. C. (2012). Identifying expectation errors in value/glamour strategies: A fundamental analysis approach. The Review of Financial Studies, 25(9), 2841-2875.
Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 1-41.
Petkova, R., & Zhang, L. (2005). Is value riskier than growth?. Journal of Financial Economics, 78(1), 187-202.		zh_TW