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題名 未實現損益對上市金融控股公司股價淨值比之實證研究
An Empirical Study on the Effect of Unrealized Gain or Loss on the Price-to-Book Ratios of Financial Holding Companies in Taiwan作者 蕭棋瑩
Hsiao, Chi-Ying貢獻者 張士傑
Chang, Shih-Chieh
蕭棋瑩
Hsiao, Chi-Ying關鍵詞 股價淨值比
未實現損益
追蹤資料
固定效果模型
Price-to-book ratio
Unrealized gain or loss
Panel data
Fixed effect model日期 2021 上傳時間 1-七月-2021 18:18:51 (UTC+8) 摘要 本文主要在探討臺灣上市15家上市金融控股公司於財報上之未實現損益與 公司之股價淨值比(Price-to-Book Ratio)之相關性，並加入其他可能影響股價淨值 比之解釋變數。研究樣本為臺灣2011年第1季至2020年第4季15家上市金融控股公 司之資料，使用追蹤資料模型(Panel Data Model)中的固定效果模型(Fixed Effect Model)來實證影響公司股價淨值比之因素。本研究之預期假說為:(1)預期市場視未實現損益為非長期獲利，與股價淨值 比應呈現負向相關(2)利息收入具一定風險並且無法長期帶來獲利，應與股價淨 值比呈負向相關(3)公司之投資性不動產比例越高，其資金流動性較其他投資標 的低，與股價淨值比應呈負向相關。(4)大規模公司可運用資源較多，且資訊較為 透明，公司規模應與股價淨值比呈正面相關。(5)預期公股金控營運改變彈性低， 可能使市場評價下降，應與股價淨值比呈現負向相關。本研究實證結果為:(1)未實現損益與股價淨值比呈顯著負向相關，顯示市場 將未實現損益視為短期獲利，未能使公司長期獲利增加。(2)利息收入與股價淨值 比呈顯著負向相關，表示市場將利息收入視為風險較大收入，使得利息收入越高， 市場評價公司之股價淨值比越低。(3)投資性不動產比例與股價淨值比呈顯著負 向相關，投資性不動產比例上升時，公司投資資金流動性可能較差，導致市場會 給予公司較低之評價。(4)金控之公司規模與股價淨值比呈現顯著正向相關，顯示 公司規模可能影響市場對公司之評價。(5)公民營別與股價淨值比並無顯著關係， 顯示股價淨值比並不會因公民營別而有顯著差異。
This paper examines the market-to-book ratios for 15 financial holding companies in Taiwan from January 31, 2011 through December 31, 2020. The article relates the market-to-book ratio to unrealized gain or loss and several fundamental variables. We use panel data model to investigate the determinants of market-to-book ratios for 15 financial holding companies.The resultant hypotheses to be tested in this paper are as follows: (1)A financial holding company’s market-to-book ratio is negatively associated with unrealized gain or loss. (2) A financial holding company’s market-to-book ratio is negatively associated with interest income to total asset. (3) A financial holding company’s market-to-book ratio is negatively associated with investment property to total asset. (4) A financial holding company’s market-to-book ratio is positively associated with company size. (5) A financial holding company’s market-to-book ratio is negatively associated with public or private financial holding company dummy variable.The results of this study show that financial holding companies who got more unrealized gain or loss have lower market-to-book ratio. In addition, higher interest income to total asset, higher investment property to total asset, and lower total asset relate to lower market-to-book ratio, and market-to-book ratio is not significant associated with public or private financial holding company dummy variable.參考文獻 一、中文文獻李奇航 (2001). 財務報表資訊攸關性之系統性變化研究. 國立臺北大學會計研究所碩士論文杜佩玲 (2009). 本益比、市淨率與投資報酬關係之研究. 臺灣會計所與管理決策組學位論文周舒屏 (2006). 國際機構權益投資偏好成因之探討，國立政治大學財務管理研究所碩士論文.洪春熹 (2013). 公股股權對銀行業資本適足性、淨值報酬及股價淨值比之影響-以公股派任之董監組成分析. 國立政治大學商學院經營管理碩士學程論文張士傑 (2020).IFRS、利率與匯率風險將如何改變保險公司的經營?，滄海書局，109年8月二版一刷。郭素菱 (2002). 機構投資人與財務報表攸關性之研究. 國立成功大學會計學研究所碩士論文二、英文文獻Bolt, W., Humphrey, D. (2010). Bank competition efficiency in Europe: a Frontier approach. Journal of Banking and Finance 34, 1808–1817.Calomiris, C.W., Nissim, D. (2014). Crisis-related shifts in the market valuation of banking activities. J. Financ. Intermed. 23 (3), 400–435.Dan J. Jordan, Douglas Rice, Jacques Sanchez, and Donald H. Wort (2011). Explaining bank market-to-book ratios: Evidence from 2006 to 2009. Journal of Banking and Finance 35 (2011) pp. 2047-2055.Daniel W. Collins, Edward L. MaydewaIra S.Weissb (1997). Changes in the value- relevance of earnings and book values over the past forty years. Journal of Accounting and Economics, Vol. 24, pp. 39-67.Elizabeth A. Eccher, K. Ramesh, and S. Ramu Thiagarajan (1996), Fair value disclosures by bank holding companies. Journal of Accounting and Economics, Vol.22, pp. 79-117.Greene, W.H. (2012). Econometric analysis, 7th Edition, Pearson Education.Jennifer Francis and Katherine Schipper (1999), Have Financial Statements Lost Their Relevance? Journal of Accounting Research, Vol. 37, No. 2, pp. 319-352.J. A. Hausman. (1978). Specification Tests in Econometrics. Econometrica, Vol. 46, No.6, pp. 1251-1271.Long Chen and Xinlei Zhao (2006). On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. Finance Research Letters 3 (2006), pp.253-266.Lunt, P. (1994). Plugging cost holes helps save a sinking ship. ABA Banking Journal, 86 (8), 56–59.Ming-Li Yao and Chiung-Ju Liang (2005). An Investigation into the Differences between the Book Value and Market Value of Commercial Banks: An Empirical Study. International Journal of Management, Vol. 22, No.1, pp. 89-100Streeter, B. (2006). Why fee-based banks look so good. ABA Banking Journal 98 (5), 7–10.T. S. Breusch and A. R. Pagan (1980). The Lagrange Multiplier Test and its Applications to Models Specification in Econometrics. The Review of Economic Studies, Vol. 47, No.1, Econometrics Issue, pp. 239-253. 描述 碩士
國立政治大學
風險管理與保險學系
108358011資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108358011 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih-Chieh en_US dc.contributor.author (作者) 蕭棋瑩 zh_TW dc.contributor.author (作者) Hsiao, Chi-Ying en_US dc.creator (作者) 蕭棋瑩 zh_TW dc.creator (作者) Hsiao, Chi-Ying en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-七月-2021 18:18:51 (UTC+8) - dc.date.available 1-七月-2021 18:18:51 (UTC+8) - dc.date.issued (上傳時間) 1-七月-2021 18:18:51 (UTC+8) - dc.identifier (其他 識別碼) G0108358011 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135946 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險學系 zh_TW dc.description (描述) 108358011 zh_TW dc.description.abstract (摘要) 本文主要在探討臺灣上市15家上市金融控股公司於財報上之未實現損益與 公司之股價淨值比(Price-to-Book Ratio)之相關性，並加入其他可能影響股價淨值 比之解釋變數。研究樣本為臺灣2011年第1季至2020年第4季15家上市金融控股公 司之資料，使用追蹤資料模型(Panel Data Model)中的固定效果模型(Fixed Effect Model)來實證影響公司股價淨值比之因素。本研究之預期假說為:(1)預期市場視未實現損益為非長期獲利，與股價淨值 比應呈現負向相關(2)利息收入具一定風險並且無法長期帶來獲利，應與股價淨 值比呈負向相關(3)公司之投資性不動產比例越高，其資金流動性較其他投資標 的低，與股價淨值比應呈負向相關。(4)大規模公司可運用資源較多，且資訊較為 透明，公司規模應與股價淨值比呈正面相關。(5)預期公股金控營運改變彈性低， 可能使市場評價下降，應與股價淨值比呈現負向相關。本研究實證結果為:(1)未實現損益與股價淨值比呈顯著負向相關，顯示市場 將未實現損益視為短期獲利，未能使公司長期獲利增加。(2)利息收入與股價淨值 比呈顯著負向相關，表示市場將利息收入視為風險較大收入，使得利息收入越高， 市場評價公司之股價淨值比越低。(3)投資性不動產比例與股價淨值比呈顯著負 向相關，投資性不動產比例上升時，公司投資資金流動性可能較差，導致市場會 給予公司較低之評價。(4)金控之公司規模與股價淨值比呈現顯著正向相關，顯示 公司規模可能影響市場對公司之評價。(5)公民營別與股價淨值比並無顯著關係， 顯示股價淨值比並不會因公民營別而有顯著差異。 zh_TW dc.description.abstract (摘要) This paper examines the market-to-book ratios for 15 financial holding companies in Taiwan from January 31, 2011 through December 31, 2020. The article relates the market-to-book ratio to unrealized gain or loss and several fundamental variables. We use panel data model to investigate the determinants of market-to-book ratios for 15 financial holding companies.The resultant hypotheses to be tested in this paper are as follows: (1)A financial holding company’s market-to-book ratio is negatively associated with unrealized gain or loss. (2) A financial holding company’s market-to-book ratio is negatively associated with interest income to total asset. (3) A financial holding company’s market-to-book ratio is negatively associated with investment property to total asset. (4) A financial holding company’s market-to-book ratio is positively associated with company size. (5) A financial holding company’s market-to-book ratio is negatively associated with public or private financial holding company dummy variable.The results of this study show that financial holding companies who got more unrealized gain or loss have lower market-to-book ratio. In addition, higher interest income to total asset, higher investment property to total asset, and lower total asset relate to lower market-to-book ratio, and market-to-book ratio is not significant associated with public or private financial holding company dummy variable. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與背景 1第二節 研究目的 4第三節 研究架構 5第二章 文獻回顧 6第一節 股價淨值比相關文獻 6第二節 財務報表相關文獻 9第三章 研究方法 11第一節 研究假說 11第二節 研究設計及變數探討 13第三節 實證方法研究及相關模型 17第四節 資料來源與研究期間 20第四章 實證結果與分析 21第一節 敘述統計量分析 21第二節 實證結果分析 25第五章 結論與建議 30參考文獻 32 zh_TW dc.format.extent 994521 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108358011 en_US dc.subject (關鍵詞) 股價淨值比 zh_TW dc.subject (關鍵詞) 未實現損益 zh_TW dc.subject (關鍵詞) 追蹤資料 zh_TW dc.subject (關鍵詞) 固定效果模型 zh_TW dc.subject (關鍵詞) Price-to-book ratio en_US dc.subject (關鍵詞) Unrealized gain or loss en_US dc.subject (關鍵詞) Panel data en_US dc.subject (關鍵詞) Fixed effect model en_US dc.title (題名) 未實現損益對上市金融控股公司股價淨值比之實證研究 zh_TW dc.title (題名) An Empirical Study on the Effect of Unrealized Gain or Loss on the Price-to-Book Ratios of Financial Holding Companies in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文文獻李奇航 (2001). 財務報表資訊攸關性之系統性變化研究. 國立臺北大學會計研究所碩士論文杜佩玲 (2009). 本益比、市淨率與投資報酬關係之研究. 臺灣會計所與管理決策組學位論文周舒屏 (2006). 國際機構權益投資偏好成因之探討，國立政治大學財務管理研究所碩士論文.洪春熹 (2013). 公股股權對銀行業資本適足性、淨值報酬及股價淨值比之影響-以公股派任之董監組成分析. 國立政治大學商學院經營管理碩士學程論文張士傑 (2020).IFRS、利率與匯率風險將如何改變保險公司的經營?，滄海書局，109年8月二版一刷。郭素菱 (2002). 機構投資人與財務報表攸關性之研究. 國立成功大學會計學研究所碩士論文二、英文文獻Bolt, W., Humphrey, D. (2010). Bank competition efficiency in Europe: a Frontier approach. Journal of Banking and Finance 34, 1808–1817.Calomiris, C.W., Nissim, D. (2014). Crisis-related shifts in the market valuation of banking activities. J. Financ. Intermed. 23 (3), 400–435.Dan J. Jordan, Douglas Rice, Jacques Sanchez, and Donald H. Wort (2011). Explaining bank market-to-book ratios: Evidence from 2006 to 2009. Journal of Banking and Finance 35 (2011) pp. 2047-2055.Daniel W. Collins, Edward L. MaydewaIra S.Weissb (1997). Changes in the value- relevance of earnings and book values over the past forty years. Journal of Accounting and Economics, Vol. 24, pp. 39-67.Elizabeth A. Eccher, K. Ramesh, and S. Ramu Thiagarajan (1996), Fair value disclosures by bank holding companies. Journal of Accounting and Economics, Vol.22, pp. 79-117.Greene, W.H. (2012). Econometric analysis, 7th Edition, Pearson Education.Jennifer Francis and Katherine Schipper (1999), Have Financial Statements Lost Their Relevance? Journal of Accounting Research, Vol. 37, No. 2, pp. 319-352.J. A. Hausman. (1978). Specification Tests in Econometrics. Econometrica, Vol. 46, No.6, pp. 1251-1271.Long Chen and Xinlei Zhao (2006). On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. Finance Research Letters 3 (2006), pp.253-266.Lunt, P. (1994). Plugging cost holes helps save a sinking ship. ABA Banking Journal, 86 (8), 56–59.Ming-Li Yao and Chiung-Ju Liang (2005). An Investigation into the Differences between the Book Value and Market Value of Commercial Banks: An Empirical Study. International Journal of Management, Vol. 22, No.1, pp. 89-100Streeter, B. (2006). Why fee-based banks look so good. ABA Banking Journal 98 (5), 7–10.T. S. Breusch and A. R. Pagan (1980). The Lagrange Multiplier Test and its Applications to Models Specification in Econometrics. The Review of Economic Studies, Vol. 47, No.1, Econometrics Issue, pp. 239-253. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100654 en_US
