| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Wei-Yu | en_US |
| dc.contributor.author (Authors) | 林子渝 | zh_TW |
| dc.contributor.author (Authors) | Lin, Tzu-Yu | en_US |
| dc.creator (作者) | 林子渝 | zh_TW |
| dc.creator (作者) | Lin, Tzu-Yu | en_US |
| dc.date (日期) | 2025 | en_US |
| dc.date.accessioned | 1-Jul-2025 14:37:54 (UTC+8) | - |
| dc.date.available | 1-Jul-2025 14:37:54 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Jul-2025 14:37:54 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0112351020 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/157739 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易學系 | zh_TW |
| dc.description (描述) | 112351020 | zh_TW |
| dc.description.abstract (摘要) | 本研究旨在探討週期性調整本益比（Cyclically Adjusted Price-to-Earnings Ratio，簡稱 CAPE）應用於台灣股票市場中個別公司層級之可行性與有效性，並評估其作為預測未來報酬率指標的潛力。相較於傳統本益比容易受短期盈餘波動干擾，CAPE 透過十年平均盈餘的平滑處理與通膨調整，強調估值之長期穩健性。
研究以台灣 AI 供應鏈產業之上市櫃公司為主要樣本，分別使用年度與季度資料計算 CAPE，對應未來一個月、一季與一年之報酬率，並輔以傳統產業為對照組。採用簡單迴歸、縱橫資料迴歸與 Fama-MacBeth 橫斷面迴歸等方法進行分析。實證結果顯示，CAPE 多數情況下與未來報酬率呈負向關係，然而在統計顯著性與解釋力上仍有限，僅部分模型與個別公司顯示出較強之預測效果。
CAPE 雖具長期估值的理論基礎與部分實證潛力，惟其於台灣公司層級的應用仍面臨挑戰。建議實務投資人將 CAPE 作為輔助性評估工具，結合其他估值或技術指標，以更有效掌握台灣產業中的長期投資契機。 | zh_TW |
| dc.description.abstract (摘要) | This study aims to investigate the applicability and effectiveness of the Cyclically Adjusted Price-to-Earnings Ratio (CAPE) at the individual firm level within Taiwan's equity market, and to evaluate its potential as an indicator for forecasting future stock returns. Compared to the traditional price-to-earnings (P/E) ratio, which is susceptible to short-term earnings fluctuations, CAPE emphasizes long-term valuation stability by applying a ten-year average of inflation-adjusted earnings.
The research focuses on listed companies within Taiwan’s AI supply chain industry as the primary sample, with CAPE calculated using both annual and quarterly data, matched against future stock returns over one-month, one-quarter, and one-year horizons. Traditional industries are included as a comparative benchmark. Empirical methods include simple linear regression, panel data regression, and the two-stage Fama-MacBeth regression framework. Results show that CAPE is generally negatively associated with future returns; however, its overall statistical significance and explanatory power remain limited, with only certain models and individual firms exhibiting stronger predictive performance.
Although CAPE is theoretically well-founded as a long-term valuation metric and partially supported by empirical findings, its implementation at the firm level in Taiwan remains limited. Accordingly, it should be used as a complementary tool in conjunction with other valuation or technical indicators to enhance the identification of long-term investment opportunities across Taiwan’s diverse industrial sectors. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻回顧 5
第一節 市場估值模型的發展 5
第二節 CAPE比率的理論基礎 6
第三節 CAPE在不同市場的適用性 7
第四節 選擇CAPE作為研究對象之原因 11
第三章 研究資料與方法 13
第一節 研究方法 13
第二節 模型設定 16
第四章 研究結果與分析 20
第一節 敘述性統計 20
第二節 簡單迴歸分析結果 23
第三節 PANEL REGRESSION分析結果 26
第四節 FAMA-MACBETH橫斷面迴歸分析結果 29
第五節 以傳統產業為例之對比分析 31
第五章 結論與建議 35
第一節 研究結論 35
第二節 研究限制與建議 36
參考文獻 38
附錄 40 | zh_TW |
| dc.format.extent | 1864138 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0112351020 | en_US |
| dc.subject (關鍵詞) | 週期性本益比 | zh_TW |
| dc.subject (關鍵詞) | 傳統本益比 | zh_TW |
| dc.subject (關鍵詞) | 報酬預測 | zh_TW |
| dc.subject (關鍵詞) | 個別公司層級 | zh_TW |
| dc.subject (關鍵詞) | 縱橫資料迴歸 | zh_TW |
| dc.subject (關鍵詞) | Cyclically Adjusted Price-to-Earnings Ratio (CAPE) | en_US |
| dc.subject (關鍵詞) | Traditional Price-to-Earnings Ratio (P/E Ratio) | en_US |
| dc.subject (關鍵詞) | Stock return prediction | en_US |
| dc.subject (關鍵詞) | Firm-level analysis | en_US |
| dc.subject (關鍵詞) | Panel data regression | en_US |
| dc.title (題名) | 週期性本益比在台灣股票市場的運用：以AI供應鏈產業為例 | zh_TW |
| dc.title (題名) | The Application of Cyclically Adjusted Price-to-Earnings Ratio in Taiwan's Equity Market: The Case of the AI Supply Chain | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 天下雜誌，〈AI 供應鏈 2024：關鍵個股與產業鏈全解析〉，上網日期2024年2月23日，檢自：https://www.cw.com.tw/article/5125456
陳瑋鴻，〈2025 AI 概念股深度追蹤報導〉，上網日期2025年1月3日，檢自：https://www.businessweekly.com.tw/business/blog/3016444
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