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題名 全要素生產力(TFP)與股票報酬可預測性的關聯性 - 臺灣市場實證研究
The Relationship Between Total Factor Productivity (TFP) and Stock Return Predictability : An Empirical Study of the Taiwan Market
作者 李明祐
Li, Ming-You
貢獻者 金帛春
Kim, Baek-Chun
李明祐
Li, Ming-You
關鍵詞 生產力
全要素生產力
股價報酬預測
無形資本
台灣實證研究
TFP
Total Factor Productivity
Intangible Capital
Stock Returns
Empirical Study
日期 2025
上傳時間 4-Aug-2025 14:32:44 (UTC+8)
摘要 本研究探討台灣上市公司之全要素生產力（TFP）是否能有效預測未來股票報酬的能力。研究樣本涵蓋2001 年至2023 年之台灣證券交易所與櫃買中心上市公司，並依據Imrohoroglu and Tuzel（2014）的方法進行 TFP 估計。與原研究結果不同，本文發現高TFP 公司相較於低 TFP 公司在未來期間具有顯著較高的超額報酬。此預測能力不僅經由 Fama-MacBeth 橫斷面迴歸與投資組合分析驗證，亦在控制公司特性與常見風險因子後仍具穩健性。 為進一步探討定價機制，實證結果顯示高 TFP 公司通常伴隨較高比例之無形資本（如研發支出），且若公司無形資本較高，TFP 對報酬的預測能力更為強烈。此外，TFP與報酬的關係在景氣衰退期間依然顯著，顯示生產力風險在台灣股市具有反循環特性。
This thesis investigates whether firm-level total factor productivity (TFP) predicts future stock returns in Taiwan. Using data from the Taiwan Economic Journal (TEJ) covering listed firms on the Taiwan Stock Exchange and Taipei Exchange from 2001 to 2023, TFP is estimated by following Imrohoroglu and Tuzel (2014). Different from the finding of Imrohoroglu and Tuzel (2014), I find that high-TFP firms consistently earn significantly higher subsequent returns than their low-TFP counterparts by using both Fama-MacBeth regressions and portfolio analyses. This return predictability is robust to controls for firm characteristics and common risk factors. To investigate the pricing mechanism, I find that high TFP firms are positively related to intangible capital (e.g., R&D), and the return predictability becomes stronger if firms have higher intangible capital. Moreover, the TFP-return relationship remains strong during economic downturns, suggesting that productivity-related risk is countercyclical in Taiwan’s equity market. These findings highlight the relevance of TFP as a priced factor and underscore the role of intangible investment in driving firm performance in an export-oriented, innovation-driven economy.
參考文獻 1. Chen, C.-H. (2002). A productivity analysis of Taiwanese manufacturing industries (Master’s thesis). Graduate Institute of Logistics Management, National Defense Management College. 2. Chen, T.-C. (2009). 研究發展支出與經營績效暨公司價值之關聯 [Master’s thesis, Chung Yuan Christian University]. 3. Chen, T.-H. (2009). 景氣衰退與經營績效之關聯性分析—以台灣上市電子業為例 [Master’s thesis, Soochow University]. Soochow University Repository. 4. Comin, D. (2006). Total factor productivity. In S. N. Durlauf & L. E. Blume (Eds.), The New Palgrave Dictionary of Economics (forthcoming). Palgrave Macmillan. 5. Dvoulety, O., & Blažkova, I. (2022). Relationship between firm total factor productivity and performance: Case of the Czech high-tech industry. International Journal of Entrepreneurial Venturing, 14(4/5), 391–412. 6. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636. https://doi.org/10.1086/260061 7. Fare, R., Grosskopf, S., & Lee, W. F. (2010). Productivity growth in Taiwan’s manufacturing sector: 1978–1992. Journal of Productivity Analysis, 34(2), 87–101. 8. Herzer, D. (2021). The impact of domestic and foreign R&D on TFP in developing countries. World Development, 146, 105754. 9. Hiroki, S., Iwatsubo, K., & Watkins, M. (2022). Firm-level TFP and stock returns: Evidence from Japan. Pacific-Basin Finance Journal, 72, 101710. 10. Hsieh, C.-H. (1988). 台灣各產業生產力分析 [Productivity analysis of Taiwan's industries]. 經濟論文叢刊 (Economic Papers), 16(4), 123–140. 11. Huang, C.-H. (2019). Innovation, research and development, and firm profitability in Taiwan: Causality and determinants. International Review of Economics & Finance, 62, 82–96. 12. İmrohoroğlu, A., & Tuzel, Ş. (2014). Firm-level productivity, risk, and return. Management Science, 60(8), 2073–2090. 13. Jia, F., Ma, X., Xu, X., & Xie, L. (2019). The differential role of manufacturing and nonmanufacturing TFP growth in economic growth. Structural Change and Economic Dynamics, 50, 151-163. 14. Kijek, A., & Kijek, T. (2020). Nonlinear effects of human capital and R&D on TFP: Evidence from European regions. Sustainability, 12(5), 1808. 15. Levinsohn, J., & Petrin, A. (2003). Estimating production functions using inputs to control for unobservables. The Review of Economic Studies, 70(2), 317–341. 16. Liao, H., Yang, C., Wang, L., & Fan, P. (2007). TFP growth in East Asia: A stochastic frontier analysis. Journal of Asian Economics, 18(2), 246–260. 17. Liao, H., Holmes, M., Weyman-Jones, T., & Llewellyn, D. (2002). Productivity growth of East Asia economies’ manufacturing: A decomposition analysis. Unpublished manuscript. Loughborough University. 18. Nal, O., & Cai, A. (2024). The role of total factor productivity in international economic growth: A cross-country analysis (SSRN Working Paper No. 4998894). 19. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. 20. Olley, G. S., & Pakes, A. (1996). The dynamics of productivity in the telecommunications equipment industry. Econometrica, 64(6), 1263–1297. 21. Wang, C.-H., Chen, C.-H., & Wang, C.-C. (2013). R&D, productivity, and market value: An empirical study from high-technology firms. Omega, 41(1), 143–155. 22. Wang, G.-R. (2018). The impact of investor sentiment on individual stock return in Taiwan (Master’s thesis). National Central University, Department of Finance. 23. Wang, J.-C., & Tsai, K.-H. (2004). Productivity growth and R&D expenditure in Taiwan’s manufacturing firms. In T. Ito & A. K. Rose (Eds.), Growth and productivity in East Asia(pp. 277–296). University of Chicago Press. 24. Wang, J.-Y. (2006). The study of the impact of R&D expenditure and capital expenditure on corporate performance (Master’s thesis, Chung Hua University). 25. Yeh, C.-H. (2009). The effect of R&D expenditure and capital expenditure on enterprise performance: Base on Taiwan semiconductor industry (Master’s thesis, National Cheng Kung University). National Digital Library of Theses and Dissertations in Taiwan. 26. Zhang, Y.-F. (2004). 台灣總要素生產力與經濟成長 [Master’s thesis, National Taipei University]. National Taipei University Repository.
描述 碩士
國立政治大學
金融學系
112352026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352026
資料類型 thesis
dc.contributor.advisor 金帛春zh_TW
dc.contributor.advisor Kim, Baek-Chunen_US
dc.contributor.author (Authors) 李明祐zh_TW
dc.contributor.author (Authors) Li, Ming-Youen_US
dc.creator (作者) 李明祐zh_TW
dc.creator (作者) Li, Ming-Youen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:32:44 (UTC+8)-
dc.date.available 4-Aug-2025 14:32:44 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:32:44 (UTC+8)-
dc.identifier (Other Identifiers) G0112352026en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158591-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 112352026zh_TW
dc.description.abstract (摘要) 本研究探討台灣上市公司之全要素生產力（TFP）是否能有效預測未來股票報酬的能力。研究樣本涵蓋2001 年至2023 年之台灣證券交易所與櫃買中心上市公司，並依據Imrohoroglu and Tuzel（2014）的方法進行 TFP 估計。與原研究結果不同，本文發現高TFP 公司相較於低 TFP 公司在未來期間具有顯著較高的超額報酬。此預測能力不僅經由 Fama-MacBeth 橫斷面迴歸與投資組合分析驗證，亦在控制公司特性與常見風險因子後仍具穩健性。 為進一步探討定價機制，實證結果顯示高 TFP 公司通常伴隨較高比例之無形資本（如研發支出），且若公司無形資本較高，TFP 對報酬的預測能力更為強烈。此外，TFP與報酬的關係在景氣衰退期間依然顯著，顯示生產力風險在台灣股市具有反循環特性。zh_TW
dc.description.abstract (摘要) This thesis investigates whether firm-level total factor productivity (TFP) predicts future stock returns in Taiwan. Using data from the Taiwan Economic Journal (TEJ) covering listed firms on the Taiwan Stock Exchange and Taipei Exchange from 2001 to 2023, TFP is estimated by following Imrohoroglu and Tuzel (2014). Different from the finding of Imrohoroglu and Tuzel (2014), I find that high-TFP firms consistently earn significantly higher subsequent returns than their low-TFP counterparts by using both Fama-MacBeth regressions and portfolio analyses. This return predictability is robust to controls for firm characteristics and common risk factors. To investigate the pricing mechanism, I find that high TFP firms are positively related to intangible capital (e.g., R&D), and the return predictability becomes stronger if firms have higher intangible capital. Moreover, the TFP-return relationship remains strong during economic downturns, suggesting that productivity-related risk is countercyclical in Taiwan’s equity market. These findings highlight the relevance of TFP as a priced factor and underscore the role of intangible investment in driving firm performance in an export-oriented, innovation-driven economy.en_US
dc.description.tableofcontents Chapter 1: Introduction P.1 Chapter 2: Data Description P.3 Chapter 3: Research Methodology and Empirical Results P.12 Chapter 4: Conclusion P. 31 Chapter 5: References P. 32zh_TW
dc.format.extent 970064 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352026en_US
dc.subject (關鍵詞) 生產力zh_TW
dc.subject (關鍵詞) 全要素生產力zh_TW
dc.subject (關鍵詞) 股價報酬預測zh_TW
dc.subject (關鍵詞) 無形資本zh_TW
dc.subject (關鍵詞) 台灣實證研究zh_TW
dc.subject (關鍵詞) TFPen_US
dc.subject (關鍵詞) Total Factor Productivityen_US
dc.subject (關鍵詞) Intangible Capitalen_US
dc.subject (關鍵詞) Stock Returnsen_US
dc.subject (關鍵詞) Empirical Studyen_US
dc.title (題名) 全要素生產力(TFP)與股票報酬可預測性的關聯性 - 臺灣市場實證研究zh_TW
dc.title (題名) The Relationship Between Total Factor Productivity (TFP) and Stock Return Predictability : An Empirical Study of the Taiwan Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Chen, C.-H. (2002). A productivity analysis of Taiwanese manufacturing industries (Master’s thesis). Graduate Institute of Logistics Management, National Defense Management College. 2. Chen, T.-C. (2009). 研究發展支出與經營績效暨公司價值之關聯 [Master’s thesis, Chung Yuan Christian University]. 3. Chen, T.-H. (2009). 景氣衰退與經營績效之關聯性分析—以台灣上市電子業為例 [Master’s thesis, Soochow University]. Soochow University Repository. 4. Comin, D. (2006). Total factor productivity. In S. N. Durlauf & L. E. Blume (Eds.), The New Palgrave Dictionary of Economics (forthcoming). Palgrave Macmillan. 5. Dvoulety, O., & Blažkova, I. (2022). Relationship between firm total factor productivity and performance: Case of the Czech high-tech industry. International Journal of Entrepreneurial Venturing, 14(4/5), 391–412. 6. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636. https://doi.org/10.1086/260061 7. Fare, R., Grosskopf, S., & Lee, W. F. (2010). Productivity growth in Taiwan’s manufacturing sector: 1978–1992. Journal of Productivity Analysis, 34(2), 87–101. 8. Herzer, D. (2021). The impact of domestic and foreign R&D on TFP in developing countries. World Development, 146, 105754. 9. Hiroki, S., Iwatsubo, K., & Watkins, M. (2022). Firm-level TFP and stock returns: Evidence from Japan. Pacific-Basin Finance Journal, 72, 101710. 10. Hsieh, C.-H. (1988). 台灣各產業生產力分析 [Productivity analysis of Taiwan's industries]. 經濟論文叢刊 (Economic Papers), 16(4), 123–140. 11. Huang, C.-H. (2019). Innovation, research and development, and firm profitability in Taiwan: Causality and determinants. International Review of Economics & Finance, 62, 82–96. 12. İmrohoroğlu, A., & Tuzel, Ş. (2014). Firm-level productivity, risk, and return. Management Science, 60(8), 2073–2090. 13. Jia, F., Ma, X., Xu, X., & Xie, L. (2019). The differential role of manufacturing and nonmanufacturing TFP growth in economic growth. Structural Change and Economic Dynamics, 50, 151-163. 14. Kijek, A., & Kijek, T. (2020). Nonlinear effects of human capital and R&D on TFP: Evidence from European regions. Sustainability, 12(5), 1808. 15. Levinsohn, J., & Petrin, A. (2003). Estimating production functions using inputs to control for unobservables. The Review of Economic Studies, 70(2), 317–341. 16. Liao, H., Yang, C., Wang, L., & Fan, P. (2007). TFP growth in East Asia: A stochastic frontier analysis. Journal of Asian Economics, 18(2), 246–260. 17. Liao, H., Holmes, M., Weyman-Jones, T., & Llewellyn, D. (2002). Productivity growth of East Asia economies’ manufacturing: A decomposition analysis. Unpublished manuscript. Loughborough University. 18. Nal, O., & Cai, A. (2024). The role of total factor productivity in international economic growth: A cross-country analysis (SSRN Working Paper No. 4998894). 19. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. 20. Olley, G. S., & Pakes, A. (1996). The dynamics of productivity in the telecommunications equipment industry. Econometrica, 64(6), 1263–1297. 21. Wang, C.-H., Chen, C.-H., & Wang, C.-C. (2013). R&D, productivity, and market value: An empirical study from high-technology firms. Omega, 41(1), 143–155. 22. Wang, G.-R. (2018). The impact of investor sentiment on individual stock return in Taiwan (Master’s thesis). National Central University, Department of Finance. 23. Wang, J.-C., & Tsai, K.-H. (2004). Productivity growth and R&D expenditure in Taiwan’s manufacturing firms. In T. Ito & A. K. Rose (Eds.), Growth and productivity in East Asia(pp. 277–296). University of Chicago Press. 24. Wang, J.-Y. (2006). The study of the impact of R&D expenditure and capital expenditure on corporate performance (Master’s thesis, Chung Hua University). 25. Yeh, C.-H. (2009). The effect of R&D expenditure and capital expenditure on enterprise performance: Base on Taiwan semiconductor industry (Master’s thesis, National Cheng Kung University). National Digital Library of Theses and Dissertations in Taiwan. 26. Zhang, Y.-F. (2004). 台灣總要素生產力與經濟成長 [Master’s thesis, National Taipei University]. National Taipei University Repository.zh_TW