| dc.contributor | 財管系 | |
| dc.creator (作者) | 湛可南 | |
| dc.date (日期) | 2019-01 | |
| dc.date.accessioned | 11-Jun-2026 13:43:44 (UTC+8) | - |
| dc.date.available | 11-Jun-2026 13:43:44 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jun-2026 13:43:44 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182917 | - |
| dc.description.abstract (摘要) | 最近許多研究顯示，資產增加的公司未來股價表現欠佳；資產下滑的公司未來股價表現超越預期。這兩群公司的股票報酬差異無法用傳統的資產定價模型加以解釋，亦即所謂的資產變化效應。目前有兩種論點解釋資產變化效應。其一為定價誤差假說，即投資人沒有即時預期到公司的大幅成長將導致股價反轉。其二為q 理論(q theory)，即公司選擇在資金成本低時增加投資，並在資金成本高時減少投資。儘管此兩種解釋皆有得到部分實證支持，但仍無法完整說明資產變化如何預測未來股價。本計畫採用 Daniel and Titman (2006)的研究方法探討資產變化效應。Daniel and Titman(2006)將會計變數，例如淨價市值比，拆解為歷史變數、有形資訊和無形資訊三個部分，其中無形資訊與過去公司的績效無關。他們的研究發現無形資訊才是會計變數能夠預測股價報酬的關鍵。基於以上背景，本研究提出並檢驗以下三個主題：一、和資產變化無關的無形資訊是否可以解釋資產增加股價下跌的現象?本研究檢測在控制無形資訊的情況下，資產變化將無法有效預測股價報酬；二、若無形資訊可預測股價報酬，是符合理性預期的假說還是行為財務的假說?本文將使用套利限制的指標來量化投資人的行為誤差，並利用投資障礙成本的變數衡量公司遵循q 理論以進行投資的程度，以檢測對比兩項假說；三、無形資訊與未來股價報酬之間的關係是否能在美國以外的市場獲得驗證?本研究將利用跨國資料，研究無形資訊預測未來股價的能力。本研究計畫對資產定價的文獻有以下貢獻：一、使用嶄新的研究方法檢測資產變化效應，以解決理性預期和行為財務兩項理論間的爭議；二、本文乃首篇利用會計變數拆解法對跨國資料進行研究，以了解無形資訊與未來股價報酬的關係；三、釐清資產變化與淨價市值比之間的關係，兩者可預測未來股價的能力可能都來自無形資訊。 | |
| dc.description.abstract (摘要) | Recent finance literature documents a strong asset growth effect where firms with high (low) growth in total assets generate low (high) future stock returns. This asset growth anomaly is striking because it cannot be explained by popular asset pricing models and the abnormal return between two extreme asset growth portfolios is economically meaningful. Two prominent explanations are proposed to account for the negative association of asset growth and future returns. The mispricing hypothesis argues that investors extrapolate the firm growth too far into the future and stock returns tend to revise subsequently. The q theory asserts that firms respond to increase (decrease) investments when cost of capital is low (high). While each of the two explanations receives some empirical support, none of the two offers a complete story for the asset growth anomaly. This project examines the asset growth effect by applying the innovative approach designed by Daniel and Titman (2006). They decompose the price-scaled accounting variable (e.g., book-to-market) into the past accounting variable, tangible information and intangible information. They show that the return predictability of price-scaled variables is mainly driven by the intangible information that is uncorrelated with past accounting performance. We ask and examine three sets of questions. First, is the asset growth anomaly well explained by the intangible information that is not associated with asset growth? We test if asset growth exhibits no return predictability after controlling for intangible information. Second, if intangible information can predict returns, is it consistent with a rational story or a behavior explanation? We use limits-to-arbitrage measures to quantify the behavioral biases committed by investors, and investment frictions to gauge the extent that firms make investments based on the q theory. Third, do we observe the association of intangible information and future returns outside of US? We explore international data by applying the decomposition method. We offer several contributions to the asset pricing literature. In particular, we examine the asset growth effect from a novel approach that is different from the extant literature in asset growth. Our results could shed light on the debate between the rational and behavioral explanations. Also, this project is the first study to apply the decomposition approach to international data. We are able to provide the out-of-sample evidence for the return predictability of intangible information. Finally, we try to reconcile the asset growth effect with the anomaly associated with price-scaled variables. It is plausible that the source of predictability behind the price-scaled variables also drives the asset growth anomaly. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST104-2410-H004-018-MY3, 104.08-107.07 | |
| dc.subject (關鍵詞) | 資產變化效應(asset growth effect); 無形資訊(intangible information); 套利限制(limits to arbitrage); 投資障礙成本(investment friction) | |
| dc.subject (關鍵詞) | asset growth effect; intangible information; limits-to-arbitrage; investment frictions | |
| dc.title (題名) | 資產變化與無形資訊 | |
| dc.title (題名) | Asset Growth and Intangible Information | |
| dc.type (資料類型) | report | |
