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題名 財務比率與股票型基金持股關聯性之實證研究
作者 徐佩鈺
貢獻者 林宛瑩
徐佩鈺
關鍵詞 股票型基金
財務屬性
基金持股比例
Stock-type mutual fund
Financial attribute
Share-holding ratio
日期 2001
上傳時間 18-Sep-2009 19:03:39 (UTC+8)
摘要 本研究以民國86年至90年之54檔投資台灣開放式一般股票型之共同基金為研究對象，探討財務資訊與股票型基金持股間之關聯。主要實證議題包括：（一）在不同的產業之下，共同基金經理人從事持股決策所重視的財務屬性是否有差異及（二）公司之財務表現與共同基金對該公司平均持股比例之關聯性。
本研究分別針對建築、食品、塑化、紡織、電機、資訊電子及服務銷售類等七個產業，首先利用因素分析將16項財務比率萃取出數個具代表性之財務屬性，並加入股票週轉率、淨值市價比、本益比與每股股價等控制變數進行迴歸分析，以探討財務屬性與共同基金平均持股比例之關聯性。
實證結果發現，償債能力、經營能力、投資報酬、經營績效、固定資產資金之安全與效率和現金支應能力六個財務屬性最能代表建築產業之財務表現；償債能力、經營能力、應收帳款週轉率和獲利能力四個財務屬性最能代表食品產業之財務表現；償債能力、利息保障倍數、經營能力、和獲利能力四個財務屬性最能代表塑化產業之財務表現;償債能力、利息保障倍數、經營能力、獲利能力和財務結構五個財務屬性最能代表紡織產業之財務表現;償債能力、資金適足率、經營能力、獲利能力和財務結構五個財務屬性最能代表電機產業之財務表現；償債能力、經營能力和獲利能力三個財務屬性最能代表資訊電子產業之財務表現；而償債能力、經營能力、獲利能力、負債比率和固定資產資金之安全與效率五個財務屬性最能代表服務銷售產業之財務表現。各個產業所萃取出之財務屬性因素不盡相同，顯示彙總公司財務狀況及經營績效的財務屬性確有產業別之差異存在。在所探討的財務屬性構面中，償債能力、經營能力、獲利能力為各產業共同強調之財務屬性。
就基金經理人所做的持股策略來看，不論針對何種產業，償債能力、經營能力及獲利能力均是基金經理人最為重視的財務屬性指標。研究結果另外也顯示，除了服務銷售業、食品業與建築業外，其他產業之償債能力屬性表現越好，基金持股比例愈高。塑化業、紡織業、電機業、資訊電子業和服務銷售業之經營能力屬性表現愈好，基金持股比例也相對愈高。至於獲利能力屬性則在紡織業、電機業、資訊電子業和服務銷售業顯著地對基金持股比例有正面的影響。
本研究之發現顯示，不同的產業在不同的經營環境下，反映公司狀況的財務資訊會因產業別而有所不同，即使在相同的財務比率下，彙總公司財務狀況及經營結果之財務因素屬性仍有所差異，並進而影響基金經理人的持股決策，尤其是償債能力、經營能力和獲利能力，更是投資各產業時廣泛參考的基本財務屬性指標。
關鍵字：股票型基金、財務屬性、基金持股比例
The primary object of this research is to exam the relationship between financial information of a firm and its share held by mutual funds, based on 54 mutual funds of general stock investments in Taiwan over the period of 1997 to 2001. Two major research issues are investigated in this thesis. The study first explores whether the managers of mutual funds emphasize on the same attributes abstracted from financial statements across different industries for their share-holding decisions. The study then examines the relationship between financial performance of a company and its average invested percentage by mutual funds.
This thesis focuses on architecture, foods, plastic, textile, electrical machinery, information electronics, as well as service and sales industries. Based on a factor analysis approach, the thesis is able to obtain several representative dimensions of financial attributes out of 16 financial ratios. Then, the use of multiple regression models enables the study to investigate the relationship between financial attributes and average shareholding percentage of the mutual funds across industries.
The empirical results indicate that financial attributes extracted are not exactly the same across industries. It implies that industry differences do exist in financial attributes that summarize the financial conditions and operating performances of companies. Among others, attributes that characterize the performance of liquidity, operating efficiency, and profitability of a firm are found important for share-holding percentage across all industries examined.
The research findings show that with exceptions in the service and sales, foods, and architecture industries, liquidity has found to have a significant and positive relation with the share-holding percentage of mutual funds in all industries examined. Operating efficiency has also found to be significantly and positively associated with the share-holding percentage in the plastic, textile, electrical machinery, information electronics, as well as service and sales industries. In addition, a significant and positive relation is found between profitability and the share-holding percentage in the electrical machinery, information electronics, textile, as well as service and sales industries.
The finding of this study implies that difference in financial conditions of firms may result in difference in financial attributes across industries; even the analysis is based on the same financial ratios. Further, the liquidity, operating efficiency and profitability are the most essential indicators shared by mutual funds managers in making investment decisions.
Keywords: stock-type mutual fund, financial attribute, share-holding ratio
描述 碩士
國立政治大學
會計研究所
90
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCU2072012
資料類型 thesis
dc.contributor.advisor 林宛瑩zh_TW
dc.contributor.author (Authors) 徐佩鈺zh_TW
dc.creator (作者) 徐佩鈺zh_TW
dc.date (日期) 2001en_US
dc.date.accessioned 18-Sep-2009 19:03:39 (UTC+8)-
dc.date.available 18-Sep-2009 19:03:39 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 19:03:39 (UTC+8)-
dc.identifier (Other Identifiers) G91NCCU2072012en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/36640-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 90zh_TW
dc.description.abstract (摘要) 本研究以民國86年至90年之54檔投資台灣開放式一般股票型之共同基金為研究對象，探討財務資訊與股票型基金持股間之關聯。主要實證議題包括：（一）在不同的產業之下，共同基金經理人從事持股決策所重視的財務屬性是否有差異及（二）公司之財務表現與共同基金對該公司平均持股比例之關聯性。
本研究分別針對建築、食品、塑化、紡織、電機、資訊電子及服務銷售類等七個產業，首先利用因素分析將16項財務比率萃取出數個具代表性之財務屬性，並加入股票週轉率、淨值市價比、本益比與每股股價等控制變數進行迴歸分析，以探討財務屬性與共同基金平均持股比例之關聯性。
實證結果發現，償債能力、經營能力、投資報酬、經營績效、固定資產資金之安全與效率和現金支應能力六個財務屬性最能代表建築產業之財務表現；償債能力、經營能力、應收帳款週轉率和獲利能力四個財務屬性最能代表食品產業之財務表現；償債能力、利息保障倍數、經營能力、和獲利能力四個財務屬性最能代表塑化產業之財務表現;償債能力、利息保障倍數、經營能力、獲利能力和財務結構五個財務屬性最能代表紡織產業之財務表現;償債能力、資金適足率、經營能力、獲利能力和財務結構五個財務屬性最能代表電機產業之財務表現；償債能力、經營能力和獲利能力三個財務屬性最能代表資訊電子產業之財務表現；而償債能力、經營能力、獲利能力、負債比率和固定資產資金之安全與效率五個財務屬性最能代表服務銷售產業之財務表現。各個產業所萃取出之財務屬性因素不盡相同，顯示彙總公司財務狀況及經營績效的財務屬性確有產業別之差異存在。在所探討的財務屬性構面中，償債能力、經營能力、獲利能力為各產業共同強調之財務屬性。
就基金經理人所做的持股策略來看，不論針對何種產業，償債能力、經營能力及獲利能力均是基金經理人最為重視的財務屬性指標。研究結果另外也顯示，除了服務銷售業、食品業與建築業外，其他產業之償債能力屬性表現越好，基金持股比例愈高。塑化業、紡織業、電機業、資訊電子業和服務銷售業之經營能力屬性表現愈好，基金持股比例也相對愈高。至於獲利能力屬性則在紡織業、電機業、資訊電子業和服務銷售業顯著地對基金持股比例有正面的影響。
本研究之發現顯示，不同的產業在不同的經營環境下，反映公司狀況的財務資訊會因產業別而有所不同，即使在相同的財務比率下，彙總公司財務狀況及經營結果之財務因素屬性仍有所差異，並進而影響基金經理人的持股決策，尤其是償債能力、經營能力和獲利能力，更是投資各產業時廣泛參考的基本財務屬性指標。
關鍵字：股票型基金、財務屬性、基金持股比例		zh_TW
dc.description.abstract (摘要) The primary object of this research is to exam the relationship between financial information of a firm and its share held by mutual funds, based on 54 mutual funds of general stock investments in Taiwan over the period of 1997 to 2001. Two major research issues are investigated in this thesis. The study first explores whether the managers of mutual funds emphasize on the same attributes abstracted from financial statements across different industries for their share-holding decisions. The study then examines the relationship between financial performance of a company and its average invested percentage by mutual funds.
This thesis focuses on architecture, foods, plastic, textile, electrical machinery, information electronics, as well as service and sales industries. Based on a factor analysis approach, the thesis is able to obtain several representative dimensions of financial attributes out of 16 financial ratios. Then, the use of multiple regression models enables the study to investigate the relationship between financial attributes and average shareholding percentage of the mutual funds across industries.
The empirical results indicate that financial attributes extracted are not exactly the same across industries. It implies that industry differences do exist in financial attributes that summarize the financial conditions and operating performances of companies. Among others, attributes that characterize the performance of liquidity, operating efficiency, and profitability of a firm are found important for share-holding percentage across all industries examined.
The research findings show that with exceptions in the service and sales, foods, and architecture industries, liquidity has found to have a significant and positive relation with the share-holding percentage of mutual funds in all industries examined. Operating efficiency has also found to be significantly and positively associated with the share-holding percentage in the plastic, textile, electrical machinery, information electronics, as well as service and sales industries. In addition, a significant and positive relation is found between profitability and the share-holding percentage in the electrical machinery, information electronics, textile, as well as service and sales industries.
The finding of this study implies that difference in financial conditions of firms may result in difference in financial attributes across industries; even the analysis is based on the same financial ratios. Further, the liquidity, operating efficiency and profitability are the most essential indicators shared by mutual funds managers in making investment decisions.
Keywords: stock-type mutual fund, financial attribute, share-holding ratio		en_US
dc.description.tableofcontents 目錄-----I
表目錄-----II
圖目錄-----IV

第一章 緒論-----1
第一節 研究動機及目的-----1
第二節 研究問題-----4
第三節 論文架構-----6

第二章 文獻探討-----7
第一節 會計資訊約有用性-----7
第二節 機構投資人之投資行為-----9

第三章 研究方法-----14
第一節 研究假說-----14
第二節 研究變數之設計-----14
第三節 樣本及資料-----18
第四節 研究分析方法-----20

第四章 實證結果分析-----25
第一節 全部產業-----25
第二節 建築業-----32
第三節 食品業-----38
第四節 塑化業-----43
第五節 紡織業-----48
第六節 電機業-----53
第七節 資訊電子業-----63
第八節 服務銷售業-----68

第五章 結論與建議-----68
第一節 研究結果-----68
第二節 研究限制-----72
第三節 未來研究建議-----72

參考文獻-----74


表1-1 證券服務事業家數統計表-----2
表1-2 基金分類統計-----2
表3-1 財務比率公式及意義彙總表-----16
表3-2 篩選之基金樣本-----18
表3-3 樣本期間被樣本基金選為投資標的之個股-----19
表4-1 全部樣本因素分析摘要彙總表-----25
表4-2 全部樣本財務因素相關矩陣-----26
表4-3 全部樣本斜交轉軸因素結構分析-----26
表4-4 全部產業樣本之敘述統計值-----27
表4-5 全部樣本共線性診斷表-----28
表4-6 全部產業樣本變數之Pearson/Spearman相關係數表-----29
表4-7 全部產業樣本之迴歸結果-----30
表4-8 建築業樣本因素分析摘要彙總表-----32
表4-9 建築業樣本財務因素相關矩陣-----32
表4-10 建築業樣本斜交轉軸因素結構分析-----33
表4-11 建築業樣本之敘述統計值-----34
表4-12 建築業樣本共線性診斷表-----34
表4-13 建築業樣本變數之Pearson/Spearman相關係數表-----35
表4-14 建築業樣本之迴歸結果-----36
表4-15 食品業樣本因素分析摘要彙總表-----38
表4-16 食品業樣本財務因素相關矩陣-----38
表4-17 食品業樣本斜交轉軸因素結構分析-----39
表4-18 食品業之敘述統計值-----40
表4-19 食品業樣本共線性診斷表-----40
表4-20 食品業樣本變數之Pearson/Spearman相關係數表-----41
表4-21 食品業樣本之迴歸結果-----42
表4-22 塑化業樣本因素分析摘要彙總表-----43
表4-23 塑化業樣本財務因素相關矩陣-----43
表4-24 塑化業樣本斜交轉軸因素結構分析-----44
表4-25 塑化業樣本之敘述統計值-----45
表4-26 塑化業樣本共線性診斷表-----45
表4-27 塑化業樣本變數之Pearson/Spearman相關係數表-----46
表4-28 塑化業樣本之迴歸結果-----47
表4-29 紡織業樣本因素分析摘要彙總表-----48
表4-30 紡織業樣本財務因素相關矩陣-----48
表4-31 紡織業樣本斜交轉軸因素結構分析-----49
表4-32 紡織業樣本之敘述統計值-----50
表4-33 紡織業樣本共線性診斷表-----50
表4-34 紡織業樣本變數之Pearson/Spearman相關係數表-----51
表4-35 紡織業樣本之迴歸結果-----52
表4-36 電機業樣本因素分析摘要彙總表-----53
表4-37 電機業樣本財務因素相關矩陣-----53
表4-38 電機業樣本斜交轉軸因素結構分析-----54
表4-39 電機業樣本之敘述統計值-----55
表4-40 電機業樣本共線性診斷表-----55
表4-41 電機業樣本變數之Pearson/Spearman相關係數表-----56
表4-42 電機業樣本之迴歸結果-----57
表4-43 資訊電子業樣本因素分析摘要彙總表-----58
表4-44 資訊電子業樣本財務因素相關矩陣-----58
表4-45 資訊電子業樣本斜交轉軸因素結構分析-----59
表4-46 資訊電子業樣本之敘述統計值-----60
表4-47 資訊電子業樣本共線性診斷表-----60
表4-48 資訊電子業樣本變數之Pearson/Spearman相關係數表-----61
表4-49 資訊電子業樣本之迴歸結果-----62
表4-50 服務銷售業樣本因素分析摘要彙總表-----63
表4-51 服務銷售業樣本財務因素相關矩陣-----63
表4-52 服務銷售業樣本斜交轉軸因素結構分析-----64
表4-53 服務銷售業樣本之敘述統計值-----65
表4-54 服務銷售業樣本共線性診斷表-----65
表4-55 服務銷售業樣本變數之Pearson/Spearman相關係數表-----69
表4-56 服務銷售業樣本之迴歸結果-----67
表5-1 各研究產業樣本之相關變數敘述統計值-----68
表5-2 研究產業樣本之各因素變數比較表-----69
表5-3 各研究產業樣本之迴歸分析結果-----71


圖1-1 台灣之基金分類方式-----4
圖1-2 研究問題之觀念性架構圖-----5		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCU2072012en_US
dc.subject (關鍵詞) 股票型基金zh_TW
dc.subject (關鍵詞) 財務屬性zh_TW
dc.subject (關鍵詞) 基金持股比例zh_TW
dc.subject (關鍵詞) Stock-type mutual funden_US
dc.subject (關鍵詞) Financial attributeen_US
dc.subject (關鍵詞) Share-holding ratioen_US
dc.title (題名) 財務比率與股票型基金持股關聯性之實證研究zh_TW
dc.type (資料類型) thesisen