帳號:guest(3.16.47.108)          離開系統
字體大小: 字級放大   字級縮小   預設字形  

詳目顯示

以作者查詢圖書館館藏以作者查詢臺灣博碩士論文系統以作者查詢全國書目勘誤回報
作者:呂維愷
作者(英文):Wei-Kai Lu
論文名稱:毛利與橫截面股票報酬:台灣實證
論文名稱(英文):Gross profitability and the cross-section of stock returns: Evidence from Taiwan
指導教授:蕭朝興
指導教授(英文):Chao-Shin Chiao
口試委員:翁培師
何柏欣
口試委員(英文):Pei-Shih Weng
Po-Hsin Ho
學位類別:碩士
校院名稱:國立東華大學
系所名稱:財務金融學系
學號:610736009
出版年(民國):109
畢業學年度:108
語文別:中文
論文頁數:47
關鍵詞:毛利淨利獲利能力研發費用
關鍵詞(英文):gross profitnet incomeprofitabilityresearch and development
相關次數:
  • 推薦推薦:0
  • 點閱點閱:15
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏收藏:0
本文研究目的在於運用不同的獲利能力指標,探討台灣股市中獲利能力是否解釋
股票橫截面報酬。研究結果顯示:第一、隨著時間的推移,獲利能力對橫截面報
酬的解釋力明顯上升。第二、毛利在控制研發費用後,依然具有解釋能力,雖然
研發費用已喪失解釋股票報酬的能力。第三、同樣是獲利性指標,毛利與淨利所
捕捉到的訊息並不相同。最後,本文以毛利與淨利形成投資組合,其平均報酬顯
著大於在台灣使用 Novy-Marx (2013) 提出的毛利與帳面市值比形成之投資組
合。
Applying various measures of profitability, the purpose of this paper is to explore whether profitability can explain the cross-section of stock returns in the Taiwan stock market. The results are as follows. First, the explanatory power of profitability is increasing over time. Second, gross profits still have explanatory power even after controlling for research and development (R&D). Second, although both gross profits and net income explains stock returns, they convey different information. Finally, we develop an investing strategy based on gross profits and net income that outperforms the gross-profit strategy proposed by Novy-Marx (2013) in Taiwan.
摘要iii
Abstractiv
緒論1
第一節 研究背景與動機1
第二節 研究架構與本文架構2
文獻探討5
第一節 研發費用與未來獲利能力5
第二節 研發費用與股票報酬5
第三節 毛利對股票報酬的解釋能力7
研究方法9
第一節 資料來源9
第二節 變數衡量9
(一) 研發費用變數衡量9
(二) 獲利能力變數衡量10
第三節 研究程序10
實證分析13
第一節 獲利能力與研發費用指標的敘述性統計與相關性13
第二節 研發費用的Fama-MacBeth迴歸分析14
第三節 獲利能力的Fama-MacBeth迴歸分析17
第四節 毛利與淨利的平減效果18
第五節 以毛利與淨利形成投資組合19
結論23
參考文獻25
表 1 研發與獲利能力指標敘述性統計29
表 2 研發費用對未來獲利能力的FM迴歸分析30
表 3 研發費用指標對股票報酬的FM迴歸分析32
表 4 獲利能力指標對股票報酬的FM迴歸分析35
表 5 平減(Deflating Effect)效果37
表 6 毛利與淨利形成投資組合的平均報酬41
Ball, R. (1978). Anomalies in relationships between securities’ yields and
yield-surrogates. Journal of Financial Economics, 6, 103-126.
Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. V. (2015). Deflating
profitability. Journal of Financial Economics, 117, 225-248.
Banz, R. W. (1981). The relationship between return and market value of common
stocks. Journal of Financial Economics, 9, 3-18.
Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of
Business, 45, 444-455.
Branch, B. (1974). Research and development activity and profitability: A distributed
lag analysis. Journal of Political Economy, 82, 999-1011.
Bushee, B. J. (1998). The Influence of Institutional Investors on Myopic R&D
Investment Behavior. The Accounting Review, 73, 305-333.
Chan, L. K. C., Lakonishok, J., & Sougiannis, T. (2001). The stock market valuation
of research and development expenditures. Journal of Finance, 56,
2431-2456.
Chan, S. H., Martin, J. D., & Kensinger, J. W. (1990). Corporate research and
development expenditures and share value. Journal of Financial Economics,
26, 255-276.
Chen, L., Novy-Marx, R., & Zhang, L. (2010). An alternative three–factor model.
Unpublished working paper.
Christie, A. A. (1987). On corss-sectional analysis in accounting research. Journal of
Accounting and Economics, 9, 231-258.
Cohen, R. B., Gompers, P. A., & Vuolteenaho, T. (2002). Who underreacts to
cash-flow news? evidence from trading between individuals and institutions.
Journal of Financial Economics, 66, 409-462.
Cohen, W. M., & Levinthal, D. A. (1990). Absorptive Capacity: A new perspective on
learning and innovation. Administrative Science Quarterly, 35, 128-152.
DeBondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of
Finance, 40, 793-805.
DelMonte, A., & Papagni, E. (2003). R&D and the growth of firms: Empirical
analysis of a panel of Italian firms. Research Policy, 32, 1003-1014.
Eberhart, A. C., Maxwell, W. F., & Siddique, A. R. (2004). An examination of
long-term abnormal stock returns and operating performance following R&D
increases. Journal of Finance, 59, 623-650.
26
Eisfeldt, A. L., & Papanikolaou, D. (2013). Organization capital and the cross-section
of expected returns. Journal of Finance, 68, 1365-1406.
Ernst, H. (2001). Patent applications and subsequent changes of performance:
evidence from time-series cross-section analyses on the firm level. Research
Policy, 30, 143-157.
Fama, E. F., & French, K. R. (1992). The cross section of expected stock returns.
Journal of Finance, 47, 427-465.
Fama, E. F., & French, K. R. (2000). Forecasting profitability and earnings. Journal of
Business, 73, 161-175.
Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns.
Journal of Financial Economics, 82, 491-518.
Gentry, R. J., & Shen, W. (2013). The impacts if performance relative to analyst
forecasts and analyst coverage on firm R&D intensity. Strategic Management
Journal, 34, 121-130.
Gu, L. (2015). Product market competition, R&D investment and stock returns.
Journal of Financial Economics, 119, 441-455.
Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected
stock returns. Journal of Financial Economics, 41, 401-439.
Hill, C. W. L., & Snell, S. A. (1988). External control, corporate strategy, and firm
performance in research-intensive industries. Strategic Management Journal,
9, 577-590.
Hirschey, M., & Weygandt, J. J. (1985). Amortization policy for advertising and
research and development expenditures. Journal of Accounting Research, 23,
326-335.
Jensen, M. C. (1993). The modern industrial revolution, exit, and the failure of
internal control systems. Journal of Finance, 48, 831-880.
Kor, Y. Y. (2006). Direct and interaction effects of top management team and board
compositions on R&D investment strategy. Strategic Management Journal, 27,
1081-1099.
Kothari, S. P., Laguerre, T. E., & Leone, A. J. (2002). Capitalization versus expensing:
Evidence on the uncertainty of future earnings from capital expenditures
versus R&D outlays. Review of Accounting Studies, 7, 355-382.
Lerner, J., & Wulf, J. (2007). Innovation and incentives: Evidence from corporate
R&D. Review of Economics and Statistics, 89, 634-644.
Linter, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments
in Stock Portfolios and Capital Budgets. Review of Economics and Statistics,
47, 13-37.
Lipe, R. C. (1986). The information contained in the components of earnings. Journal
27
of Accounting Research, 24, 37-64.
Lustgarten, S. (1987). The impact of replacement cost disclosure on security prices:
New Evidence. Journal of Accounting and Economics, 4, 121-141.
Novy-Marx, R. (2013). The other side of value: The gross profitability premium.
Journal of Financial Economics, 108, 1-28.
Novy-Marx, R. (2015). Fundamentally, momentum is Fundamental momentum.
Unpublished working paper.
Poonawala, S. H., & Nagar, N. (2019). Gross profit manipulation through
classification shifting. Journal of Business Research, 94, 81-88.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under
conditions of risk. Journal of Finance, 19, 425-442.
Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash
flows about future earnings? The Accounting Review, 71, 289-315.
范宏書、林彥廷 (2010)。研發密集公司剩餘報酬產生原因:風險溢酬或錯誤訂
價。證券市場發展季刊,22,1-38。
曾信超 (2006)。企業環境、技術創新能力與技術資源管理能力對創新績效之影
響。科技管理學刊,11(3),1-30。
詹淑清、郭迺鋒、游淑慧(2002)。R&D 支出對新竹科學園區積體電路廠商獲利
實證分析–多元迴歸與區別分析法之應用。企銀季刊,25(1),189-209。
歐進士 (1998)。我國企業研究發展與經營績效關聯之實證研究。中山管理評論,
6(2),357-386。
(此全文20250810後開放外部瀏覽)
01.pdf
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
* *