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| Title: | 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
The Application of Cyclically Adjusted Price-to-Earnings Ratio in Taiwan's Equity Market: The Case of the AI Supply Chain |
| Authors: | 林子渝
Lin, Tzu-Yu |
| Contributors: | 郭維裕
Kuo, Wei-Yu
林子渝
Lin, Tzu-Yu |
| Keywords: | 週期性本益比
傳統本益比
報酬預測
個別公司層級
縱橫資料迴歸
Cyclically Adjusted Price-to-Earnings Ratio (CAPE)
Traditional Price-to-Earnings Ratio (P/E Ratio)
Stock return prediction
Firm-level analysis
Panel data regression |
| Date: | 2025 |
| Issue Date: | 2025-07-01 14:37:54 (UTC+8) |
| Abstract: | 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。
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. |
| Reference: | 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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| Description: | 碩士
國立政治大學
國際經營與貿易學系
112351020 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112351020 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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