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| Title: | 財務比率對股票報酬解釋能力分析-運用縱橫資料分量迴歸模型研究台灣上市公司
The Analysis of Financial Ratios' Explanatory Power on Stock Returns – A Study of Taiwanese Listed Companies Using the Panel Quantile Regression Model |
| Authors: | 方昇平
Fang, Sheng-Ping |
| Contributors: | 林信助
方昇平
Fang, Sheng-Ping |
| Keywords: | 財務比率
報酬率
縱橫資料
分量迴歸
Financial ratio
Stock returns
Panel data
Quantile regression
Panel quantile regression |
| Date: | 2024 |
| Issue Date: | 2024-11-01 11:37:21 (UTC+8) |
| Abstract: | 回首過去探討各項財務比率與股票報酬率關係的文獻，多數是使用最小平方模型或逐步迴歸等模型，無法觀測股票報酬在較高或是較低的時期裡，財務比率與股票報酬的關係。有鑑於此，本研究結合Hobbs et al. (2012)使用的風險調整報酬率方法與Güloğlu et al. (2016)使用的縱橫資料動態分量迴歸模型，以縱橫資料分量迴歸模型為基礎，進一步結合風險調整報酬率方法，剔除三因子對上市公司報酬率的解釋力後，分析各分量股票報酬率下台灣上市公司財務比率對股票報酬率的影響，除了能觀測極端情況下財務比率對股票報酬的解釋能力，也解決過去文獻遇到的「市場因子數據並非縱橫資料」造成的估計偏誤問題。此外，本研究除了以理論闡述本研究不參考Güloğlu et al. (2016)使用beta作為模型參數的原因，也以實證之方式比較兩種研究方法不同之實證結果。總結來說，本研究改善過去文獻使用之模型，以2008年至2023年台灣上市公司作為研究樣本，探討財務比率與各分量股票報酬率之關係，解決模型估計問題並提供經濟直覺之洞見。
Looking back at past literature that explored the relationship between various financial ratios and stock returns, most studies have used models such as the least squares model or stepwise regression, which are unable to observe the relationship between financial ratios and stock returns during periods of particularly high or low returns. In light of this, this study combines the risk-adjusted return method used by Hobbs et al. (2012) and the dynamic panel quantile regression model employed by Güloğlu et al. (2016). Based on the panel data quantile regression model, this research further integrates the risk-adjusted return method to exclude the explanatory power of the three-factor model on the returns of listed companies. It then analyzes the impact of financial ratios on stock returns for listed companies in Taiwan across different quantiles of stock returns. This approach not only allows us to observe the explanatory power of financial ratios under extreme conditions but also addresses the estimation bias found in previous literature due to the "market factor data not being in panel form." Furthermore, this study explains, both theoretically and empirically, why it does not adopt the beta used by Güloğlu et al. (2016) as a model parameter, and compares the empirical results of the two different research methods. In summary, this study improves upon the models used in past literature by examining the relationship between financial ratios and stock returns across different quantiles, using data from Taiwanese listed companies between 2008 and 2023. It resolves the issues of model estimation and provides valuable economic insights. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351029 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351029 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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