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    题名: 台灣50指數內含價值之衡量與交易策略
    The Intrinsic Value and Value-Investing Strategy of TSEC Taiwan 50 Index
    作者: 劉家佑
    贡献者: 郭維裕
    劉家佑
    关键词: 剩餘所得模型
    內含價格
    台灣50指數
    residual income valuation model
    intrinsic value
    TSEC Taiwan 50 Index
    Ohlson model
    日期: 2006
    上传时间: 2009-09-18 14:19:16 (UTC+8)
    摘要: 本篇論文以分析師對未來公司盈餘預測為基礎，使用剩餘所得模型來對台灣股票市場做實證研究。在這個架構下，我們比較了剩餘所得模型評價法與各種不同的傳統評價法對台灣50成分股的估算表現。
    本篇論文的實證發現，內含價值對股票價格比率(intrinsic value to price ratio)對台灣50成分股的預測，在中短期的投資期間內相較於傳統評價法，預測力最高。帳面價值對股票價格比率(book value to price ratio)則在長期的投資期間內，預測力顯著高於其他評價法。盈餘對價格比率(earnings to price ratio)預測力最低。而將所有評價法一同列入考慮時，則發現並沒有任何一種評價法能明顯主宰其他不同的評價法，各種評價方法在預測未來股市表現是互補的。
    本篇論文進一步探討剩餘所得模型評價法對台灣50成分股的交易策略，發現以剩餘所得模型估算出的內含價值為標準來進行交易，能得到正報酬。而考慮會計保守原則的模型報酬率能顯著高於沒有將會計保守原則列入考慮的模型。
    We provide an empirical assessment of the residual income valuation model bases on analysts’ forecast data in Taiwan stock market. In this framework, we compare the performance of alternative estimates of intrinsic value with traditional valuation estimates for the component stocks of TSEC Taiwan 50 Index. According to our results, intrinsic value-to-price ratio is a reliable predictor of market returns over short-to-mid period and book-to-price ratios is a reliable predictor over long horizons. Unlike the two ratios, earnings-to-price ratio has little predictive power for returns in Taiwan stock market. Furthermore, intrinsic value-to-price ratio does not dominate traditional valuation but provide another perspective of stock valuation, and we can have a better forecast of future return of Taiwan stock market with consideration of all valuation estimates.
    參考文獻: 1. Abarbanell, J., and V. Bernard, 1992, Tests of analysts’ overreaction/underreaction to earnings information as an explanation for anomalous stock price behavior, Journal of Finance 47, 1181-1207.
    2. Bernard, V., 1995, the Felthan-Ohlson Framework: Implication for empiricists, Comtemporary Accounting Research 11, 733-747.
    3. Campell, J., and R., shiller, 1988, The dividend price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195-228.
    4. Dechow, P., Hutton, A., and R., Sloan, 1999, An empirical assessment of the residual income valuation model, Journal of Accounting and Economics 26, 1-34.
    5. Fairfield, P., 1994, P/E, P/B and the present value of future dividends, Financial Analysts Journal July/Aug., 23-31.
    6. Fama, E.F., and K.R., French, 1988a, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.
    7. Fama, E.F., and K.R., French, 1988b, Permanent and temporary components of stock prices, Journal of Political Economy 96, 246-273.
    8. Fama, E.F., and K.R., French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23-49.
    9. Fama, E.F., and K.R., French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
    10. Fama, E.F., and K.R., French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 49, 131-155.
    11. Feltham, G., and J., Ohlson, 1995, Valuation and clean surplus accounting for operating and financial activities, Contemporary Accounting Research 11, 689-730.
    12. Frankel, R., and C.M.C., Lee, 1998, Accounting valuation, market expectation, and cross-sectional stock returns, Journal of Accounting and economics 25, 283-319.
    13. Kothari S.P., and J. Shanken, 1997, Book-to-market, dividend yield, and expected market returns: A time-series analysis, Journal of Financial Economics 44, 169-203.
    14. Lee, C.M.C., Myers, J., and B., Swaminathan, 1999, What is the intrinsic value of the Dow?, Journal of Finance 5, 1693-1741.
    15. MacBeth, J., and D., Emanuel, 1993, Tactical asset allocations: pros and cons, Financial Analysts Journal Nov.-Dec., 30-43.
    16. Myers, J., 1999, Conservative accounting and finite company life: Why residual income valuation estimates understate stock price, Working paper, University of Washington Business School.
    17. Ohlson, J., 1995, Earnings, book values and dividends in security valuation, Contemporary Accounting Research 11, 661-687.
    18. Penman, S.H., and T., Sougiannas, 1998, A comparison of dividend, cash flow, and earnings approaches to equity valuation, Working paper, University of California at Berkeley, and University of Illinois at Urbana-Champaign, Oct.
    19. Gosta Jamin, 2005, Investment Performance of Residual Income Valuation Models on the German Stock Market, Working paper, Wirtschaftswissenschaftliche Fakultat der Bayerischen Julius-Maximilians-Universitat.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351034
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0943510341
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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