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題名：景氣指標對獲利能力持續性之門檻效果
作者：蔡孟樺
作者(外文)：Meng-Hua Tsai
校院名稱：中原大學
系所名稱：商學博士學位學程
指導教授：吳博欽
學位類別：博士
出版日期：2018
主題關鍵詞：縱橫平滑轉換自我迴歸模型；景氣對策訊號；獲利能力；持續性與穩定性；Panel smooth transition autoregression model；Business Monitoring Indicators；Profitability；Persistence and Stability
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金融機構發展與國家經濟發展具有密不可分的關係，且對經濟成長與資本累積具有一定的成效。公司的獲利能力可以反映其經營成果，而獲利能力的持續性則有助於公司的永續經營。
本研究建構縱橫平滑轉換自我迴歸模型 (panel smooth transition autoregression model ,PSTAR) ，探討景氣對策信號分數對台灣金融控股公司的資產報酬率、股東權益報酬率與每股盈餘及其持續性的非線性與依時變動的門檻效果。實證上，以台灣上市 (櫃) 的13家金融控股公司為對象，樣本期間為2008年 Q2 到 2017 年 Q3的縱橫季資料，共計494個觀察值。
實證結果歸納如下﹕
(一)ROA 、 ROE 、 EPS 的持續性與穩定性相當類似，且隨各期的景氣對策信號分數的變動而改變。換言之，三種獲利能力的持續性與穩定性均是隨著各期的景氣分數而變動。
(二)ROA 、 ROE 、 EPS 的走勢呈現平滑轉換的現象，且移轉的門檻值均在剛脫離綠燈而甫進入黃紅燈的 32 分附近，顯示採用 PSTAR 模型估計三種獲利能力平滑轉換的健全性。
(三)在低景氣對策信號分數下， EPS 的持續性高於 ROE ，且 ROE 的持續性高於 ROA 。換言之，在景氣較低迷的階段，以 EPS 的穩定性最高。
(四)在景氣較佳的黃紅燈或紅燈下，仍以 EPS 的持續性最高， ROA 次之， ROE 最低。儘管如此， EPS 的持續性仍僅有 0.271 ，亦即仍有 72.9 % 的當期 EPS 受當期外生干擾的影響。換言之，在景氣較佳時，業者應隨時注意外在環境變遷對三者的衝擊，並嘗試提昇三者的持續性與穩定性。
由實證結果所衍生的政策建議如下：
(一)對於金融股的投資者而言，應該依各期的景氣對策信號分數逐期估計該三種獲利能力及其持續性與穩定性，以獲得更正確獲利能力預估值，並進行相關的投資。
(二)金融監理單位與金融控股公司必須更關注當期隨機衝擊對當期 ROA 與 ROE 的干擾，並調整貨幣政策或資產與負債結構，以提升獲利能力的持續性，進而維持盈餘品質。
(三)在以景氣指標作為轉換變數時，多數的情況下， EPS 的持續性或穩定性大於 ROA 與 ROE ，故投資人可選擇每股盈餘作為評估獲利能力穩定性的基礎。
(四)由於 ROA 、 ROE 及 EPS 的持續性均隨各期的景氣對策信號分數的變動而改變。然而當期負面的外生干擾對當期獲利能力的影響仍大，故金融監理單位與金融控股公司更應加強對金融控股公司的監督，以免因獲利能力持續性轉弱，進而形成金融危機。
The development of financial institutions can boost economic growth and capital accumulation, which are significantly correlated with national economic development. Corporate profitability reflects the operating results of enterprises, and the persistence of the profitability is beneficial to a company’s sustainable development.
This study constructs a panel smooth transition autoregression (PSTAR) model to explore the nonlinear and time-varying threshold effects of the Taiwan Business Monitoring Indicators on return on assets (ROA), return on equity (ROE), and earnings per share (EPS) and their persistence. The empirical estimation is conducted using a panel data of 13 financial holding companies listed on Taiwan stock market between 2008:Q2 and 2017:Q3.
The empirical results are summaried as follows:
(1)The characteristics of the persistence and stability in ROA, ROE, and EPS are similar, and the persistence varys with the change in the Business Monitoring Indicators. In others words, the persistence and stability of these three profitability changes with each periods Business Monitoring Indicators.
(2)The processes of ROA, ROE, and EPS display a smooth transition path. The transition thresholds of the ratios are approximately 32 points when the business light signals change from green to yellow-red, which reveals the robustness of the PSTAR model for estimating the smooth transitions of the three profitability ratios.
(3)The persistence and stability of EPS are the highest when the scores of the monitoring indicators are low, followed by those of ROE and then ROA. The results reveal that EPS has the highest stability when the economic climate is comparatively tough.
(4)The persistence and stability of EPS are also the highest when the economic climate is comparatively favorable (i.e., when the business light signals are yellow-red and red), followed by those of ROA and then ROE. However, the persistence of EPS is only 0.271, which means that 72.9% of the current EPS is affected by the current exogenous disturbances. The abovementioned results suggest that enterprises should always be alert to the impacts of environmental changes on the three profitability ratios and should increase their persistence and stability when the economic climate is favorable.
According to the above empirical results, we propose the following suggestions:
(1)Current investors are advised to consider the Business Monitoring Indicators every quarter when estimating the profitability of listed financial holding companies and the persistence and stability of the three profitability ratios. By doing so, investors can accurately evaluate profitability when making investment decisions.
(2)Financial regulators and financial holding companies must change monetary policies and asset-and-liability structures to mitigate the disturbances of current random shocks on the current ROA and ROE, thereby increasing the persistence of profitability and maintaining earnings quality.
(3)When the Business Monitoring Indicators serve as a transition variable, the persistence and the stability of EPS are primarily higher than those of ROA and ROE. Thus, EPS can be a beneficial fundamental for investors when evaluating the stability of profitability.
(4)Although changes in the persistence of ROA, ROE and EPS vary with the Business Monitoring Indicators; current negative external shocks have considerable impacts on the current profitability. Thus, financial regulators and financial holding companies are suggested to reinforce the supervision and management of such companies to prevent financial crises when the persistence of profitability is weakened.
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