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題名:公司本益比和產業平均本益比之間的偏離程度與橫斷面股票報酬:風險或行為?
書刊名:證券市場發展季刊
作者:陳立文余歆儀 引用關係紀怡禎
作者(外文):Chen, Li-wenYu, Hsin-yiJi, Yi-jhen
出版日期:2016
卷期:28:1=109
頁次:頁1-38
主題關鍵詞:本益比產業平均本益比市場異常現象資產組合股票報酬Earnings-to-price ratiosIndustry average earnings-to-price ratioAnomalyZero-investment portfolioStock return
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:11
  • 點閱點閱:204
本益比是投資人常用來評價公司股價是否過高或過低的指標,然而投資人在評價一家公司的未來價值時,其心中所謂財務比率的高低,可能是使用同儕平均本益比來做為一個基準,本研究從此觀點出發,檢視公司本益比和產業平均本益比之間差距的大小是否可用來預測股票橫斷面報酬。實證結果發現,個股本益比的確會朝產業平均本益比趨近;若吾人根據公司本益比偏離產業平均本益比的程度進行排序,建立零投資組合,每年可以得到穩健的異常報酬12.07%,此報酬無法被三因子模型所解釋。異常報酬在盈餘較不穩定的公司中較明顯,可能肇因於投資人對於盈餘資訊的反應不足。
Investors commonly use earnings-to-price ratios to evaluate the value of a firm. This paper examines whether the average earnings-to-price ratios of the corresponding industry is used as a benchmark during the evaluation process. The empirical results present that the earnings-to-price ratio of a firm is indeed adjusted towards the corresponding industry average. Such behavior can be exploited to earn significant risk-adjusted returns by constructing a zero-investment portfolio. The risk-adjusted return is 95.39 basis points per month, approximately 12.07% annually. Furthermore, the risk-adjusted returns are sensitive to the stability of past earnings and possibly attributed to underreaction.
期刊論文
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學位論文
1.鄭巧枚(2005)。上市公司本益比與盈餘管理關聯性之研究(碩士論文)。國立政治大學。  延伸查詢new window
2.謝秋華(2002)。透過本益比之相對Mean-reverting現象進行盈餘管理模型之評比(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Pratt, S. P.(1989)。Valuing a Business: The Analysis and Appraisal of Closely-Held Companies。New York:Dow Jones-Irwin。  new window
2.Palepu, K. G.、Healy, P. M.、Bernar, V. L.(2000)。Business Analysis and Valuation。South-Western College Publishing。  new window
3.Little, I. M. D.、Rayner, A. C.(1966)。Higgledy Piggledy Growth again: An Investigation of the Predictability of Company Earnings and Dividends in the U.K., 1951-1961。Oxford:Blackwell。  new window
4.Lintner, J.、Glauber, R.(1967)。Higgledy Piggledy Growth in America? Seminar on the Analysis of Security Prices。University of Chicago。  new window
5.Brealey, R. A.(1983)。An Introduction to Risk and Return from Common Stocks。Cambridge, MA:MIT Press。  new window
單篇論文
1.Brealey, R. A.(1967)。The Statistical Properties of Successive Changes in Earnings,University of Chicago。  new window
圖書論文
1.Mayers, D.(1972)。Nonmarketable Assets and Capital Market Equilibrium under Uncertainty。Studies in the Theory of Capital Markets。New York:Praeger。  new window
2.Lokey, O. K.、Braun, R. S.、Cefali, S. L.(1990)。Business Valuations。Litigation Services Handbook: The Role of the Accountant as Expert Witness。New York:Wiley。  new window
3.Joyce, A. A.、Roosma, J. P.(1991)。Valuation of Nonpublic Companies。Accountants' Handbook。New York:Wiley。  new window
 
 
 
 
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