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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-wen／Yu, Hsin-yi／Ji, 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 ratios；Industry average earnings-to-price ratio；Anomaly；Zero-investment portfolio；Stock return
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  • 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:205
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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3.Yoo, Y. K.(2006)。The Valuation Accuracy of Equity Valuation Using a Combination of Multiples。Review of Accounting and Finance，5(2)，108-123。  new window
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9.LeClair, M. S.(1990)。Valuing the Closely-held Corporation: The Validity and Performance of Established Valuation Procedures。Accounting Horizons，4(3)，31。  new window
10.Houston, J.、James, C.、Karcesk, J.(2006)。What a Difference a Month Makes: Stock Analyst Valuations following Initial Public Offerings。Journal of Financial and Quantitative Analysis，41(1)，111-138。  new window
11.Hou, K.(2007)。Industry Information Diffusion and the Lead-Lag Effect in Stock Returns。Review of Financial Studies，20(4)，1113-1138。  new window
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13.Fuller, R. J.、Huberts, L. C.、Levinson, M. J.(1993)。Returns to E/P Strategies, Higgledy-piggledy Growth, Analysts' Forecast Errors, and Omitted Risk factors。Journal of Portfolio Management，19(2)，13-24。  new window
14.Fuller, R. J.、Huberts, L. C.、Levinson, M. J.(1992)。It's Not Higgledy-piggledy Growth。Journal of Portfolio Management，18(2)，38-45。  new window
15.Eberhart, A. C.(2004)。Equity Valuation Using Multiples。Journal of Investing，13(2)，48-54。  new window
16.DeAngelo, L. E.(1990)。Equity Valuation and Corporate Control。Accounting Review，65(1)，93-112。  new window
17.Daniel, K.、Titman, S.(1997)。Evidence on the Characteristics of Cross Sectional Variation in Stock Returns。Journal of Finance，52(1)，1-33。  new window
18.Chou, Pin Huang、Ho, Po Hsin、Ko, Kuan Cheng(2012)。Do Industries Matter in Explaining Stock Returns and Asset-pricing Anomalies?。Journal of Banking and Finance，36(2)，355-370。  new window
19.Chordia, Tarun、Shivakumar, Lakshmanan(2005)。Inflation Illusion and Post-earnings-announcement Drift。Journal of Accounting Research，43(4)，521-556。  new window
20.Chan, L. K. C.、Lakonishok, J.、Swaminathan, B.(2007)。Industry Classifications and Return Cmovement。Financial Analysts Journal，63(6)，56-70。  new window
21.Boatsman, J. R.、Baskin, E. F.(1981)。Asset Valuation with Incomplete Markets。Accounting Review，56(1)，38-53。  new window
22.Bhojraj, S.、Lee, C. M. C.(2002)。Who is My Peer? A Valuation-based A Valuation-based Approach to the Selection of Comparable Firms。Journal of Accounting Research，40(2)，407-439。  new window
23.Basu, S.(1975)。The Information Content of Price-earnings Ratios。Financial Management，4(2)，53-64。  new window
24.Ball, Ray(1978)。Anomalies in Relationships between Securities' Yields and Yield-surrogates。Journal of Financial Economics，6(2/3)，103-126。  new window
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26.Alford, A. W.(1992)。The Effect of the Set of Comparable Firms on the Accuracy of the Price-earnings Valuation Method。Journal of Accounting Research，30(1)，94-108。  new window
27.Basu, S.(1977)。Investment Performance of Common Stocks in Relation to Their Price-earnings Ratios: A Test of the Efficient Market Hypothesis。Journal of Finance，32(3)，663-682。  new window
28.Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance，54(4)，1249-1290。  new window
29.Miller, Merton H.、Modigliani, Franco(1961)。Dividend Policy, Growth, and the Valuation of Shares。The Journal of Business，34(4)，411-433。  new window
30.Liu, Jing、Nissim, Doron、Thomas, Jacob(2002)。Equity Valuation using Multiples。Journal of Accounting Research，40(1)，135-172。  new window
31.Jaffe, Jeffrey、Keim, Donald B.、Westerfield, Randolph(1989)。Earnings Yields, Market Values, And Stock Returns。The Journal of Finance，44(1)，135-148。  new window
32.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
33.Cen, Ling、Hilary, Gilles、Wei, K. C. John(2013)。The Role of Anchoring Bias in the Equity Market: Evidence from Analysts' Earnings Forecasts and Stock Returns。Journal of Financial and Quantitative Analysis，48(1)，47-76。  new window
34.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets，5(1)，31-56。  new window
35.Basu, Sanjoy(1983)。The Relationship between Earnings' Yield, Market Value and Return for NYSE Common Stocks: Further Evidence。Journal of Finance Economics，12(1)，129-156。  new window
36.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
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38.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance，54(6)，2143-2184。  new window
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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