估計公司內部價值的最佳方法為何？ —以臺灣50指數為例

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姓名

何竺諠(Jhu-Syuan He) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

估計公司內部價值的最佳方法為何？ —以臺灣50指數為例

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至系統瀏覽論文 (2028-6-30以後開放)

摘要(中)

本研究主要探討在預估公司內部價值時，何種估值模型對於股票價格有更好的預測能力以及追蹤能力，預估股票價格有許多方式，而本研究比較四種估值模型，分別為 B/P、D/P、E/P 以及 V/P ratio，其中 V/P ratio 進一步考慮到利率會隨時間變化，因此分為短期利率、長期利率探討，研究中選取臺灣前五十大市值的公司並預估其內部價值，意即將臺灣50指數成分股作為預估標的。
根據本研究實證結果，V/P ratio 並非為預估臺灣50指數成分股內部價值的最佳預測方法，表示此方法可能不適用於台灣股票市場，其僅於短期對於臺灣50指數異常報酬具有較佳的預測能力，而以長期來看，四種方法中 E/P ratio 應為較適合的預估方法，E/P ratio 追蹤股票價格的能力較穩定。綜上所述，雖然 V/P ratio 並非最佳的預測方法，然而因本研究預估價值時選取樣本的時間頻率為年資料，若改以季資料或許結果將會有所改善，此外亦可依照產業特性將公司分類，或許將有助於減少預測誤差。

摘要(英)

This study primarily investigates the valuation models that have better predictive and tracking capabilities for estimating the internal value of a company and its impact on stock prices. There are various methods for estimating stock prices, and this research compares four valuation models: B/P (Book-to-Price ratio), D/P (Dividend-to-Price ratio), E/P (Earnings-toPrice ratio), and V/P (Value-to-Price ratio). The V/P ratio takes into account the time-varying
nature of interest rates and further analyzes short-term and long-term interest rates. The study selects the top 50 companies in Taiwan by market capitalization and estimates their internal values, considering them as proxies for the “FTSE TWSE Taiwan 50 Index” constituents.
Based on the empirical results of this study, the V/P ratio is not the optimal method for estimating the internal value of the “FTSE TWSE Taiwan 50 Index” constituents. This indicates that this method may not be suitable for the Taiwanese stock market. It only exhibits better predictive capabilities for abnormal returns of the “FTSE TWSE Taiwan 50 Index” in the short term. However, in the long term, among the four methods, the E/P ratio is considered a more suitable method for estimating stock prices, as it demonstrates more stable tracking abilities. In summary, although the V/P ratio is not the best predictive method, if the study were conducted using quarterly data instead of annual data, the results might improve. Additionally, categorizing companies based on industry characteristics could potentially reduce prediction
errors.

關鍵字(中)

★ 內部價值
★ 估值模型
★ 股價預測能力
★ 臺灣50指數

關鍵字(英)

★ V/P ratio
★ valuation models
★ internal value
★ stock price predictive capability
★ FTSE TWSE Taiwan 50 Index

論文目次

圖次 IV
表次 V
壹、緒論 1
貳、研究議題 2
參、文獻回顧 3
肆、研究設計 6
一、主要模型：超額盈餘折現模型 6
二、模型中主要變數衡量 7
三、樣本描述 9
四、敘述統計 10
伍、實證結果分析 16
一、盈餘預測模型的迴歸結果 16
二、預測的內部價值與實際股價比較 19
三、不同模型追蹤能力的實證結果 19
(一) 單變量迴歸預測模型的預測能力 21
(二) V/P於多變量迴歸預測模型中的預測能力 23
陸、結論及建議 24
參考文獻 26
附錄一：本研究使用變數的定義 29
附錄二：新冠疫情是否會影響V/P的預測能力 31

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指導教授

曹壽民(Shou-Min Tsao)

審核日期

2023-7-18

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