價值溢酬原因之探討

Abstract

在財務領域中，學者定義價值型公司(value firms)為高淨值市?比的公司，過去研究同時發現價值型公司未來的股價報酬表現優於其他公司，並將此一現象稱為價值溢酬(value premium)。關於價值溢酬的原因主要有：風險補償以及投資者行為的偏誤兩種解釋。本文主要針對價值型公司從事研究，透過公司基本面的分析，測試風險補償或投資者行為偏誤兩種論點何者較能夠解釋價值溢酬。換言之，如果一家價值型公司的基本面較優越，往往該公司的風險程度也較低，因此當風險補償的假說成立，基本面優良的價值型公司應該有較低的異常股票報酬；相反地，如果投資者行為偏誤的假說成立，基本面優良的價值型公司應該有較高的異常股票報酬。本文實證結果發現，價值型公司的基本面較佳時，該公司未來一到兩年的異常股價報酬也較高。因此，我們認為投資者行為偏誤所造成的評價偏誤(mispricing)比較能夠解釋價值溢酬的現象。Value firms, which offer high book-to-market ratios, tend to outperform growth firms that are accompanied with low book-to-market ratios. Two well-known explanations for such value premiums have been proposed: risk compensation and investment behavior. Based on the fundamental measures in Piotroski (2000), we examine the source of value premium. Because firms with good fundamentals (i.e., high scoring of the fundamental measures) tend to be less risky and more profitable, we are able to determine with fundamental analysis, whether these risks or behaviors account for the difference between value premiums. We find that value firms with good fundamentals consistently outperform the benchmark according to investment behavior, not risk compensation.