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    Please use this identifier to cite or link to this item: http://ccur.lib.ccu.edu.tw/handle/A095B0000Q/641

    Title: 公司特性、相對績效與股東權益報酬:分量迴歸模型與隨機邊界模型之應用與比較;Firm Characteristics, Relative Efficiency, and Equity Returns with Application of Quantile Approach in Contrast of Stochastic Frontier Approach
    Authors: 楊泓偉;Yang, Hong-Wei
    Contributors: 經濟系國際經濟學研究所
    Keywords: 隨機邊界模型;分量迴歸;技術效率;股價報酬;Stochastic Frontier Approach;Quantile Regression;Technical Efficiency;Stock Return
    Date: 2017
    Issue Date: 2019-07-17
    Publisher: 經濟系國際經濟學研究所
    Abstract: 財務文獻中,企業技術效率與資產價格間的連結在過去的研究成果中是相對較少被討論。在Nguyen和Swanson (2009)的研究透過隨機邊界模型(Stochastic Frontier Approach)的方法去估計企業的技術效率並建構該效率與資產溢酬間的連結。本研究使用臺灣證券交易所之上市公司股票報酬在分量迴歸模型(Quantile Approach)的架構下去延伸Nguyen和 Swanson (2009)的研究成果,並同時呈現在隨機邊界模型與分量迴歸模型估計下的迴歸結果做比較去探討兩迴歸估計結果之效率分組對超額報酬影響之異同。此外,除了評估超額報酬與效率之間的關係外,本研究亦探討控制公司特性的超額報酬與效率分組之間的關係,並透過Fama-French與Carhart(1995)四因子模型去探討構成超額報酬的因子有哪些。研究結果發現,在臺灣股票市場中,不論是風險性超額報酬還是控制公司特性下之超額報酬,高效率投資組合的報酬均對低(無)效率投資組合報酬擁有正的技術溢酬。而分量迴歸與隨機邊界模型兩種效率估計方式之估計結果與股價報酬間的關係在平均加權下的投資組合報酬中效果相同。
    The economic link between firm efficiency and asset price remains relatively less discussed. Nguyen and Swanson (2009) build the linkage between firm productivity efficiency and stock’s premium with stochastic frontier approach (SFA). This paper extends Nguyen and Peggy’s study with quantile approach to estimate firm’s technical efficiency while also offers estimated results from SFA. Through the estimation result of efficiency score, we discuss the relationship between excess return and efficiency scores for listed firms in Taiwan stock market. Moreover, we also discuss the linkage between firm characteristics benchmark-adjusted returns and efficient score portfolios. The empirical results find that, in Taiwan stock market, firms in EFFICIENT portfolio have efficient premium to outperform than firms in INEFFICIENT portfolio. Finally, the estimation results from quantile approach and stochastic frontier approach are quite close to each other.
    Appears in Collections:[經濟系國際經濟學研究所] 學位論文

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