資產成長與股票報酬之關係：臺灣實證

Asset Growth and Stock Returns: Evidence from Taiwan Stock Market

資產成長代表公司的整體成長，過去在美國、澳洲與亞洲國家之股票市場皆發現資產成長較高的公司，其後續報酬表現會劣於資產成長較低的公司。本文以1982 年7 月至2009 年12 月期間內台灣所有上市櫃公司的普通股為研究對象，將總資產拆解為五項與投資相關，以及四項與融資相關等共九項不同類型的資產，並探討各類型資產成長與公司股票報酬之間的關係。我們發現僅有「其他資產成長」對股票報酬具有顯著的負向解釋力，「總資產成長」則否；考慮了元月份效果後之穩定性檢定結果亦是如此。此外，我們進一步探討其他資產成長是否為一定價因子。實證結果顯示其他資產成長因子對股票報酬的橫斷面差異並無額外的解釋能力，但對股票報酬的時間序列變異的解釋能力，則顯著優於CAPM 與顧廣平 (2005)的四因子模型。

Asset growth has been widely documented to be negatively correlated with stock returns in U.S., Australia, and Asia stock markets. Based on a sample of common stocks from July 1982 to December 2009, we first break down total asset into five investment-related and four financing-related asset growth, and investigate whether the negative relationship exists in Taiwan stock market. We find it is “other asset growth”, rather than “total asset growth”, that explains stock returns in Taiwan. The result is robust with the January seasonality. We further conduct both cross-sectional and time-series tests to examine whether other asset growth is a priced factor. Empirical evidence suggests that asset-pricing models constructed based on other asset growth fail to explain the cross-sectional variation of stock returns, but outperform CAPM and Ku’s (2005) four-factor model in time-series tests.