無形資產價值對文創產業報酬持續性之影響：分量自我迴歸模型之應用

The impacts of intangible assets valuation on returns persistence of cultural and creative industry: Quantile vector autoregression models

本研究利用分量單根檢定，探討台灣股市文創產業無形資產價值與報酬持續性。本研究計算文創業個股無形資產價值，並將該產業區分為高、中、低等三個無形資產價值族群，進而建構投資組合並計算每月報酬率。本研究發現高、中、低無形資產價值投資組合每月報酬率持續性依報酬率分量不同而不同，呈現不對稱性。此外，高無形資產價值投組報酬率位於中、高分量時，不拒絕單根，且具有較高持續性。然而，低無形資價值投組報酬率位於中、低分量時，拒絕單根，為一定態序列，且持續性較低。最後，高、中、低無形資產價值投組每月報酬率同時具有定態和非定態的現象。因此，本研究結果提供有價值的亮點於相關報酬率持續性文獻。

This study examines impacts of intangible assets valuation on returns persistence of cultural and creative industry by using quantile vector autoregression models. We divide stocks of cultural and creative industry into high, medium, and low groups by intangible assets valuation variables. We show that returns persistence across high, medium, and low intangible assets portfolio varies with portfolio returns, suggesting asymmetric patterns for returns persistence across different three groups for intangible assets. Additionally, portfolio returns across different groups are stationary and not highly persistent for low portfolio returns across different groups whereas nonstationary and highly persistent for high portfolio returns across different groups. Therefore, our findings should provide valuable insights on returns persistence.