台灣上市櫃建設公司股票報酬率影響因素之研究

The Determinants on Stock Returns for Listed Real Estate Development Companies in Taiwan

建設公司在不動產空間市場中，扮演著實際供給者與創造者的角色，透過不動產開發活動，提供新的樓地板供給，以滿足各種不動產市場中的使用者與投資者的需求。然而，不動產開發活動的特色之一，在於其投資金額的龐大，因此，一般的小額投資大眾，並無法直接參與建設開發活動。此時，透過於股票市場公開發行的上市櫃建設公司，便成為小額投資人參與不動產開發相當重要的途徑。本研究探討的重點，在於一般投資人面對複雜的市場訊息來源，如何取得投資決策的依據。透過二階段的分析方法，以因素分析、追蹤資料分析法（Panel data）、以及其他適當的檢定工具，探討財務指標、市場價值指標（Tobin’s q）與土地異動訊息等三個面向，與投資人關心的股票報酬率之間的關係。本研究發現，對財務指標的因素分析中，獲利能力、融資與負債能力、資本結構與固定資本週轉能力、以及資產存貨周轉能力四個面向最具解釋變異能力，然在追蹤資料迴歸分析中，僅獲利能力因素與股票報酬率具有顯著的關係，而L-R Tobin’s q亦未能找到與股票報酬率之間的顯著關係，但經流動資產修正市場價值後的C-P Tobin’s q則具有相當強的係數值與顯著關係，經研判與建設公司流動資產之高存貨比率有關，影響市場價值指標甚鉅；另外，土地訊息效果中的交易次數，對上市櫃建設公司之股票報酬率，亦有相當顯著的影響。 In real estate space market, development companies are the suppliers and creators of new floorspaces that fulfilling the demand of various users and investors. However, property development requires large capital inputs, thus small investors can hardly involve development projects directly. Under this circumstance, indirect channels such as the listed real estate development companies in pubic market became a convenient and reachable place. Nevertheless, investors face complex characteristics and performance information of these companies. Thus, how to validating these information became crucial for investment decision making. There are three major concerns in this research: the effective financial ratios, the market value index that measures the expectation and intellectual capital from the market (Tobin’s q), and the information effects of land transactions. Using factor analysis, panel data regression and other statistical tests, this paper examines the effects of these variables with stock returns for the listed real estate development companies in Taiwan. The results show that for financial ratios, only the profitability factor is significant with seasonal stock return. And the L-R Tobin’s q is not relevant, but the short-term capital adjusted C-P Tobin’s q is highly positive significant to stock returns. This may suggests that the stock amount will affect the value of development companies significantly. And the announcement of land transactions for listed real estate companies is also with positive significant effect to stock returns.