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權益法長投之投資淨收益:盈餘持續性與股市反應

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表 1  樣本選取過程  樣本年  民國八十年至民國九十四年上市  (櫃)  公司/年度  (非金融相關產業)  14,823  刪除:非曆年制公司  18  無股價資料、財務資料或股價資料缺失  6,590  負盈餘公司  1,631  合計  6,584  it itititititititititititititSEFXISEIISEDFAISEDIISEEIISEOISENI65432101=δ+δ+δ+δ+δ+δ+δ+ 187++++it it itititSEEOISEONOIδ tδ
表 2  敘述性統計量 a 變數名稱  平均值  中位數  變異數  極大值  極小值  第一部份:  原始變數 b + 1NIit 762,826  165,554  1
表 4  當期不同盈餘組成要素對於預測下一期盈餘是否理性定價之實證結果分析  預測方程式:
表 5    依權益法認列投資淨收益與營業淨利形成投資組合之避險投資策略分析 a 第一部份:權益法認列投資淨收益之避險投資策略分析  Fama-French  參數 b 投資組合最高組  投資組合最低組 平均月報酬 t 值 平均月報酬  t 值  截距項( α )  p 0.0153 *** 4.28  0.0087 ** 2.49  市場因素  ( b )  p 1.0334 *** 24.04  1.1747 *** 28.03  規模因素  ( s )  p 0.2248 *** 2.86  0.43

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