臺灣博碩士論文加值系統

本研究主要在探討財務比率對泰國股票報酬率的預測能力。研究樣本期間為2015至2020年，總共有64家上市公司在2015-2018年有完整的財務報表資料，而未來的報酬率則以2019年5月至2020年4月股價來計算。t檢定與逐步迴歸為研究方法。在樣本內預測分析方面，t檢定的結果顯示應收帳款收現天數與市價淨值比具有預測能力。逐步迴歸結果顯示應收帳款收現天數、存貨週轉率、銷貨利潤與總資產週轉率能夠預測未來一年的報酬率。然而在樣本外的預測分析反而支持半強勢效率假說，也就是這些已公開的財務比率無法用來預測未來的股票報酬率。

This study aimed to investigate the relationship between financial ratios and stock returns of listed companies in the stock exchange of Thailand. The sample period of this study is over the years 2015-2020. Based on 64 companies have complete financial statement information for years 2015-2018, sixteen financial ratios were used in this study. Future stock returns are measured using stock prices data from May 2019 to April 2020. The t-value test (univariate analysis) and stepwise regression (multivariate analysis) were applied as methodologies. The results from t-test indicate that the days sales in receivable ratio and market to book ratio are significant in predicting returns. The results from stepwise regression showed that the days of sales in receivable ratio, inventory turnover, return on sales, and total asset turnover ratios were significant in predicting returns of the following one year. This can be useful for investor’s decision-making using financial ratios as a fundamental analysis tool to predict the future stock returns. In contrast, the out-of-sample results showed that the stock market in Thailand during the study period supports the semi- strong form of efficient market, which can imply that this type of published information cannot be used for predicting the market return.

Abstract .................................................................................................................. i
摘要 ....................................................................................................................... ii
Acknowledgments ................................................................................................ iii
Table of Contents ................................................................................................. iv
List of Tables ........................................................................................................ vi
List of Figures .................................................................................................... viii
Chapter 1. Introduction .......................................................................................... 1
1.1 Research Background .................................................................................. 1
1.2 Overview of Thailand Stock Market (SET 100) .......................................... 3
1.3 Objectives of the Research ........................................................................... 6
1.4 Conceptual Framework ................................................................................ 6
1.5 Thesis Structure ............................................................................................ 6
Chapter 2. Literature Review ................................................................................. 7
Chapter 3. Data and Methodology .......................................................................11
3.1 Data ........................................................................................................... 11
3.2 Measure Financail ratios and stock rerturn ............................................... 13
3.2.1 Financial Ratio ..................................................................................... 13
3.3.2 One-year stock return ........................................................................... 15
3.3 The independent variable: average value of financial ratios ..................... 17
3.4 The dependent variable: rate of return ....................................................... 17
3.5 Methodology .............................................................................................. 17
3.5.1 The univariate analysis: t-value ........................................................... 17
3.5.2 The mutivariate analysis:stepwise regression ...................................... 18
Chapter 4. Empirical Results ................................................................................20
v
4.1 Summary statistics of sample data ............................................................. 20
4.2 Simple average method results .................................................................. 22
4.3 Robust test: exponential average method results ....................................... 28
4.4 Out of sample analysis ............................................................................... 37
Chapter 5. Conclusion ..........................................................................................38
5.1 Summary .................................................................................................... 38
5.2 Suggestions gained from this study ........................................................... 39
5.3 Suggestion for further study ....................................................................... 40
References ............................................................................................................41
Appendix I ............................................................................................................43
Extended Abstract ................................................................................................45

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