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研究生：	葉力豪 Yeh, Li-Hao
論文名稱：	公司獲利績效與股票投資策略-分量迴歸之應用 Firms’Profitability Performance and Stock Investment Strategy: Two Essays on Application of Quantile Regression Model
指導教授：	黎明淵 Li, Ming-Yuan
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2007
畢業學年度：	95
語文別：	英文
論文頁數：	51
中文關鍵詞：	分量迴歸、獲利績效、投資策略
外文關鍵詞：	investment strategy, quantile regression model, profitability performance
相關次數：	點閱：111 下載：6
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The first essay applies quantile regression approach to analyze the relationship among R&D, company size, debt ratio, total asset turnover, current ratio, account receivable turnover, inventory turnover, and profitability performance in S&P500 firms.
The advantage of the quantile system is that it can evaluate the relative importance of explanatory variables at different points of the distribution of dependent variables and prevent the problem of data selection bias.
Our major findings are follows: 1. firms could increase their R&D expenses to improve profitability when they have high profitability and vice versa. 2. firms couldn’t improve profitability by increasing their company size when they have high profitability and vice versa. 3. firms could increase their liabilities to improve profitability when they have high profitability and vice versa. 4. firms should use total assets efficiently to improve profitability in all quantiles. 5. firms should increase liquid to improve profitability when they have high profitability. 6. although using quantile regression model, our empirical result of account receivable turnover and inventory turnover do not support previous evidence.
The second essay also applies quantile regression approach to analyze the relationship among stock return, market risk premium, price to earning ratio, price to book ratio, and incremental rate of trading volume in S&P500 firms.
Our major findings are follows: 1. In the relationship between stock return and market risk premium, it shows like a U-shape. We conclude that market risk premium would more volatile in the extreme quantile of stock return than the normal one. 2. In the aspect of value strategy, we compare two different indicators, price-earning ratio and price-book ratio. It shows that using price-earning ratio is better than price-book, especially stock return in the low quantile level. In addition, the effect will rise by the falling quantile which locate in the low level. 3. Stocks with large return (in either sign) are usually accompanied by large incremental rate of trading volume, however, linear regressions estimated by the ordinary least square method are unable to reveal such patterns. We have consistent consequences in our two different models. In addition, the effect is larger as θ locate in the extreme quantile level

Content
Essay1. Determinants of firm’s Profitability

1.Introduction............................................7
2. Examining profitability performance by using OLS model (NO quantile model)......................................10
2.1 Definition of variables and hypothesis establishment.10
2.2 Data and sample specification........................13
2.3 Model specification..................................13
2.4 Empirical result.....................................13
3.Examining corporate performance by using quantile model....................................................15
3.1 Model specification..................................15
3.2 Empirical result.....................................16
3.3 Discussion...........................................16
4. Conclusion............................................19
5. Reference.............................................20

Essay2. Value or Volume Strategies ?

1.Introduction...........................................31
2. Examining stock return by using OLS model (NO quantile model)...................................................34
2.1 Definition of variables and hypothesis establishment.34
2.2 Data and sample specification........................35
2.3 Model specification..................................36
2.4 Empirical result.....................................36
3. Examining stock return by using quantile model........38
3.1 Model specification..................................38
3.2 Empirical result.....................................39
3.3 Discussion...........................................39
4. Conclusion............................................41
5. Reference.............................................42

List of Tables
Table 1: Definitions of Variables........................23
Table 2: Descriptive Statistics..........................23
Table 3: Correlation Matrix of Variables.................23
Table 4: Regression Result for Profitability Performance (OLS Model)..............................................24
Table 5: Variable ROE by Quantile and the Top 5 Percent..24
Table 6: Regression Result for Profitability Performance (Quantile Model).........................................25
Table 7: Test whether the effect of variables are the same at θth and 1-θth quantiles...............................26
Table 8: Definitions of Variables........................44
Table 9: Descriptive Statistics..........................44
Table 10-1: Correlation Matrix of Variables..............44
Table 10-2: Correlation Matrix of Variables..............44
Table 11-1: Regression Result for Stock Return (OLS Model)...................................................45
Table 11-2: Regression Result for Stock Return (OLS Model)...................................................45
Table 12-1: Regression Result for Stock Return and Market Risk Premium (Quantile Model)............................45
Table 12-2: Regression Result for Stock Return and Price-Earning Ratio (Quantile Model)...........................46
Table 12-3: Regression Result for Stock Return and Incremental Rate of Trading Volume (Quantile Model)......46
Table 13-1: Regression Result for Stock Return and Market Risk Premium (Quantile Model)............................47
Table 13-2: Regression Result for Stock Return and Price-Book Ratio (Quantile Model)..............................47
Table 13-3: Regression Result for Stock Return and Current Trading Volume (Quantile Model)..........................48

List of Figures
Figure 1: Average ROE by Quantiles and the Top 5 Percent.27
Figure 2: Impact on ROE of a One Percent Increase in Per R&D Expenses, by Quantiles...............................27
Figure 3: Impact on ROE of a One Percent Increase in Company Size, by Quantiles...............................28
Figure 4: Impact on ROE of a One Percent Increase in Debt Ratio, by Quantiles......................................28
Figure 5: Impact on ROE of a One Percent Increase in Total Asset Turnover, by Quantiles.............................29
Figure 6: Impact on ROE of a One Percent Increase in Current Ratio, by Quantiles..............................29
Figure 7: Impact on ROE of a One Percent Increase in Account Receivable Turnover, by Quantiles................30
Figure 8: Impact on ROE of a One Percent Increase in Inventory Turnover, by Quantiles.........................30
Figure 9-1: Impact on Stock Return of a One Percent Increase in Market Risk Premium, by Quantiles............49
Figure 9-2: Impact on Stock Return of a One Percent Increase in Price-Earning Ratio, by Quantiles............49
Figure 9-3: Impact on Stock Return of a One Percent Increase in Incremental Rate of Trading Volume, by Quantiles................................................50
Figure 10-1: Impact on Stock Return of a One Percent Increase in Market Risk Premium, by Quantiles............50
Figure 10-2: Impact on Stock Return of a One Percent Increase in Price-Book Ratio, by Quantiles...............51
Figure 10-3: Impact on Stock Return of a One Percent Increase in Incremental Rate of Trading Volume, by Quantiles................................................51
                                    

Reference of Essay1:
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周雅雲, 影響我國生物科技廠商財務績效之因素, 東吳大學經濟學系碩士論文.
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Reference of Essay2:
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Koenker R. and Bassett G. (1978), Regression Quantiles, Econometrica, Vol. 46, No. 1, p.33-50.
Llorente G., Michaely R., Saar G., and Wang J. (2002), Dynamic Volume-Return Relation of Individual Stocks, The Review of Financial Studies, Vol. 15, No. 4, p.1005-1047.

校內：2008-06-26公開
校外：2008-06-26公開

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