本益比相對樂觀指數(新指數)之探討-以臺灣的生技醫療產業為例

Abstract

本研究主旨在創造一新的指數以衡量投資人在進行價值投資時其投資預期之相對樂觀程度(與最樂觀比較)，為投資市場提供新型資訊。價值投資是藉由對盈餘成長率及股利成長率的正確預期，以追求股票內含價值為目的的投資行為。新指數是由股票的當期本益比，除以歷史最高本益比所得的比值，其值介於0與1之間。當其值愈接近0時，表示當期本益比愈遠離歷史最高本益比，表示投資人的相對樂觀程度是低的。當其值愈接近1時，表示當期本益比愈接近歷史最高本益比，表示投資人的相對樂觀程度是高的。當其值等於1時，表示本益比創造歷史新高或維持在史上最高，表示投資人的相對樂觀程度是最高的。此指數走勢圖顯示投資人在進行價值投資時的心理變化及指數波動。本研究將此新指數命名為本益比相對樂觀指數，並嘗試探討本益比相對樂觀指數的可預測性，及它對不同持股期間(週、月、季、半年、一年)的未來最大股價表現之預測性的影響。本研究以台灣生技醫療產業17年期間(1997-2013)的財務資料及每日股價收盤資料為樣本資料，進行實證分析。實證結果I顯示對當期本益比相對樂觀指數的預測，前期每股盈餘具有明顯正向影響，實證結果II呈現對未來股價表現的預測，隱含股利及盈餘成長預期的本益比相對樂觀指數具有顯著影響。

The purpose of this study is to create a new relative index based on P/E ratio to measure the degree of investors’ optimism. In particular, Relative Optimism Index is measured as the current P/E ratio of a stock divided by the maximum value of P/E it attained in its history. The Relative Optimism Index value close to zero suggests that current P/E ratio is far from the highest P/E value ever reported, indicating that investor optimism declines for a stock and hits its record low. On the other hand, the Relative Optimism Index value of one indicates that the magnitude of the relative optimism of investors for a stock hits its record high. To some extent the Relative Optimism Index reveals investor psychology and the degree of investor expectation (compared with the most optimistic expectation) for a stock and swings from pessimism to optimism. We then examine the determinants of this index and its predictability using Taiwan biotechnology industry data over the period from 1997 to 2013. We find that earning per share in the previous period has positive effect on the Relative Optimism Index level. In addition, we examine whether Relative Optimism Index can predict future stock performance, where future performance is proxy by maximum price performance within different time horizons (i.e., week, month, quarter, half year, and one year). We find that Relative Optimism Index can predict future stock performance.