| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === The primary purpose of this study was to investigate the relationship between financial statement information and stock returns. Targeting domestic listed companies, this study performed a quantile regression analysis to explore the influence of financial variables on stock returns when stock returns varied. The empirical results revealed the following:
1. When ordinary least squares were employed, a positive correlation existed among returns on equity, returns on assets, debt-to-equity ratios, total asset growth rates, earnings per share and stock returns, while a negative correlation was observed among gross profit margins, financial leverage ratios, interest coverage ratios and cash dividends.
2. When quantile regression was applied, there was a positive correlation among returns on equity, earnings per share, debt-to-equity ratios and stock returns, whereas a negative correlation was found with financial leverage ratios in the case of lower returns. In regard to higher returns, a positive correlation was exhibited among gross profit margins, returns on assets, total asset growth rates, earnings per share, debt-to-equity ratios and stock returns, while a negative correlation was shown with financial leverage ratios.
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