The Employment Of A Nonfinancial Measure-Labor Residual In Predicting Stock Returns

• Main Authors: Chen,Hungting, 陳竑廷
• Other Authors: Wang,Mingchang
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/36300130219590197305

碩士 === 國立中正大學 === 企業管理研究所 === 100 === Abstract This study investigates whether nonfinancial measure could predict future stock return, due to the characteristics of difficult to manipulation and leading indicator. Using Taiwan publicly traded firms sample from 2001~2010 based on Taiwan Economic Journal (TEJ), our findings show that firms with lower labor residual have on average higher future stock returns than firms with higher labor residual. After considering of asset pricing models such as CAPM, Fama-French three factor model and Carhart Four-Factor model, the abnormal return still significant. In addition, we find that the predictability of future stock return is more significant especially on capital intensive firms and in bad economy condition.