| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 101 === Abstract
In this article, we take the statistical data of industry revenues from Taiwan 50 Index as example in order to analyze the relationship between monthly revenue and stock returns. Data from January, 2000 to September, 2012 is included as sample and vector autoregressive (VAR) method is used to analyze it. We found that only 14.6% samples had their stock revenue can be predicted from monthly revenue. In a further study, these samples showed that the size of corporations in Taiwan 50 Index is much larger than that not in Taiwan 50 Index. In previous research, it is found that the larger the company is (or the higher stock price the company has), the more information the company release to investors. For investors, those companies with more public information do not need utilizing the revenue to predict stock returns. That might be the main reason why it is difficult to predict the stock returns from monthly revenues of Taiwan 50 Index.
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