| Summary: | 碩士 === 中原大學 === 國際經營與貿易研究所 === 107 === This study constructs a dynamic PSTR model to evaluate the threshold impacts of ROE’s three drivers on the stock returns of 13 shipping companies listed in Taiwan Stock Exchange Corporation during 2009:1Q-2018:2Q. The results show that the stock returns display an asymmetric smooth transition process. The long-term and short-term effects of the three drivers and the one-period lagged stock returns on the current stock returns vary with the two-period lagged BDI with a threshold 799.64. With the increase of BDI, the short-term effects of financial leverage (FL) and asset turnover (ATO) on the stock returns gradually change from negative to positive. The short-term effect of net profit margin on the stock returns is always positive, but insignificant. The persistence of the stock returns is always negative, implying that the stock returns are fluctuant, especially when BDI<799.64. ATO is the main factor to drive the stock returns, especially when BDI>799.64. When BDI>799.64, the shipping companies should actively raise debts and improve asset use efficiency so as to stimulate stock returns, and investors can choose these companies as investment targets. Conversely, when BDI<799.64, the shipping companies should try to reduce the FL, and investors would choose these companies as investment targets.
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