過去有相當多文獻證實市場確實存在淨值市價比效應，但對於成因卻有不同看法，然這些文獻皆將淨值市價比當成一整個特徵變數來探討，但淨值市價比大小可能來自帳面價值，也可能是來自市場價值，所以淨值市價比效應究竟是公司帳面價值，還是公司市場價值所帶動，有待進一步拆解探討。本文結果顯示市場系統風險不足以解釋淨值市價比效應，且不論控制公司帳面價值或是市場價值，股票報酬仍存有淨值市價比現象，而當我們分別將報酬針對規模進行修正後，淨值市價比效應仍舊無法消除，且最小投資組合的淨值市價比效應最為明顯，而進一步驗證有形資產與無形資產與淨值市價比的關聯性後，發現市場參與者會對無形資產中的研發支出有過度反應，即過度推估公司過去所投入的研發支出多寡於未來報酬，造成淨值市價比現象。另一方面，投資人會對有形資產中的土地、廠房與設備(property,plant and equipment，簡稱PP&E)有錯誤訂價，但卻不會對此錯誤訂價進行修正，由此可知，市場價值與帳面價值皆為淨值市價比效應產生之因素，然相較下市場價值確較重要，因投資人對市場價值較為敏感，會修正具有過度反應之市場價值，且修正市值後之淨值市價比效應下降幅度亦大於修正帳面價值後。 Book-to-market effect has been showed in abundant literatures with inconsistent reasons. All the papers take this ratio as a variable to discuss but actually this ratio could be divided into book value and market value. Which is the key factor to dominate book-to-market ratio and cause this abnormal effect? We find system risk is not a sufficient factor to interpret book-to-market effect.After controlling book value and market value as well as adjusting the return of them,we couldn’t let book-to-market effect disappear. Under controlling one variable,investors will overreact the intangible asset (reach and development) as well as tangible asset (property, plant and equipment) to arise mispricing and cause book-to-market effect. In addition, because investors will correct the overreaction to market value instead of book value, the former may be more important than later.
