股價與盈餘關係之研究：盈餘與權益帳面價值定式問題之再考量

Abstract

先前研究指出列報負盈餘（即損失）的公司，其股價與盈餘的關係存在異常現象，即股價與盈餘的關係為負相關。也就是說，公司的每股盈餘(earnings per share, EPS)越是負的，其股價越高。Collins et al. (1999)將權益帳面價值加入前述的關係式後，負盈餘公司之股價與盈餘關係之異常現象即消失。因為Collins et al. (1999)所用模式之前提情況實務上並不存在，致其模式定式有問題，進而使其實證結果令人懷疑。本研究援引Ohlson (1995)之多期實證模式，指出Collins模式理論上之缺失，並比較兩模式解釋股價能力之差異。進一步更釐清負盈餘之異常現象在Ohlson (1995)多期實證模式中是否仍然存在，及權益帳面價值在股價與盈餘關係式中所居角色為何。研究結果顯示，除少數例外，Ohlson (1995)多期實證模式較Collins模式解釋股價能力為佳。且在Ohlson (1995)多期實證模式中負盈餘之異常現象並不存在，而權益帳面價值仍居股價與盈餘關係式中之主要角色。

Previous research suggests an anomaly on the relationship between price and earnings of companies reporting negative earnings (i.e., losses). That is, price and earnings are negatively correlated; the more negative a firm`s earnings per share, the higher its stock price. However, Collins et al. (1999) find that the anomaly of negative earnings becomes insignificant after book value of equity is included as an explanatory variable in the price-earnings model. Because the assumptions of Collins` model do not exist in reality, its implications and empirical results are suspicious. This study uses a multi-period empirical model of Ohlson (1995) and compares its explanatory power with that of Collins. The findings show that, with few exceptions, the multi-period empirical model of Ohlson (1995) is superior to Collins` model, that the anomaly of negative earnings does not exist, and that the hook value of equity really plays an important role in explaining price.