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題名 運用財務比率預測每股盈餘之研究 作者 簡銘宏 貢獻者 黃敏助
簡銘宏日期 1990
1989上傳時間 3-May-2016 14:13:46 (UTC+8) 摘要 論文提要吾人皆知,每股盈餘對投資人而言具有相當的重要性,因為每股盈餘可用來衡量股價的高低,以做為投資決策之參考。雖然我國証券市場目前正處於Agtmael所謂的「投機期」(Speculation)每股盈餘對股價之衡量似乎不具價值,但此乃一過渡現象,將來勢必歷經「整理(崩盤)期」(Consolidation (Crash))而達「成熟期」(Mature)。屆時,每股盈餘之分析將是投資決策最有用的工具之一。本研究之目的乃在於試圖為每股盈餘發展一預測模型,以便將來投資人做投資決策時之參考。但為顧及投資人取得預測資訊之便,乃利用我國企業公開說明書上所公佈的16個財務比率做分析,試圖尋找較具解釋能力之比率建立模型。因此本研究之貢獻除了幫助投資人做投資決策外,尚可証明會計人員所編製的財務報表,具有可用性。本研究架構,從問題之發生、認定,並經過文獻之探討後,決定以我國上市企業為樣本,並以公開說明書中有民國73年至75年之16個財務比率為準,共取得91家有完整之資料。首先將此16個財務比率做主成份分析(Component Analysis)抽取一組較少數的財務比率來建立預測模型,但為加強模型之預測能力,另外加入總體經濟指數及行業景氣指數於模型之中。待模型建立完成之後,再以保留樣本(hold-out sample)加以檢定該模型之預測能力。本論文共分五章,第一章緒論,其中分四節,分別就研究動機與目的,研究的範圍與限制,並就預期的貢獻加以介紹;第二章為文獻探討,共分四節,分別對每股盈餘預測,盈餘預測,公司淨利之研究及多變量分析加以探討;第三章為研究方法論,分四節加以敘述,先對每股盈餘加以定義,再對外在變數及樣本加以說明,並就財務比率加以介紹並予以設定,最後初步擬定預測模型;第四章為實証分析,共分為三節,分別為主成份分析及模型配適,並就結果加以分析與驗証;第五章則為本研究的結論及建議。最後為求進一步推展本研究之模型,乃將本研究之限制詳予說明,寄望後績之研究者能一一克服,使本預測模型達到完美之境。 參考文獻 參考文獻一、中文部分:1.石齊平、郭照榮「當代計量經濟學」(三民書局出版,民國七十六年元月二版)。2.林玩香編譯,「SAS使用手冊-高等統計篇」,(台北:儒林圖書公司,民國七十七年四月初版)。3.林清山,「多變量分析統計法」,(東華書局出版,民國七十七年九月五版)。4.黃敏助。「論銀行經營評鑑」,(基層金融出版社出版,民國七十五年十月)。5.陳肇榮。「運用財務比率預測企業危機之實証研究」,(民國七十四年政大企業管理研究所之博士論文)。6.葉金成。「股票上市優良與不優良企業財務特性之研究」,(民國六十七年,政大企業管理研究所之碩士論文)。7.張輝煌編譯,「多變量分析及其應用」,(台北:建興出版社,民國七十九年修訂版)。8.張輝煌編譯,「實用多變量分析」,(台北:建興出版社,民國七十八年四月出版)。9.鄭丁旺,「中級會計學」,上下冊,(台北:作者自印,民國七十六年十一月三版)。10.審計準則委員會,「審計準則公報第十二號」,(台北:中華民國財會計研究發展基金會,民國七十六年一月三十一日發布)。11.廖秀雲,「每股盈餘之研究」,(民國七十七年六月,政大會計研究所之碩士論文)12.原始資料來源:<1>各上市公司之年報及公開說明書, <2>經濟部統計處編印,「工業生產統計月報」,(民國七十九年一月出版)。二、英文部分:l.Albrecht, W. C., L. L. Lookabill and J. C. Mckeown, "The Time-Series Properties OfAnnual Earnings ," Journal Of Accounting Research (Autumn 1977).pp.226-244.2.APB Opinion No.15, "Earning per share",New York: American Institude of CertifiedPublic Accountants, May 1969).*3.Bain, J. S., Barriers to New Competition Harvard University Press,1956).4.Baker, S. H., "Risk,Leverage,and Profitability:An Industrial Analysis," The Reviewof Economics and Statistics (November 1973) .pp.503-507.5.Ball, R. ,B. Lev and R. Watts, " Income Variation and Balance Sheet Compositions,"Journal of Accounting Research (Spring 1976).pp.1-9.6.Beaver, W. , P. Kettler, and M. Scholes, "The Association Between Market Determinedand Accounting Determined Risk Measures,"The Accounting Review (October 1970).pp.634-682.*7.Brealey, R. A. An Introduction to Risk and Return From Common Stocks (MIT Press,1969)8. Catto, V., "Market Share and Profits,"Bussiness Economics (May 1980).pp.39-44.9.Collins, N. L. and L. E. Preston, "Price-Cost Margins and Industry Structure, "Review of Economics and Statistics (August 1969) .pp.271-287.*10.Cyert, R. M. and J.G. March, A Behavioral Theory of the Firm (Prentice-Hall, 1963).*11.David A. Heenan and Robert B. Addleman, "Quantitative Techniques for Today`s Decision Makers," (Prentice-Hall Press 1971).12.Eckel, N., "An EPS Forecasting Model Utilizing Macroeconomic Performance Expectations, "Financial Analysts Journal (May-June 1982).pp.68-77.13.Elton, E. J. and M. J. Gruber, " Improved Forecasting Through Design of HomogeneousGroups, " The Journal of-Business (July 1971 ).pp.432-450.14.Gupta, M. C., "The Effect of Size, Growth,and Industry on The Financial Structure ofManufacturing Companies, "The Journal of Finance (June 1969).pp.517-529.15.Hurdle, G. J., "Leverage,Risk,Market Structure and Profitability, " The Review ofEconomics and Statistics(November 1974).pp.478-485.*16.Kerlinger, F. N., Foundation of Behavioral Research 2nd.ed.(Holt,Rinehart and Winston,1973).*17.Kwoka, J. E., Jr., U.S. Federal Trade Commission Staff Report on Market Shares, Concentration,and Competition in Manufacturing Industries (U.S. Government PrintingOffice,1978)18.Leopold A. Berstein, "Financial Statement Analysis:Theory, Application,and Interpretation,"Third Edition.19.Lev, B. , "On the Use of Index Models in Analytical Reviews By Auditors, " Journalof Accounting Research (Autumn 1980).pp.524-550.20.-------, " Some Economic Determinations of Time-Series Properties of Earnings," Journal of Accounting and Economics(April 1983) .pp.31-48.*21.Little, I. M. F. and A. C. Ranor, Higgledy Piggledy Growth Again (Basil Blackwell,1966) .22.Martin, a., "An Empirical Test of The Relevance of Accounting Information for Investment Decisions," Journal of Accounting Research (Supplement 1971).pp.1-31.23.Marx, T. G. ,"Concentration and the Profits of Leading Firms:Implications for Monopoly and Efficiency," Business Economics.(September 1979).pp.23-29.*24.Pinches, George E., Arthur A.Eubank, Kent A. Mingo, and J. Kent Caruther."The Hierarchical Classification of Financial Ratios" Journal of -Business Research (October 1975),pp.295-310.25.Roenfeldt, R. L. and P. L. Cooley."Predicting Corporate Profitability for InvestmentSelection " Journal of Business Finance & Accounting (Spring 1978). pp. 57-63.26.Schroeder & McCullers & Clark, " Accounting Theory, Text and Reading" , Third Edition.*27.Shepherd, W.G., Market Power Economic Welfare:An Introduction (Random House 1970).*28.Shimerda, T.A., "Financial Ratios As Predictors of Profitability, " PH.D. dissertation,university of Nebraska, 1978, ( Microfilms,No.7910516).29.Wetts, R.L. and R.W. Lettcoich, "The TimeSeries of Annual Accounting Earnings," Journal of Accounting Research (Autumn 1977).pp.253-271.30.Williams, W.h., and M.L. Goodman, "A Statistical Grouping of Corporations By TheirFinancial Characteristics,"Journal of Financial and Quantative Analysis (September 1971).pp.1095-1104.31.Yang-tzong Tsay, "On The Relationship Between Accounting Earnings And Accounting Rations,"(September 1989).*表示作者未直接參閱 描述 碩士
國立政治大學
會計學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005430 資料類型 thesis dc.contributor.advisor 黃敏助 zh_TW dc.contributor.author (Authors) 簡銘宏 zh_TW dc.creator (作者) 簡銘宏 zh_TW dc.date (日期) 1990 en_US dc.date (日期) 1989 en_US dc.date.accessioned 3-May-2016 14:13:46 (UTC+8) - dc.date.available 3-May-2016 14:13:46 (UTC+8) - dc.date.issued (上傳時間) 3-May-2016 14:13:46 (UTC+8) - dc.identifier (Other Identifiers) B2002005430 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90097 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 會計學系 zh_TW dc.description.abstract (摘要) 論文提要吾人皆知,每股盈餘對投資人而言具有相當的重要性,因為每股盈餘可用來衡量股價的高低,以做為投資決策之參考。雖然我國証券市場目前正處於Agtmael所謂的「投機期」(Speculation)每股盈餘對股價之衡量似乎不具價值,但此乃一過渡現象,將來勢必歷經「整理(崩盤)期」(Consolidation (Crash))而達「成熟期」(Mature)。屆時,每股盈餘之分析將是投資決策最有用的工具之一。本研究之目的乃在於試圖為每股盈餘發展一預測模型,以便將來投資人做投資決策時之參考。但為顧及投資人取得預測資訊之便,乃利用我國企業公開說明書上所公佈的16個財務比率做分析,試圖尋找較具解釋能力之比率建立模型。因此本研究之貢獻除了幫助投資人做投資決策外,尚可証明會計人員所編製的財務報表,具有可用性。本研究架構,從問題之發生、認定,並經過文獻之探討後,決定以我國上市企業為樣本,並以公開說明書中有民國73年至75年之16個財務比率為準,共取得91家有完整之資料。首先將此16個財務比率做主成份分析(Component Analysis)抽取一組較少數的財務比率來建立預測模型,但為加強模型之預測能力,另外加入總體經濟指數及行業景氣指數於模型之中。待模型建立完成之後,再以保留樣本(hold-out sample)加以檢定該模型之預測能力。本論文共分五章,第一章緒論,其中分四節,分別就研究動機與目的,研究的範圍與限制,並就預期的貢獻加以介紹;第二章為文獻探討,共分四節,分別對每股盈餘預測,盈餘預測,公司淨利之研究及多變量分析加以探討;第三章為研究方法論,分四節加以敘述,先對每股盈餘加以定義,再對外在變數及樣本加以說明,並就財務比率加以介紹並予以設定,最後初步擬定預測模型;第四章為實証分析,共分為三節,分別為主成份分析及模型配適,並就結果加以分析與驗証;第五章則為本研究的結論及建議。最後為求進一步推展本研究之模型,乃將本研究之限制詳予說明,寄望後績之研究者能一一克服,使本預測模型達到完美之境。 zh_TW dc.description.tableofcontents 目錄第一章 緒論………1第一節 研究動機與目的………1第二節 研究範圍與限制………3第三節 預期之貢獻………7第四節 研究流程及論文架構………9第二章 文獻探討………13第一節 每股盈餘之預測………13第二節 盈餘之預測………18第三節 公司淨利及比率之研究………32第四節 主成份分析………36第三章 研究方法論………42第一節 每股盈餘之定義………42第二節 外在變數及樣本說明………46第三節 財務比率之介紹及設定………52第四節 預測模型之擬定………62第四章 實証分析………69第一節 主成份分析………69第二節 模型配適與檢討………81第三節 結果之檢定………87第五章 結論及建議………92第一節 結論………92第二節 建議事項………96參考文獻………98表次表3-1多變量分析的分類………55表3-2 Holden研究的相關係數表………67表4-1 73,74,75年之零階相關係數表………71表4-2十一比率之相關係數矩陣表………72表4-3十一比率轉軸前,後之因子負荷量表………72表4-4八比率之相關係數矩陣表………75表4-5八比率轉軸前,後之因子負荷量表………75表4-6七比率之相關係數矩陣表………78表4-7七比率轉軸前,後之因子負荷量表………78表4-8七十三年之主成份分析………80表4-9七十五年之主成份分析………80表4-10七十六年之主成份分析………80表4-11七十七年之主成份分析………80表4-12模型之D-W值表………80表4-13模型參數估計表………85表4-14判定係數比較表………86表4-15七十六年預測能力檢定表………90表4-16七十七年預測能力檢定表………90圖次圖1-1假設架構圖………4圖1-2研究步驟流程圖………11圖2-1企業、行業及總體經濟環境關係卞氏圖………23圖3-1多變量分析方法分類圖………56圖3-2財務比率屬性歸類圖………59圖3-3財務比率抽取流程………61圖3-4模型擬定流程………65 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005430 en_US dc.title (題名) 運用財務比率預測每股盈餘之研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻一、中文部分:1.石齊平、郭照榮「當代計量經濟學」(三民書局出版,民國七十六年元月二版)。2.林玩香編譯,「SAS使用手冊-高等統計篇」,(台北:儒林圖書公司,民國七十七年四月初版)。3.林清山,「多變量分析統計法」,(東華書局出版,民國七十七年九月五版)。4.黃敏助。「論銀行經營評鑑」,(基層金融出版社出版,民國七十五年十月)。5.陳肇榮。「運用財務比率預測企業危機之實証研究」,(民國七十四年政大企業管理研究所之博士論文)。6.葉金成。「股票上市優良與不優良企業財務特性之研究」,(民國六十七年,政大企業管理研究所之碩士論文)。7.張輝煌編譯,「多變量分析及其應用」,(台北:建興出版社,民國七十九年修訂版)。8.張輝煌編譯,「實用多變量分析」,(台北:建興出版社,民國七十八年四月出版)。9.鄭丁旺,「中級會計學」,上下冊,(台北:作者自印,民國七十六年十一月三版)。10.審計準則委員會,「審計準則公報第十二號」,(台北:中華民國財會計研究發展基金會,民國七十六年一月三十一日發布)。11.廖秀雲,「每股盈餘之研究」,(民國七十七年六月,政大會計研究所之碩士論文)12.原始資料來源:<1>各上市公司之年報及公開說明書, <2>經濟部統計處編印,「工業生產統計月報」,(民國七十九年一月出版)。二、英文部分:l.Albrecht, W. C., L. L. Lookabill and J. C. Mckeown, "The Time-Series Properties OfAnnual Earnings ," Journal Of Accounting Research (Autumn 1977).pp.226-244.2.APB Opinion No.15, "Earning per share",New York: American Institude of CertifiedPublic Accountants, May 1969).*3.Bain, J. S., Barriers to New Competition Harvard University Press,1956).4.Baker, S. H., "Risk,Leverage,and Profitability:An Industrial Analysis," The Reviewof Economics and Statistics (November 1973) .pp.503-507.5.Ball, R. ,B. Lev and R. Watts, " Income Variation and Balance Sheet Compositions,"Journal of Accounting Research (Spring 1976).pp.1-9.6.Beaver, W. , P. Kettler, and M. Scholes, "The Association Between Market Determinedand Accounting Determined Risk Measures,"The Accounting Review (October 1970).pp.634-682.*7.Brealey, R. A. An Introduction to Risk and Return From Common Stocks (MIT Press,1969)8. Catto, V., "Market Share and Profits,"Bussiness Economics (May 1980).pp.39-44.9.Collins, N. L. and L. E. Preston, "Price-Cost Margins and Industry Structure, "Review of Economics and Statistics (August 1969) .pp.271-287.*10.Cyert, R. M. and J.G. March, A Behavioral Theory of the Firm (Prentice-Hall, 1963).*11.David A. Heenan and Robert B. Addleman, "Quantitative Techniques for Today`s Decision Makers," (Prentice-Hall Press 1971).12.Eckel, N., "An EPS Forecasting Model Utilizing Macroeconomic Performance Expectations, "Financial Analysts Journal (May-June 1982).pp.68-77.13.Elton, E. J. and M. J. Gruber, " Improved Forecasting Through Design of HomogeneousGroups, " The Journal of-Business (July 1971 ).pp.432-450.14.Gupta, M. C., "The Effect of Size, Growth,and Industry on The Financial Structure ofManufacturing Companies, "The Journal of Finance (June 1969).pp.517-529.15.Hurdle, G. J., "Leverage,Risk,Market Structure and Profitability, " The Review ofEconomics and Statistics(November 1974).pp.478-485.*16.Kerlinger, F. N., Foundation of Behavioral Research 2nd.ed.(Holt,Rinehart and Winston,1973).*17.Kwoka, J. E., Jr., U.S. Federal Trade Commission Staff Report on Market Shares, Concentration,and Competition in Manufacturing Industries (U.S. Government PrintingOffice,1978)18.Leopold A. Berstein, "Financial Statement Analysis:Theory, Application,and Interpretation,"Third Edition.19.Lev, B. , "On the Use of Index Models in Analytical Reviews By Auditors, " Journalof Accounting Research (Autumn 1980).pp.524-550.20.-------, " Some Economic Determinations of Time-Series Properties of Earnings," Journal of Accounting and Economics(April 1983) .pp.31-48.*21.Little, I. M. F. and A. C. Ranor, Higgledy Piggledy Growth Again (Basil Blackwell,1966) .22.Martin, a., "An Empirical Test of The Relevance of Accounting Information for Investment Decisions," Journal of Accounting Research (Supplement 1971).pp.1-31.23.Marx, T. G. ,"Concentration and the Profits of Leading Firms:Implications for Monopoly and Efficiency," Business Economics.(September 1979).pp.23-29.*24.Pinches, George E., Arthur A.Eubank, Kent A. Mingo, and J. Kent Caruther."The Hierarchical Classification of Financial Ratios" Journal of -Business Research (October 1975),pp.295-310.25.Roenfeldt, R. L. and P. L. Cooley."Predicting Corporate Profitability for InvestmentSelection " Journal of Business Finance & Accounting (Spring 1978). pp. 57-63.26.Schroeder & McCullers & Clark, " Accounting Theory, Text and Reading" , Third Edition.*27.Shepherd, W.G., Market Power Economic Welfare:An Introduction (Random House 1970).*28.Shimerda, T.A., "Financial Ratios As Predictors of Profitability, " PH.D. dissertation,university of Nebraska, 1978, ( Microfilms,No.7910516).29.Wetts, R.L. and R.W. Lettcoich, "The TimeSeries of Annual Accounting Earnings," Journal of Accounting Research (Autumn 1977).pp.253-271.30.Williams, W.h., and M.L. Goodman, "A Statistical Grouping of Corporations By TheirFinancial Characteristics,"Journal of Financial and Quantative Analysis (September 1971).pp.1095-1104.31.Yang-tzong Tsay, "On The Relationship Between Accounting Earnings And Accounting Rations,"(September 1989).*表示作者未直接參閱 zh_TW