| dc.contributor.advisor | 張清福 | zh_TW |
| dc.contributor.advisor | Chang, chingfu | en_US |
| dc.contributor.author (作者) | 洪佩嫆 | zh_TW |
| dc.contributor.author (作者) | Hong, peiyung | en_US |
| dc.creator (作者) | 洪佩嫆 | zh_TW |
| dc.creator (作者) | Hong, peiyung | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 11-九月-2009 17:34:02 (UTC+8) | - |
| dc.date.available | 11-九月-2009 17:34:02 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-九月-2009 17:34:02 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0893530242 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30268 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 會計研究所 | zh_TW |
| dc.description (描述) | 89353024 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本研究以Ohlson (1995) model為發展基礎，並將盈餘定義為（１）剩餘淨利及（２）盈餘水準，分別就此二種不同定義下的盈餘，以年度盈餘時間序列來測試其是否符合線性資訊動態假設，及針對各模式對股權價值估計與預測之結果做比較，探討何種評價方法或模式對於估計真實價值、解釋價格及預測報酬之效果較佳。 研究結果發現，我國上市公司之剩餘淨利及盈餘水準時間序列皆符合線性資訊動態假說。剩餘淨利線性資訊動態模型較能正確預估次一期的盈餘。相較於單獨以帳面價值來估計股價，考慮線性資訊動態模型所建立之各評價模型所預測之估計股價皆未能正確預測權益價值及解釋權益價值之波動。在投資策略方面，因剩餘淨利模型之投資績效最為穩定，在該模型之投資策略下，V/P比率愈低（高）之投資組合獲得之平均股票報酬愈低（高），代表股價愈是被低估的投資組合可賺取更多之投資報酬，這說明剩餘淨利模型預測次期投資報酬之能力最佳，投資人可以其做為建立投資策略的參考。 | zh_TW |
| dc.description.abstract (摘要) | Based on Ohlson (1995) model, this study specifies earnings variables as both residual income and earnings levels to test the linear information dynamic (LID) models per se and the ability of competing valuation models to value the contemporaneous stock prices. A comparison of future stock return predicting capability of competing models is also conducted. By using both residual income time series and earnings levels time series for examining the issue on the firms listed on the Taiwan Stock Exchange (TSE), the empirical results support Ohlson’s information dynamics. However, when estimated as a time series, the linear information models using either residual income or earnings levels variables provide value estimates no better than book value does alone. From the investment strategy aspect, the superior predictive ability of the residual income valuation model with respect to future stock returns demonstrates that high (low) V/P ratios gets high (low) investment returns. It implies that the underpriced portfolio makes high investment returns. Accordingly, the residual income valuation is good for estimating returns on the following year and is therefore a valuable investment reference.. | en_US |
| dc.description.tableofcontents | 第壹章 緒論 ........................................1 第一節 研究動機 ........................................1 第二節 研究問題 ........................................4 第三節 研究架構 ........................................5 第貳章 文獻探討 ........................................7 第一節 Ohlson model理論回顧 ........................7 第二節 Ohlson model (考慮資訊動態假設)之實證研究 ........10 第三節 Panel Data Model之簡介 ........................15 第參章 研究假說與研究方法 ................................18 第一節 研究假說 ........................................18 第二節 實證模型 ........................................27 第三節 變數定義及衡量 ................................29 第四節 資料來源及樣本選取 ................................30 第五節 統計分析方法 ................................33 第肆章 實證結果 ........................................36 第一節 敍述性統計 ................................36 第二節 盈餘持續性之探討 ................................39 第三節 資訊動態模型之預測能力 ........................42 第四節 評價模型之預測能力及解釋能力 ................45 第五節 投資組合之績效 ................................51 第伍章 結論與建議 ................................54 第一節 結論 ........................................54 第二節 研究限制 ........................................56 第三節 後續研究建議 ................................57 參考文獻 ................................................58 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0893530242 | en_US |
| dc.subject (關鍵詞) | 剩餘淨利 | zh_TW |
| dc.subject (關鍵詞) | 線性資訊動態模型 | zh_TW |
| dc.subject (關鍵詞) | residual income | en_US |
| dc.subject (關鍵詞) | Ohlson model | en_US |
| dc.subject (關鍵詞) | linear information dynamics | en_US |
| dc.subject (關鍵詞) | panel data model | en_US |
| dc.title (題名) | 會計基礎評價模型之實證研究--考慮線性資訊動態 | zh_TW |
| dc.title (題名) | An Empirical Study of the Accounting Based Valuation-- With Linear Information Dynamics | en_US |
| dc.type (資料類型) | thesis | en |
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