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題名 勞退新制股價效應、精算假設選用誘因與價值攸關性之實證研究
The Promulgation of Labor Pension Act, Choice of Actuarial Assumptions, and Market Reaction
作者 蔡秋田
Tsai,Chiu-Tien
貢獻者 許崇源
Hsu,Chun-Yuan
蔡秋田
Tsai,Chiu-Tien
關鍵詞 勞工退休金條例
股價效應
精算假設
價值攸關性
功能性固著
Labor Pension Act
Market reaction
Actuarial assumptions
Value relevance
Functional fixation
日期 2006
上傳時間 18-九月-2009 09:09:25 (UTC+8)
摘要 退休金的會計處理原本即具複雜性，加上最近退休金制度的變革，形成退休金會計獨特且豐富的情境背景，提供了許多的研究機會。本論文包含三個與退休金會計相關之議題；其中第一個議題是「勞工退休金新制之股價效應」；第二個議題是「退休金精算假設選用之誘因」；第三個議題是「退休金精算假設選用之價值攸關性」。三個議題均以效率市場假說為基礎，針對勞工退休金新制之實施與退休金精算假設之選用，分別深入探討其與股價之關聯性。
首先，本論文第一個議題探討勞退新制之股價效應。事件日股票報酬與公司特質的關聯分析，雖然部分的實證結果不顯著，然而部分的證據顯示，勞退新制公布實施時，公司股票報酬與退休金提撥不足程度、員工平均服務年資、退休金提撥率、退休金成率等公司特質具有關聯性，隱含資本市場在某種程度上，似乎可以依據勞退新制對公司不同之衝擊程度，反映於公司股票報酬。
其次，本論文第二個議題探討退休金精算假設選用之誘因。實證的結果顯示，我國上市上櫃公司精算假設選用的橫斷面差異，可能源於債務契約、提撥不足之成本以及損益平穩化等誘因。最後，本論文第三個議題探討退休金精算假設選用之價值攸關性。實證結果顯示，退休金精算假設選用具價值攸關性，投資人對公司選用精算假設保守程度有所評價，對於裁量性 (隱藏的) 預計給付義務亦有所反映，似乎適當地根據精算假設選用對於預計給付義務之影響幅度來調整對公司之評價，隱含資本市場並未功能性固著於報導的退休金義務。
There are three essays in this dissertation. The first essay examines the impact on equity prices of the Promulgation of Labor Pension Act. Evidence reported in the paper shows that negative abnormal returns are most pronounced for firms with large underfunded level of pension plan, firms with little average years of employment, firms with low contribution ratio, and firms with low pension cost ratio.
The second essay explains the cross-sectional variation in firms’ selected actuarial assumptions (rate of increase in compensation and discount rate) used to measure the projected benefit obligation (PBO). Evidence shows that firms with relatively larger debt ratio, larger underfunded level of pension plan, and larger decline in earnings tend to select more aggressive (obligation-reducing) estimation parameters.
The last essay studies the association between actuarial assumptions and firm value. The results indicate that firm value is lower, conditional on the reported PBO, for firms that use higher discount rates and lower rate of increase in compensation. This is consistent with investors seeing through managers’ opportunistic choices of obligation reducing assumptions. The evidence suggests that the stock market does not fixate on reported PBO numbers, but properly appreciates the value relevance of the discretionary component of the PBO.
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描述 博士
國立政治大學
會計研究所
89353503
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0893535031
資料類型 thesis
dc.contributor.advisor 許崇源zh_TW
dc.contributor.advisor Hsu,Chun-Yuanen_US
dc.contributor.author (作者) 蔡秋田zh_TW
dc.contributor.author (作者) Tsai,Chiu-Tienen_US
dc.creator (作者) 蔡秋田zh_TW
dc.creator (作者) Tsai,Chiu-Tienen_US
dc.date (日期) 2006en_US
dc.date.accessioned 18-九月-2009 09:09:25 (UTC+8)-
dc.date.available 18-九月-2009 09:09:25 (UTC+8)-
dc.date.issued (上傳時間) 18-九月-2009 09:09:25 (UTC+8)-
dc.identifier (其他 識別碼) G0893535031en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34257-
dc.description (描述) 博士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) 89353503zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) 退休金的會計處理原本即具複雜性，加上最近退休金制度的變革，形成退休金會計獨特且豐富的情境背景，提供了許多的研究機會。本論文包含三個與退休金會計相關之議題；其中第一個議題是「勞工退休金新制之股價效應」；第二個議題是「退休金精算假設選用之誘因」；第三個議題是「退休金精算假設選用之價值攸關性」。三個議題均以效率市場假說為基礎，針對勞工退休金新制之實施與退休金精算假設之選用，分別深入探討其與股價之關聯性。
首先，本論文第一個議題探討勞退新制之股價效應。事件日股票報酬與公司特質的關聯分析，雖然部分的實證結果不顯著，然而部分的證據顯示，勞退新制公布實施時，公司股票報酬與退休金提撥不足程度、員工平均服務年資、退休金提撥率、退休金成率等公司特質具有關聯性，隱含資本市場在某種程度上，似乎可以依據勞退新制對公司不同之衝擊程度，反映於公司股票報酬。
其次，本論文第二個議題探討退休金精算假設選用之誘因。實證的結果顯示，我國上市上櫃公司精算假設選用的橫斷面差異，可能源於債務契約、提撥不足之成本以及損益平穩化等誘因。最後，本論文第三個議題探討退休金精算假設選用之價值攸關性。實證結果顯示，退休金精算假設選用具價值攸關性，投資人對公司選用精算假設保守程度有所評價，對於裁量性 (隱藏的) 預計給付義務亦有所反映，似乎適當地根據精算假設選用對於預計給付義務之影響幅度來調整對公司之評價，隱含資本市場並未功能性固著於報導的退休金義務。		zh_TW
dc.description.abstract (摘要) There are three essays in this dissertation. The first essay examines the impact on equity prices of the Promulgation of Labor Pension Act. Evidence reported in the paper shows that negative abnormal returns are most pronounced for firms with large underfunded level of pension plan, firms with little average years of employment, firms with low contribution ratio, and firms with low pension cost ratio.
The second essay explains the cross-sectional variation in firms’ selected actuarial assumptions (rate of increase in compensation and discount rate) used to measure the projected benefit obligation (PBO). Evidence shows that firms with relatively larger debt ratio, larger underfunded level of pension plan, and larger decline in earnings tend to select more aggressive (obligation-reducing) estimation parameters.
The last essay studies the association between actuarial assumptions and firm value. The results indicate that firm value is lower, conditional on the reported PBO, for firms that use higher discount rates and lower rate of increase in compensation. This is consistent with investors seeing through managers’ opportunistic choices of obligation reducing assumptions. The evidence suggests that the stock market does not fixate on reported PBO numbers, but properly appreciates the value relevance of the discretionary component of the PBO.		en_US
dc.description.tableofcontents 第壹章 緒 論 1
第一節 研究動機與目的 1
第二節 研究問題 5
第三節 研究貢獻 6
第四節 論文架構 8
第貳章 文獻探討 10
第一節 勞退新制之股價效應－事件研究法 10
第二節 退休金精算假設選用之誘因 15
第三節 精算假設選用之價值攸關性 22
第參章 研究設計 31
第一節 勞退新制之股價效應 31
第二節 退休金精算假設選用之誘因 46
第三節 精算假設選用之價值攸關性 58
第肆章 實證結果與分析 67
第一節 勞退新制之股價效應 67
第二節 退休金精算假設選用之誘因 88
第三節 精算假設選用之價值攸關性 97
第伍章 研究結論與限制 108
第一節 研究結論 108
第二節 研究限制 110
參考文獻 113
附錄一 新舊勞工退休制度比較 123		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0893535031en_US
dc.subject (關鍵詞) 勞工退休金條例zh_TW
dc.subject (關鍵詞) 股價效應zh_TW
dc.subject (關鍵詞) 精算假設zh_TW
dc.subject (關鍵詞) 價值攸關性zh_TW
dc.subject (關鍵詞) 功能性固著zh_TW
dc.subject (關鍵詞) Labor Pension Acten_US
dc.subject (關鍵詞) Market reactionen_US
dc.subject (關鍵詞) Actuarial assumptionsen_US
dc.subject (關鍵詞) Value relevanceen_US
dc.subject (關鍵詞) Functional fixationen_US
dc.title (題名) 勞退新制股價效應、精算假設選用誘因與價值攸關性之實證研究zh_TW
dc.title (題名) The Promulgation of Labor Pension Act, Choice of Actuarial Assumptions, and Market Reactionen_US
dc.type (資料類型) thesisen
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