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題名 評價模型與投資策略--以剩餘淨利模型為中心
Valuation model and Investment Strategy-- using residual income model
作者 羅艾庭
貢獻者 鄭丁旺
羅艾庭
關鍵詞 市場效率
剩餘淨利模型
market efficiency
residual income model
日期 2009
上傳時間 30-Oct-2012 10:11:34 (UTC+8)
摘要 財務報表在資本市場扮演何種角色是會計學者長久以來關注的焦點。Ohlson的研究將實證研究的重心從解釋股價的行為轉向至會計資訊與企業價值關聯的研究。本研究以美國市場為背景，加入分析師對盈餘預測因素，測試剩餘淨利模型實證上的有效性，並且用以檢視是否能以此模型建立超越大盤的投資組合。實證結果顯示發現分析師的盈餘預測作為其他資訊之代理變數以及分析師之長期成長預測捕捉企業未來成長潛質，有助於提升模型對股價的解釋能力。本研究認為成長機會對股價具有正向之影響，現時股價表現反映投資人對未來預期的結果。
參考文獻 中文文獻
藍心梅2001，會計基礎評量模式在台灣股市適用性之研究，中原大學會計研究所未出版碩士論文。
陳振遠、 張智堯、 王蘭芬與李文智，2005，應用Ohlson 會計評價模型探究公司治理之價值攸關性—以台灣上市公司電子業為例，臺大管理論叢，第十五卷第二期，123-142。
謝佩芬2004， 財務指標與非會計資訊對股價之影響－Ohlson模型之延伸 應用，中原大學國際貿易研究所未出版碩士論文。
蔡宜芬，2001，分析師預測與管理當局預測於企業評價之相對有用性研究-Ohlson模型之應用，國立政治大學會計學系未出版碩士論文。
周庭楷，2001，會計保守原則對權益評價影響之實證研究，國立成功大學會計學系碩博士班未出版碩士論文。
吳鈞麟，2003，景氣因素對會計資訊價值攸關性之影響，國立政治大學會計學系未出版碩士論文。

英文文獻
Abarbanell, J. S., and B. J. Bushee. 1997. Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research 35 (1):1-24.
Abarbanell, J. S., and B. J. Bushee. 1998. Abnormal Returns to a Fundamental Analysis Strategy. The Accounting Review 73 (1):19-45.
Ball, R., Brown,P., 1968. An empirical evaluation of accounting income numbers , Journal of Accounting Research 6; 159-177
Beaver, W. H. 1968. The Information Content of Annual Earnings Announcements. Journal of Accounting Research 6:67-92.
Beaver, W. H. 1989. Financial Reporting: An Accounting Revolution. 2d ed. Prentice_Hall
Beaver, W. H. 1999. Comments on "An empirical assessment of the residual income valuation model`. Journal of Accounting and Economics 26 (1-3):35-42.
Beaver, W. H. 2002. Perspectives on recent capital market research. The Accounting Review 77 (2):453.
Begley, J., and G. A. Feltham. 2002. The relation between market values, earnings forecasts, and reported earnings. Contemporary Accounting Research 19 (1):1.
Bernard, V. L., and J. K. Thomas. 1989. Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research 27:1-36.
Bernard, Victor L., Thomas, Jacob K. (1990/12)."Evidence that stock prices do not fully reflect the implications of current earnings for future earnings." Journal of Accounting and Economics 13(4): 305-340
Bhattacharya, N. 2001. Investors` Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation. The Accounting Review 76 (2):221-244.
Callen, J. L., and M. Morel.2001. Linear Accounting Valuation When Abnormal Earnings Are AR(2). Review of Quantitative Finance and Accounting 16: 191-203.
Callen, J. L., and D. Segal. 2005. Empirical Tests of the Feltham-Ohlson (1995) Model. Review of Accounting Studies 10 (4):409.
Campbell, J. Y. 2000. Asset pricing at the millennium. The Journal of Finance 55 (4):1515.
Cheng, Q. 2005. The Role of Analysts` Forecasts in Accounting-Based Valuation: A Critical Evaluation. Review of Accounting Studies 10 (1):5.
Collins, D. W., E. L. Maydew, and I. S. Weiss. 1997. Changes in the value-relevance of earnings and book values over the past forty years. Journal of Accounting and Economics 24 (1):39-67.
Collins, D., O. Li, and H. Xie. 2009. What drives the increased informativeness of earnings announcements over time? Review of Accounting Studies 14 (1):1-30.
Damodaran, A. 2005. Valuation Approaches and Metrics: A Survey of the Theory and Evidence. Foundations & Trends in Finance 1 (8):693-784.
Dechow, P. M. 1994. Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals. Journal of Accounting and Economics 18 (1):3-42.
Dechow, P. M., R. Sloan and A. Sweeny. 1995. Detecting earnings management. The Accounting Review 70 (April): 193-226.
Dechow, P. M., and R. G. Sloan. 1997. Returns to contrarian investment strategies: Tests of naive expectations hypotheses. Journal of Financial Economics 43 (1):3-27.
Dechow, P. M., A. P. Hutton, and R. G. Sloan. 1999. An empirical assessment of the residual income valuation model. Journal of Accounting and Economics 26 (1-3):1-34.
Dechow, P. M., A. P. Hutton, and R. G. Sloan. 2000. The relation between analysts` forecasts of long-term earnings growth and stock price performance following equity offerings. Contemporary Accounting Research 17 (1):1.
Demski, J. S., and G. A. Feltham. 1994. Market response to financial reports. Journal of Accounting and Economics 17 (1-2):3-40.
Doyle, J. T., R. J. Lundholm, and M. T. Soliman. 2006. The Extreme Future Stock Returns Following I/B/E/S Earnings Surprises. Journal of Accounting Research 44 (5):849-887
Dhaliwal, D. S., D. A. Guenther, and M. A. Trombley. 2000. Inventory Accounting Method and Earnings-Price Ratios. Contemporary Accounting Research, forthcoming.
Easton, P. 2009. Discussion of "Accounting Data and Value: The Basic Results"*. Contemporary Accounting Research 26 (1):261-272.
Edwards, Edgar O., and Philip W. Bell, 1961. The Theory and Measurement of Business Income University of California Press.
Fairfield, P. M., R. J. Sweeney, and T. L. Yohn. 1996. Accounting Classification and the Predictive Content of Earnings. The Accounting Review 71 (3):337-355.
Fairfield, P. M., J. S. Whisenant, and T. L. Yohn. 2003. Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing. The Accounting Review 78 (1):353-371.
Fama, E. F. 1965. The Behavior of Stock-Market Prices. The Journal of Business 38 (1):34-105.
Fama, L. Fisher, M. Jsnsen and R. Roll. 1969. The adjustment of stock prices to new information, International Economic Review, 10, 1-21.
Feltham, G. A., and J. A. Ohlson. 1995. Valuation and clean surplus accounting for operating and financial activities. Contemporary Accounting Research 11 (2):689.
Francis, J., K. Schipper, and L. Vincent. 2002. Earnings announcements and competing information. Journal of Accounting and Economics 33 (3):313-342.
Frankel, R., and C. M. C. Lee. 1998. Accounting valuation, market expectation, and cross-sectional stock returns. Journal of Accounting & Economics 25 (3):283.
Frank, K. 2002. The effect of growth on the value relevance of accounting data. Journal of Business Research 55 (1):69.
Freeman, R. N., and S. Tse. 1989. The Multiperiod Information Content of Accounting Earnings: Confirmations and Contradictions of Previous Earnings Reports. Journal of Accounting Research 27:49-79.
Gaver, J. J., and K. M. Gaver. 1993. Additional evidence on the association between the investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Accounting and Economics 16 (1-3):125-160.
Gordon, Myron J. (1962). The Investment, Financing, and Valuation of the Corporation. Homewood, IL: R. D. Irwin
Gul, F. A. 1999. Growth opportunities, capital structure and dividend policies in Japan. Journal of Corporate Finance 5 (2):141-168.
Hayn, C. 1995. The information content of losses. Journal of Accounting and Economics 20 (2):125-153.
Jung, B., P. B. Shane, and Y. Yang. 2008. The Existence and Value-Relevance of Financial Analysts` Long-Term Growth Forecasts*. SSRN eLibrary.
Kothari, S. P. 2001. Capital markets research in accounting. Journal of Accounting and Economics 31 (1-3):105-231.
Kim, O., and R. E. Verrecchia. 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17 (1-2):41-67.
Landsman, W. R., and E. L. Maydew. 2002. Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades? Journal of Accounting Research 40 (3):797-808.
Lee, C. M. C., J. Myers, and B. Swaminathan. 1999. What Is the Intrinsic Value of the Dow? The Journal of Finance 54 (5):1693-1741.
Lee, C. M. C. 2001. Market efficiency and accounting research: a discussion of ["]capital market research in accounting` by S.P. Kothari. Journal of Accounting and Economics 31 (1-3):233-253.
Lev, B., and S. R. Thiagarajan. 1993. Fundamental Information Analysis. Journal of Accounting Research 31 (2):190-215.
Lipe, R. C. 1986. The Information Contained in the Components of Earnings. Journal of Accounting Research 24:37-64.
Liu, J., and J. A. Ohlson. 2000. The Feltham-Ohlson (1995) Model: Empirical Implications. Journal of Accounting, Auditing and Finance 15 (3):321-331.
Liu, J., and J. Thomas. 2000. Stock Returns and Accounting Earnings. Journal of Accounting Research 38 (1):71-101.
McNichols, M., and B. Trueman. 1994. Public disclosure, private information collection, and short-term trading. Journal of Accounting and Economics 17 (1-2):69-94.
Myers, J. N. 1999. Implementing Residual Income Valuation with Linear Information Dynamics. The Accounting Review 74 (1):1-28.
Ohlson, J. A. 1995. Earnings, Book Values, and Dividends in Equity Valuation*. Contemporary Accounting Research 11 (2):661-687.
Ohlson, J. A. 2001. Earnings, Book Values, and Dividends in Equity Valuation: An Empirical Perspective*. Contemporary Accounting Research 18 (1):107-120.
Ohlson, J. A. 2009. Accounting Data and Value: The Basic Results*. Contemporary Accounting Research 26 (1):231-259.
Ou, J. A., and S. H. Penman. 1989a. Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics 11 (4):295-329.
Ou, J. A., and S. H. Penman. 1989b. Accounting Measurement, Price-Earnings Ratio, and the Information Content of Security Prices. Journal of Accounting Research 27:111-144.
Peasnell, K. V. 1982. Some formal connections between economic values and yields and accounting numbers. Journal of Business Finance & Accounting 9 (3):361-381.
Penman, S. H., and T. Sougiannis. 1998. A comparison of dividend, cash flow, and earnings approaches to equity valuation. Contemporary Accounting Research 15 (3):343.
Penman,S.H., 2004. Financial statement analysis and security valuation . McGraw-hill second edition.
Rajan, M. V., S. Reichelstein, and M. T. Soliman. 2007. Conservatism, growth, and return on investment. Review of Accounting Studies 12 (2-3):325.
Rendleman, R. J., C. P. Jones, and H. A. Latané. 1987. Further insight into the standardized unexpected earnings anomaly: size and serial correlation effects
Financial Review 22 (1):131-144.
Skinner, D., and R. Sloan. 2002. Earnings Surprises, Growth Expectations, and Stock Returns or Don`t Let an Earnings Torpedo Sink Your Portfolio. Review of Accounting Studies 7 (2):289-312.
Smith, C. W., and R. L. Watts. 1992. The investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Financial Economics 32 (3):263-292.
Vincent, L. 1997. Equity Valuation Implications of Purchase versus Pooling Accounting. Journal of Financial Statement Analysis 2:5-19
Williams,J.B.1938 The Theory of Investment Value. Fraser Publishing Company
描述 碩士
國立政治大學
會計研究所
97353053
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0973530531
資料類型 thesis
dc.contributor.advisor 鄭丁旺zh_TW
dc.contributor.author (Authors) 羅艾庭zh_TW
dc.creator (作者) 羅艾庭zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 30-Oct-2012 10:11:34 (UTC+8)-
dc.date.available 30-Oct-2012 10:11:34 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 10:11:34 (UTC+8)-
dc.identifier (Other Identifiers) G0973530531en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54166-
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) 97353053zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 財務報表在資本市場扮演何種角色是會計學者長久以來關注的焦點。Ohlson的研究將實證研究的重心從解釋股價的行為轉向至會計資訊與企業價值關聯的研究。本研究以美國市場為背景，加入分析師對盈餘預測因素，測試剩餘淨利模型實證上的有效性，並且用以檢視是否能以此模型建立超越大盤的投資組合。實證結果顯示發現分析師的盈餘預測作為其他資訊之代理變數以及分析師之長期成長預測捕捉企業未來成長潛質，有助於提升模型對股價的解釋能力。本研究認為成長機會對股價具有正向之影響，現時股價表現反映投資人對未來預期的結果。zh_TW
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究問題 3
第三節 研究架構 3
第二章 股權評價與OHLSON MODEL相關文獻探討 5
第一節 股權評價 5
第二節 OHLSON MODEL 相關文獻 10
第三節 市場效率相關研究 23
第三章 研究方法 28
第一節 OHLSON MODEL 28
第二節 研究假說 33
第三節 實證模型 37
第四節 投資策略之形成 40
第五節 樣本選取與資料來源 41
第四章 實證結果與分析 43
第一節 敍述性統計分析 43
第二節 實證結果分析 45
一、模型之解釋能力 45
二、投資績效 51
第五章 結論與建議 57
第一節 研究結論 57
第二節 研究限制 59
第三節 研究建議 59
附錄一 參考文獻 60		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0973530531en_US
dc.subject (關鍵詞) 市場效率zh_TW
dc.subject (關鍵詞) 剩餘淨利模型zh_TW
dc.subject (關鍵詞) market efficiencyen_US
dc.subject (關鍵詞) residual income modelen_US
dc.title (題名) 評價模型與投資策略--以剩餘淨利模型為中心zh_TW
dc.title (題名) Valuation model and Investment Strategy-- using residual income modelen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文文獻
藍心梅2001，會計基礎評量模式在台灣股市適用性之研究，中原大學會計研究所未出版碩士論文。
陳振遠、 張智堯、 王蘭芬與李文智，2005，應用Ohlson 會計評價模型探究公司治理之價值攸關性—以台灣上市公司電子業為例，臺大管理論叢，第十五卷第二期，123-142。
謝佩芬2004， 財務指標與非會計資訊對股價之影響－Ohlson模型之延伸 應用，中原大學國際貿易研究所未出版碩士論文。
蔡宜芬，2001，分析師預測與管理當局預測於企業評價之相對有用性研究-Ohlson模型之應用，國立政治大學會計學系未出版碩士論文。
周庭楷，2001，會計保守原則對權益評價影響之實證研究，國立成功大學會計學系碩博士班未出版碩士論文。
吳鈞麟，2003，景氣因素對會計資訊價值攸關性之影響，國立政治大學會計學系未出版碩士論文。

英文文獻
Abarbanell, J. S., and B. J. Bushee. 1997. Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research 35 (1):1-24.
Abarbanell, J. S., and B. J. Bushee. 1998. Abnormal Returns to a Fundamental Analysis Strategy. The Accounting Review 73 (1):19-45.
Ball, R., Brown,P., 1968. An empirical evaluation of accounting income numbers , Journal of Accounting Research 6; 159-177
Beaver, W. H. 1968. The Information Content of Annual Earnings Announcements. Journal of Accounting Research 6:67-92.
Beaver, W. H. 1989. Financial Reporting: An Accounting Revolution. 2d ed. Prentice_Hall
Beaver, W. H. 1999. Comments on "An empirical assessment of the residual income valuation model`. Journal of Accounting and Economics 26 (1-3):35-42.
Beaver, W. H. 2002. Perspectives on recent capital market research. The Accounting Review 77 (2):453.
Begley, J., and G. A. Feltham. 2002. The relation between market values, earnings forecasts, and reported earnings. Contemporary Accounting Research 19 (1):1.
Bernard, V. L., and J. K. Thomas. 1989. Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research 27:1-36.
Bernard, Victor L., Thomas, Jacob K. (1990/12)."Evidence that stock prices do not fully reflect the implications of current earnings for future earnings." Journal of Accounting and Economics 13(4): 305-340
Bhattacharya, N. 2001. Investors` Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation. The Accounting Review 76 (2):221-244.
Callen, J. L., and M. Morel.2001. Linear Accounting Valuation When Abnormal Earnings Are AR(2). Review of Quantitative Finance and Accounting 16: 191-203.
Callen, J. L., and D. Segal. 2005. Empirical Tests of the Feltham-Ohlson (1995) Model. Review of Accounting Studies 10 (4):409.
Campbell, J. Y. 2000. Asset pricing at the millennium. The Journal of Finance 55 (4):1515.
Cheng, Q. 2005. The Role of Analysts` Forecasts in Accounting-Based Valuation: A Critical Evaluation. Review of Accounting Studies 10 (1):5.
Collins, D. W., E. L. Maydew, and I. S. Weiss. 1997. Changes in the value-relevance of earnings and book values over the past forty years. Journal of Accounting and Economics 24 (1):39-67.
Collins, D., O. Li, and H. Xie. 2009. What drives the increased informativeness of earnings announcements over time? Review of Accounting Studies 14 (1):1-30.
Damodaran, A. 2005. Valuation Approaches and Metrics: A Survey of the Theory and Evidence. Foundations & Trends in Finance 1 (8):693-784.
Dechow, P. M. 1994. Accounting earnings and cash flows as measures of firm performance : The role of accounting accruals. Journal of Accounting and Economics 18 (1):3-42.
Dechow, P. M., R. Sloan and A. Sweeny. 1995. Detecting earnings management. The Accounting Review 70 (April): 193-226.
Dechow, P. M., and R. G. Sloan. 1997. Returns to contrarian investment strategies: Tests of naive expectations hypotheses. Journal of Financial Economics 43 (1):3-27.
Dechow, P. M., A. P. Hutton, and R. G. Sloan. 1999. An empirical assessment of the residual income valuation model. Journal of Accounting and Economics 26 (1-3):1-34.
Dechow, P. M., A. P. Hutton, and R. G. Sloan. 2000. The relation between analysts` forecasts of long-term earnings growth and stock price performance following equity offerings. Contemporary Accounting Research 17 (1):1.
Demski, J. S., and G. A. Feltham. 1994. Market response to financial reports. Journal of Accounting and Economics 17 (1-2):3-40.
Doyle, J. T., R. J. Lundholm, and M. T. Soliman. 2006. The Extreme Future Stock Returns Following I/B/E/S Earnings Surprises. Journal of Accounting Research 44 (5):849-887
Dhaliwal, D. S., D. A. Guenther, and M. A. Trombley. 2000. Inventory Accounting Method and Earnings-Price Ratios. Contemporary Accounting Research, forthcoming.
Easton, P. 2009. Discussion of "Accounting Data and Value: The Basic Results"*. Contemporary Accounting Research 26 (1):261-272.
Edwards, Edgar O., and Philip W. Bell, 1961. The Theory and Measurement of Business Income University of California Press.
Fairfield, P. M., R. J. Sweeney, and T. L. Yohn. 1996. Accounting Classification and the Predictive Content of Earnings. The Accounting Review 71 (3):337-355.
Fairfield, P. M., J. S. Whisenant, and T. L. Yohn. 2003. Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing. The Accounting Review 78 (1):353-371.
Fama, E. F. 1965. The Behavior of Stock-Market Prices. The Journal of Business 38 (1):34-105.
Fama, L. Fisher, M. Jsnsen and R. Roll. 1969. The adjustment of stock prices to new information, International Economic Review, 10, 1-21.
Feltham, G. A., and J. A. Ohlson. 1995. Valuation and clean surplus accounting for operating and financial activities. Contemporary Accounting Research 11 (2):689.
Francis, J., K. Schipper, and L. Vincent. 2002. Earnings announcements and competing information. Journal of Accounting and Economics 33 (3):313-342.
Frankel, R., and C. M. C. Lee. 1998. Accounting valuation, market expectation, and cross-sectional stock returns. Journal of Accounting & Economics 25 (3):283.
Frank, K. 2002. The effect of growth on the value relevance of accounting data. Journal of Business Research 55 (1):69.
Freeman, R. N., and S. Tse. 1989. The Multiperiod Information Content of Accounting Earnings: Confirmations and Contradictions of Previous Earnings Reports. Journal of Accounting Research 27:49-79.
Gaver, J. J., and K. M. Gaver. 1993. Additional evidence on the association between the investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Accounting and Economics 16 (1-3):125-160.
Gordon, Myron J. (1962). The Investment, Financing, and Valuation of the Corporation. Homewood, IL: R. D. Irwin
Gul, F. A. 1999. Growth opportunities, capital structure and dividend policies in Japan. Journal of Corporate Finance 5 (2):141-168.
Hayn, C. 1995. The information content of losses. Journal of Accounting and Economics 20 (2):125-153.
Jung, B., P. B. Shane, and Y. Yang. 2008. The Existence and Value-Relevance of Financial Analysts` Long-Term Growth Forecasts*. SSRN eLibrary.
Kothari, S. P. 2001. Capital markets research in accounting. Journal of Accounting and Economics 31 (1-3):105-231.
Kim, O., and R. E. Verrecchia. 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17 (1-2):41-67.
Landsman, W. R., and E. L. Maydew. 2002. Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades? Journal of Accounting Research 40 (3):797-808.
Lee, C. M. C., J. Myers, and B. Swaminathan. 1999. What Is the Intrinsic Value of the Dow? The Journal of Finance 54 (5):1693-1741.
Lee, C. M. C. 2001. Market efficiency and accounting research: a discussion of ["]capital market research in accounting` by S.P. Kothari. Journal of Accounting and Economics 31 (1-3):233-253.
Lev, B., and S. R. Thiagarajan. 1993. Fundamental Information Analysis. Journal of Accounting Research 31 (2):190-215.
Lipe, R. C. 1986. The Information Contained in the Components of Earnings. Journal of Accounting Research 24:37-64.
Liu, J., and J. A. Ohlson. 2000. The Feltham-Ohlson (1995) Model: Empirical Implications. Journal of Accounting, Auditing and Finance 15 (3):321-331.
Liu, J., and J. Thomas. 2000. Stock Returns and Accounting Earnings. Journal of Accounting Research 38 (1):71-101.
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