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題名 權益資金成本之估計-橫斷面資料的應用
The estimation of cost of equity capital: Cross-sectional data application作者 陳玉慧
Chen, Yu Huei貢獻者 郭炳伸<br>林信助
陳玉慧
Chen, Yu Huei關鍵詞 權益資金成本
分析師盈餘預測
橫斷面
剩餘所得模型
隱含資本成本
Cost of Equity Capital
Analysts` Earnings Forecast
Cross-sectional
Residual Income Valuation
Implied Cost of Capital日期 2012 上傳時間 2-Sep-2013 15:18:33 (UTC+8) 摘要 本文分別將橫斷面(Cross-sectional)資料求得的ROE與分析師盈餘預測資料，代入剩餘所得模型(Residual Income Valuation, RIV)中求出隱含資本成本(Implied Cost of Capital, ICC)，並分別據以估計權益資金成本，檢視何者估計的較好。我們發現以橫斷面資料求算的盈餘與實際盈餘較為接近且小幅低估；分析師的盈餘預測資料與實際的盈餘差距較大且大幅高估。透過零成本投資組合的模擬，發現橫斷面資料估計的權益資金成本報酬較高。因此橫斷面資料估計的權益資金成本作為公司管理者與投資者在決策時的參考依據應較可信賴。
Based on Residual Income Valuation (RIV), in this paper, we employ two different kinds of data, ROE generated by cross-sectional data and analysts’ earnings forecasts data, to calculate the Implied Cost of Capital (ICC), which is used for estimating the cost of equity capital. Earnings generated by cross-sectional data are smaller and closer to actual earnings; however, analysts’ earnings forecasts data are much higher than actual earnings. In addition, zero-cost testing portfolios formed by ICC estimated by cross-sectional data produce better profits, and hence should be a more reliable reference of cost of equity capital for both managers and investors while making decisions.參考文獻 中文部分[1] 丁緯(2004)，「盈餘預測偏誤類型之探討：併論盈餘水準及管理當局預測對分析師預測偏誤之影響」，淡江大學會計研究所碩士論文。[2] 李沛原(2006)，「券商分析師樂觀盈餘預測與利益衝突」，逢甲大學財務金融研究所碩士論文。[3] 涂展源(2005)，「智慧資本資金成本之初探」，國立政治大學會計研究所碩士論文。[4] 張怡婷(2012)，「台灣股市投資組合績效之比較」，成功大學財務金融研究所碩士論文。[5] 蔡珮穎(2007)，「Ohlson-Juettner模型在台灣適用性之研究」，國立政治大學會計研究所碩士論文。[6] 賴紀誠(2010)，「券商分析師利益衝突及其調節機制」，國立中正大學企業管理研究所碩士論文。英文部分[1] Claus, J., and Thomas, J.(2001), “Equity premia as low as three percent? Evidence from analysts’ earnings forecasts for domestic and international stock markets”, Journal of Finance, 56, 1629-1666.[2] Easton, P.(2004), “PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital”, The Accounting Review, 79, 73-95.[3] Easton, Peter D. and Gregory A. Sommers(2007), “Effect of analysts’ optimism on estimates of the expected rate of return implied by earnings forecasts”, Journal of Accounting Research 45, 983-1015.[4] Fama E., and French, K.(1993), “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, 33, 3.[5] Fama E., and French, K.(1997), “Industry cost of equity”, Journal of Financial Economics, 43, 153-193.[6] Fama E., and French, K.(2000), “Forecasting profitability and earnings”, Journal of Business, 73, 161-175.[7] Fama E., and French, K.(2006), “Profitability, investment and average returns”, Journal of Financial Economics, 82, 491-518.[8] Francis, J., Olsson, P., and Oswald, D.(2000), “Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates”, Journal of Accounting Research, 38, 45-70.[9] Gebhardt, W., Lee, C.M., and Swaminathan, B.(2001), “Toward an implied cost of capital”, Journal of Accounting Research, 39, 135-176.[10] Gordon, J., and Gordon, M.(1997), “The finite horizon expected return model”, Financial Analysts Journal, May/June, 52-61.[11] Guay, W., Kothari, S., and Shu, S.(2011), “Properties of implied cost of capital using analysts’ forecasts”, Australian Journal of Management, 36, 125-149.[12] Hou, K., van Dijk, M., and Zhang, Y.(2011), “The implied cost of capital: A new approach, forthcoming”, Journal of Accounting and Economics, 53, 504-526.[13] O’Brien, P.(1988), “Analysts’ forecasts as earnings expectations”, Journal of Accounting and Economics, 10, 53-83.[14] Ohlson, J.A.(1995), “Earnings, Book Values, and Dividends in Equity Valuation”, Contemporary Accounting Research, 11(2), 661-687.[15] Ohlson, J., and Juettner-Nauroth, B.(2005), “Expected EPS and EPS growth as determinants of value”, Review of Accounting Studies, 10, 349-365.[16] Palazzo, B.(2012), “Cash Holdings, Risk, and Expected Returns”, Journal of Financial Economics, 104, 162-185.[17] Sharpe, W.(1978), “New evidence on the capital asset pricing model: discussion”, Journal of Finance, 33, 917-920.[18] Wooldridge J.M.(2006), “Introductory econometrics: A modern approach”, third edition, South-Western pub., 448-484.[19] Wu, J., and Zhang, L.(2011), “Do Anomalies Exist Ex Ante?”, Working paper: University of Georgia and Ohio State. 描述 碩士
國立政治大學
國際經營與貿易研究所
99351034
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0993510341 資料類型 thesis dc.contributor.advisor 郭炳伸<br>林信助 zh_TW dc.contributor.author (Authors) 陳玉慧 zh_TW dc.contributor.author (Authors) Chen, Yu Huei en_US dc.creator (作者) 陳玉慧 zh_TW dc.creator (作者) Chen, Yu Huei en_US dc.date (日期) 2012 en_US dc.date.accessioned 2-Sep-2013 15:18:33 (UTC+8) - dc.date.available 2-Sep-2013 15:18:33 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2013 15:18:33 (UTC+8) - dc.identifier (Other Identifiers) G0993510341 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/59238 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 99351034 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本文分別將橫斷面(Cross-sectional)資料求得的ROE與分析師盈餘預測資料，代入剩餘所得模型(Residual Income Valuation, RIV)中求出隱含資本成本(Implied Cost of Capital, ICC)，並分別據以估計權益資金成本，檢視何者估計的較好。我們發現以橫斷面資料求算的盈餘與實際盈餘較為接近且小幅低估；分析師的盈餘預測資料與實際的盈餘差距較大且大幅高估。透過零成本投資組合的模擬，發現橫斷面資料估計的權益資金成本報酬較高。因此橫斷面資料估計的權益資金成本作為公司管理者與投資者在決策時的參考依據應較可信賴。 zh_TW dc.description.abstract (摘要) Based on Residual Income Valuation (RIV), in this paper, we employ two different kinds of data, ROE generated by cross-sectional data and analysts’ earnings forecasts data, to calculate the Implied Cost of Capital (ICC), which is used for estimating the cost of equity capital. Earnings generated by cross-sectional data are smaller and closer to actual earnings; however, analysts’ earnings forecasts data are much higher than actual earnings. In addition, zero-cost testing portfolios formed by ICC estimated by cross-sectional data produce better profits, and hence should be a more reliable reference of cost of equity capital for both managers and investors while making decisions. en_US dc.description.tableofcontents 謝辭.................i摘要.................ii英文摘要.............iii目錄.................iv圖目錄................v表目錄................v第壹章 緒論............1第貳章 文獻回顧.........4第參章 研究設計.........8 一、資料說明..........8 二、變數定義..........9 三、研究方法.........10第肆章 實證結果與分析....18第伍章 結論與建議.......29參考文獻...............31 zh_TW dc.format.extent 496388 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0993510341 en_US dc.subject (關鍵詞) 權益資金成本 zh_TW dc.subject (關鍵詞) 分析師盈餘預測 zh_TW dc.subject (關鍵詞) 橫斷面 zh_TW dc.subject (關鍵詞) 剩餘所得模型 zh_TW dc.subject (關鍵詞) 隱含資本成本 zh_TW dc.subject (關鍵詞) Cost of Equity Capital en_US dc.subject (關鍵詞) Analysts` Earnings Forecast en_US dc.subject (關鍵詞) Cross-sectional en_US dc.subject (關鍵詞) Residual Income Valuation en_US dc.subject (關鍵詞) Implied Cost of Capital en_US dc.title (題名) 權益資金成本之估計-橫斷面資料的應用 zh_TW dc.title (題名) The estimation of cost of equity capital: Cross-sectional data application en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 中文部分[1] 丁緯(2004)，「盈餘預測偏誤類型之探討：併論盈餘水準及管理當局預測對分析師預測偏誤之影響」，淡江大學會計研究所碩士論文。[2] 李沛原(2006)，「券商分析師樂觀盈餘預測與利益衝突」，逢甲大學財務金融研究所碩士論文。[3] 涂展源(2005)，「智慧資本資金成本之初探」，國立政治大學會計研究所碩士論文。[4] 張怡婷(2012)，「台灣股市投資組合績效之比較」，成功大學財務金融研究所碩士論文。[5] 蔡珮穎(2007)，「Ohlson-Juettner模型在台灣適用性之研究」，國立政治大學會計研究所碩士論文。[6] 賴紀誠(2010)，「券商分析師利益衝突及其調節機制」，國立中正大學企業管理研究所碩士論文。英文部分[1] Claus, J., and Thomas, J.(2001), “Equity premia as low as three percent? Evidence from analysts’ earnings forecasts for domestic and international stock markets”, Journal of Finance, 56, 1629-1666.[2] Easton, P.(2004), “PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital”, The Accounting Review, 79, 73-95.[3] Easton, Peter D. and Gregory A. Sommers(2007), “Effect of analysts’ optimism on estimates of the expected rate of return implied by earnings forecasts”, Journal of Accounting Research 45, 983-1015.[4] Fama E., and French, K.(1993), “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, 33, 3.[5] Fama E., and French, K.(1997), “Industry cost of equity”, Journal of Financial Economics, 43, 153-193.[6] Fama E., and French, K.(2000), “Forecasting profitability and earnings”, Journal of Business, 73, 161-175.[7] Fama E., and French, K.(2006), “Profitability, investment and average returns”, Journal of Financial Economics, 82, 491-518.[8] Francis, J., Olsson, P., and Oswald, D.(2000), “Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates”, Journal of Accounting Research, 38, 45-70.[9] Gebhardt, W., Lee, C.M., and Swaminathan, B.(2001), “Toward an implied cost of capital”, Journal of Accounting Research, 39, 135-176.[10] Gordon, J., and Gordon, M.(1997), “The finite horizon expected return model”, Financial Analysts Journal, May/June, 52-61.[11] Guay, W., Kothari, S., and Shu, S.(2011), “Properties of implied cost of capital using analysts’ forecasts”, Australian Journal of Management, 36, 125-149.[12] Hou, K., van Dijk, M., and Zhang, Y.(2011), “The implied cost of capital: A new approach, forthcoming”, Journal of Accounting and Economics, 53, 504-526.[13] O’Brien, P.(1988), “Analysts’ forecasts as earnings expectations”, Journal of Accounting and Economics, 10, 53-83.[14] Ohlson, J.A.(1995), “Earnings, Book Values, and Dividends in Equity Valuation”, Contemporary Accounting Research, 11(2), 661-687.[15] Ohlson, J., and Juettner-Nauroth, B.(2005), “Expected EPS and EPS growth as determinants of value”, Review of Accounting Studies, 10, 349-365.[16] Palazzo, B.(2012), “Cash Holdings, Risk, and Expected Returns”, Journal of Financial Economics, 104, 162-185.[17] Sharpe, W.(1978), “New evidence on the capital asset pricing model: discussion”, Journal of Finance, 33, 917-920.[18] Wooldridge J.M.(2006), “Introductory econometrics: A modern approach”, third edition, South-Western pub., 448-484.[19] Wu, J., and Zhang, L.(2011), “Do Anomalies Exist Ex Ante?”, Working paper: University of Georgia and Ohio State. zh_TW
