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系統識別號 U0026-0812200911511768
論文名稱(中文) 盈餘屬性與資金成本關係之研究
論文名稱(英文) Earnings Attributes and Cost of Capital
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 94
學期 2
出版年 95
研究生(中文) 羅怡君
研究生(英文) Yi-Chun Luo
學號 r1693118
學位類別 碩士
語文別 中文
論文頁數 94頁
口試委員 口試委員-陳耀宗
口試委員-王萬成
指導教授-林松宏
中文關鍵字 資金成本  盈餘屬性  盈餘品質 
英文關鍵字 cost of capital  earnings attributes  earnings quality 
學科別分類
中文摘要 近年來,由於會計舞弊案件層出不窮,財務報導之可靠性開始備受質疑,除了盈餘與帳面價值等財務資訊以外,隱藏於財務報表內之「盈餘品質」資訊之高低亦為投資人所關心,究竟如何衡量公司所揭露財務報表盈餘數字之品質以作正確之投資與授信決策是目前的一大課題。

本文參照Francis et al. (2004、2005)等人之研究方法與架構,進行台灣市場之研究,探討Francis et al. (2004、2005)於美國資本市場所發現盈餘品質之盈餘屬性與資金成本關聯性是否亦存在於台灣資本市場。Francis et al. (2004、2005)將盈餘屬性分為會計基礎與市場基礎,而資金成本亦包涵權益資金成本與債務資金成本。

Francis et al. (2004、2005)以大樣本探討企業之盈餘品質之七種盈餘屬性與資金成本間之關係。由於先前文獻皆只著眼於單一盈餘屬性之研究,未將各個盈餘屬性加以綜合比較。因此,本文參照Francis et al. (2004、2005)之作法,將七種盈餘屬性同時進行衡量,並藉由資金成本來比較何種盈餘屬性較能反映盈餘品質,以降低投資者之資訊風險。

以台灣地區上市公司資料發現,盈餘品質與企業向外界募集資金時之資金成本間存在特定之關聯,盈餘品質較好之企業或年度,投資人所要求之報酬率愈低,可以較低之資金成本取得外部融資,反之,則必須承擔較高之資金成本。此關聯符合本文對理性投資人行為之預期。而Francis et al.,將造成此資金成本差異之原因歸咎於盈餘品質不佳而產生之無法分散的風險。

本文之實證結果呈現出盈餘品質之七種盈餘屬性與資金成本間之關聯,顯示資本市場確曾將本文之盈餘品質指標所代表之盈餘屬性納入投資決策之考量中,但並不代表市場已對這些指標所代表之「盈餘品質」合理評價,而主要在於發現盈餘品質指標之盈餘屬性在資本市場中產生對資金成本影響之效果。



英文摘要 Earnings is one of the most important financial information. While the information content and value-relevance of accounting earnings are widely recognized, this paper wants to explore whether investors put as much emphasis on “quality” of earnings as they put on the amount of earnings.

This paper refers to the method mentioned in Francis et al.(2004、2005) to carry out a research in Taiwan capital market. We examine the relation between the cost of capital and seven attributes of earning.

We characterize cost of capital as cost of equity and cost of debt. However, we characterize accrual quality, persistence, predictability, smoothness as accounting -based because they are typically measured using accounting information only.And we characterize value relevance, timeliness, and conservatism as market-based because proxies for these constructs are typically based on relations between market data and accounting data.

Besides, prior research which gererally considered earnings attributes one at a time.Our foucs is that consider all seven earnings attributes jointly and control for risk factors and innate determinants (firm size, cash flow and sales volatility, incidence of loss, operating cycle, intangibles use/intensity, and capital intensity).

Based on theoretical models predicting a positive association between information quality and cost of capital, we test for and find that the higher costs of capital born by firms with the least favorable values of each attribute reflect the higher information risk facing their shareholders and debtors. The relation between earnings attributes and costs of capital suggests that the market does take the information of earnings attributes revealed by the financial statements into consideration.


論文目次 第一章 緒論…………………………………………………………1
第一節 研究動機與目的……………………………………………………1
第二節 論文貢獻……………………………………………………………3
第三節 研究流程與論文架構………………………………………………4

第二章 文獻探討……………………………………………………6
第一節 資金成本與公司特有資訊…………………………………………6
第二節 盈餘品質及相關屬性………………………………………………9

第三章 研究方法……………………………………………………19
第一節 研究假設……………………………………………………………19
第二節 研究設計及變數定義………………………………………………21
第三節 資料來源及樣本選取………………………………………………35

第四章 實證結果與分析……………………………………………37
第一節 敘述統計及相關分析………………………………………………37
第二節 權益資金成本與盈餘屬性關係之實證結果………………………44
第三節 債務資金成本與盈餘屬性關係之實證結果………………………58
第四節 敏感度分析之實證結果……………………………………………72

第五章 結論與建議…………………………………………………82
第一節 研究結果……………………………………………………………82
第二節 研究建議……………………………………………………………86

參考文獻…………………………………………………………… 87
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