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系統識別號 U0026-0812200914154610
論文名稱(中文) 盈餘、現金流量與事後之權益真實價值
論文名稱(英文) Earnings, Cash Flows, and Ex Post Intrinsic Value of Equity
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 96
學期 2
出版年 97
研究生(中文) 陳竹盈
研究生(英文) Chu-ying Chen
學號 r1695116
學位類別 碩士
語文別 中文
論文頁數 81頁
口試委員 口試委員-陳耀宗
口試委員-張福星
指導教授-王萬成
中文關鍵字 盈餘(EARN)  真實價值(intrinsic value )  權益之市場價值 (MKTV)  營業現金流量(OCF) 
英文關鍵字 operating cash flows (OCF)  earnings (EARN)  Market value of equity (MKTV)  intrinsic value (IV) 
學科別分類
中文摘要 本研究主要的目的在重新檢視盈餘(EARN)和營業現金流量(OCF)在權益評價上的相對重要性。在過去,學者大多使用股票報酬(Dechow 1994)或未來營業現金流量(Barth et al. 2001)作為預測的準則變數,而本研究所使用的是事後之權益真實價值(intrinsic value)作為預測之準則。事後之權益真實價值的決定為未來三年每年之現金股利折現值加上未來第三年期末的市價折現值,使用事後之權益真實價值作為衡量之準則比使用股票報酬有較佳的優勢,原因為前者不受股票市場釘住報導盈餘的影響 (Sloan 1996)。另外,使用事後之權益真實價值作為衡量之準則也比使用未來營業現金流量具優勢,原因為事後之權益真實價值較能反應投資者未來現金流量的金額大小、時間及不確定性(SFAC No.1, FASB 1978)。
本研究係以Subramanyam and Venkatachalam (2007) 之研究方法為架構,並以我國1993年~2002年之上市公司為樣本,共計107家公司,1,070筆公司/年度觀察值為研究對象,運用普通最小平方法之迴歸分析、迴歸係數檢定及Vuong’s Z-statistic檢定以檢測盈餘和營業現金流量在解釋事後之權益真實價值的相對能力。
本研究結果證明盈餘在解釋事後真實價值的能力上優於營業現金流量,這個證據支持FASB應計基礎的盈餘在提供關於使用者未來現金流量資訊方面優於現金流量的聲明(SFAC No.1,FASB 1978, para.44)以及我國財務會計準則公報第一號第45段: 盈餘通常作為經營績效之衡量指標或作為其他衡量(如投資報酬率或每股盈餘)之基礎。
英文摘要 The purpose of this research is mainly to reinspect the relative importance of earnings (EARN) and operating cash flows (OCF) in equity valuation. In the past, the researcher mostly use stock returns (Dechow 1994) or future operating cash flows (Barth et al.2001) as a dependent variable, but we use ex post intrinsic value of equity as the criterion for comparison. We determine ex post intrinsic value of equity by discounting future dividends over a three-year horizon and market price at the end of the horizon. The advantage of the ex post intrinsic value measure over stock returns is that it is not contaminated by the stock market’s fixation on reported earnings (Sloan 1996). Moreover, using ex post intrinsic value of equity as the criterion is superior than using operating cash flows, because the former better reflects the magnitude, timing , and uncertainty of investors’ future cash flows (SFAC No.1, FASB 1978).
The study takes Subramanyam and Venkatachalam(2007)’s research as a construction, and selects listed company as the sample for the period 1993-2002 , amounts to 1,070 firm-years observation representing 107 distinct firms. We use regression analysis of ordinary least squares method, the regression coefficient test , and Vuong’s Z-statistic to examine the relative explanatory power of earnings and operating cash flows for ex post intrinsic value of equity.
This findings prove that earnings surpasses operating cash flows in explaining ex post intrinsic value , the evidence supports FASB’s assertion that accrual based earnings is superior to cash flows in providing information about users’ future cash flows (SFAC No.1, FASB 1978, para.44) and the Taiwanese Statement of Financial Accounting Standards (SFAS) NO.1 statement that earnings is usually as the operating performance index or as the foundation of others measurements (eg. investment return rate or earnings per share) .
論文目次 目 錄
中英文摘要Ⅰ
謝誌Ⅳ
目錄Ⅴ
表次Ⅶ
圖次Ⅷ
第壹章 緒論
第一節 研究背景與動機1
第二節 研究目的與貢獻4
第三節 研究方法5
第四節 論文架構6
第貳章 文獻探討
第一節 財務預測相關文獻8
第二節 盈餘之資訊內涵13
第三節 預測未來現金流量之文獻21
第參章 研究方法
第一節 概念性架構及研究設計41
第二節 變數之定義與衡量42
第三節 抽樣限制及樣本特性48
第四節 資料分析方法50
第肆章 實證研究結果
第一節 敘述性統計54
第二節 初步分析56
第三節 事後真實價值分析60
第四節 額外分析63
第伍章 結論、研究限制與建議
第一節 研究結論71
第二節 研究限制74
第三節 對後續研究之建議75
參考文獻76
表 次
表2-1 財務預測相關文獻整理─國外文獻29
表2-2 財務預測相關文獻整理─國內文獻30
表2-3 盈餘之資訊內涵相關文獻整理─國外文獻32
表2-4 盈餘之資訊內涵相關文獻整理─國內文獻33
表2-5 預測未來現金流量之文獻整理-國外文獻37
表2-6 預測未來現金流量之文獻整理-國內文獻39
表3-1 樣本公司彙總表49
表4-1 樣本敘述性統計值及變數間相關係數之檢定55
表4-2 盈餘、營業現金流量對同期權益市價、未來營業現金流量及未來盈餘的相對解釋能力比較59
表4-3 盈餘、營業現金流量對事後真實價值的相對解釋能力比較62
表4-4 盈餘、營業現金流量對真實價值之解釋能力─依評價誤差高低分群組衡量65
表4-5 盈餘、營業現金流量對市價及真實價值之解釋能力差異─將樣本公司劃分為應計項目極端組及應計項目中間組70
圖 次
圖1-1本論文之架構7
圖3-1本研究問題之概念性架構41
參考文獻 參考文獻
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