進階搜尋


   電子論文尚未授權公開,紙本請查館藏目錄
(※如查詢不到或館藏狀況顯示「閉架不公開」,表示該本論文不在書庫,無法取用。)
系統識別號 U0026-1907201823064700
論文名稱(中文) 應用剩餘利益評價模型預測橫斷面股價報酬―以臺灣股票市場為例
論文名稱(英文) Applying Residual Income Valuation Model to Predict Cross-sectional Stock Returns:Evidence from Taiwan
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 106
學期 2
出版年 107
研究生(中文) 葉筱丹
研究生(英文) Hsiao-Tan Yeh
學號 R87051231
學位類別 碩士
語文別 中文
論文頁數 41頁
口試委員 指導教授-周庭楷
口試委員-顏盟峯
口試委員-梁少懷
中文關鍵字 剩餘利益評價模型  真實價值  盈餘預測  盈餘品質 
英文關鍵字 Residual Income Valuation Model  intrinsic value  earnings forecasts  earnings quality 
學科別分類
中文摘要 本研究以臺灣股票市場為背景,延伸Hou et al.(2012)盈餘預測模型,加入會影響企業績效的會計資訊變數,搭配Frankel and Lee(1998)之剩餘利益評價模型(Residual Income Valuation Model)以決定企業的真實價值(Vf),檢測真實價值對股價之比率(Vf/P)對未來股票報酬的預測能力。實證結果發現買入Vf/P最高的投資組合,持有一至三年期的股價報酬率皆顯著優於元大台灣卓越50證券投資信託基金(簡稱台灣50)同期的報酬率;當進一步將盈餘品質納入建構投資組合考量,以Vf/P最高且應計項目估計誤差最低(即盈餘品質最高)組建構投資組合,結果發現買入該投資組合並長期持有,有助於獲取更高的超額報酬。本研究證實剩餘利益評價模型對股價報酬有解釋能力,可適用於我國證券市場建構投資組合。
英文摘要 As for the Taiwan stock market, this study expands the earnings forecast model of Hou et al. (2012) and combines it to the Risidual Income Valuation Model (RIVM) by Frankel and Lee(1998), to estimate the intrinsic value (Vf) of the company and assess the predictive ability with the intrinsic value-to-stock price ratio (Vf/P) on future stock returns. According to the empirical results, the return of the portfolios for the highest Vf/P bought and held for 1 to 3 years is all superior to the return of 0050 Tracker Fund in the same period. When the portfolio is established with the highest Vf/P and the highest earnings quality which is further taken into consideration for the construction of portfolio. The results suggest that buying the portfolio and holding for a long time can good at obtaining higher excess returns. This study confirmed that RIVM has interpretive ability for the returns of stocks, which can be applied to the construction of portfolio in Taiwan securities market.
論文目次 第一章 緒論P1
第二章 文獻探討P4
第三章 研究設計與方法P8
第一節 建構剩餘利益評價模型P8
第二節 盈餘預測模型及延伸討論P11
第三節 模型實作說明P14
第四節 資料來源與樣本選取P17
第四章 實證結果與分析P18
第一節 盈餘預測模型敘述統計分析P18
第二節 剩餘利益評價模型(RIVM)實證結果P22
第三節 考慮財報盈餘品質之實證結果P27
第四節 採行IFRS制度後之測試P31
第五章 結論與建議P36
第一節 研究結論P36
第二節 研究限制與建議P37
參考文獻 P38
參考文獻 一、中文部分
姜家訓、楊雅雯,2005,會計師事務所之產業專精及查核年資與盈餘品質之關係,當代會計第6卷第1期,23-60。
郭貞吟,2010,剩餘所得適用於股票評價嗎?―台股的實證研究,全球商業經營管理學報第2期,55-64。
二、英文部分
Ball, R. and Brown, P. 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research 6: 159-177.
Beaver, W. H. 1989. Financial Reporting: An Accounting Revolution. 2nd ed. Prentice-Hall
Brown, L. D., Griffiin, P. A., Hagerman, R. L. and Zmijewski, M. E. 1987. Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings. Journal of Accounting and Economics 9: 61-87.
Cheng, Q. 2005. The role of analysts’ forecasts in accounting-based valuation: A critical evaluation. Review of Accounting Studies.10: 5-31.
Dechow, P. M., Hutton, A. P. and Sloan, R. G. 2000. The relation between analysts’ long-term earnings forecasts and stock price performance following equity offerings. Contemporary Accounting Research 17: 1-32.
Dechow, P. M. and Dichev I. D. 2002. The quality of accruals and earnings:the role of accrual estimation errors. The Accounting Review 77: 35-59.
Diether, I., Malloy, C. and Scherbina, A. 2002. Differences of opinion and the cross section of stock returns. Journal of Finance 57: 2113-2141.
Dugar, A. and Nathan, S. 1995. The effect of investment banking relationships on financial analysts’ earnings forecasts and investment recommendations. Contemporary Accounting Research 12: 131-160.
Easton, P. 2007. Estimating the cost of capital implied by market prices and accounting data. Foundations and Trendsin Accounting 2: 241-364.
Easton, P. and Sommers, G. 2007. Effect of analysts’ optimism on estimates of the expected rate of return implied by earnings forecasts. Journal of Accounting research 45: 983-1015.
Edwards, E. and Bell, P. 1961. The theory and measurement of business income. University of California Press, Berkeley, CA.
Fairfield, P. 1994. P/E, P/B and the present value of future dividends. Financial Analysts Journal 50: 23-31.
Fama, E. and French, K. 2000. Forecasting profitability and earnings. Journal of Business 73: 161-175.
Fama, E. and French, K. 2006. Profitability, investment and average returns. Journal of Financial Economics 82: 491-518.
Feltham, G. A. and Ohlson, J. A. 1995. Valuation and clean surplus accounting for operating and financial activites. Contemporary Accounting Research 11: 689.
Francis, J. , Olsson, P. and Oswals, R. 2000. Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates. Journal of Accounting Research 38: 45-70.
Francis, J. and Philbrick, D. 1993. Analysts’ decisions as products of a multi-task environment. Journal of Accounting Research 31: 216-230.
Frankel, R. and Lee. C. M. C. 1998. Accounting valuation, market expectation, and cross-sectional stock returns. Journal of Accounting and Economics 25: 283-319.
Hong, H. , Lim, T. and Stein, J. 2000. Bad news travels slowly:size, analyst coverage, and the profitability of momentum strategies. Journal of Finance 55: 265-295.
Hou, K., Dijk, M., and Zhang,Y. 2012. The implied cost of capital: A new approach. Journal of Accounting and Economics 53: 504-526.
Hou, K., van Dijk,and M. 2011. Profitability Shocks and the Size Effect in the Cross-section of Expected Stock Returns. Working Paper. Ohio State University.
Hou, K. and Robinson, D. 2006. Industry concentration and average stock returns. Journal of Finance 61: 1927-1956.
La Porta, R. 1996. Expectations and the cross-section of stock returns. Journal of Finance 51: 1715-1742.
Lee, C. M. C. , Myers, J. and Swaminathan, B. 1999. What is the intrinsic value of the Dow? Journal of Finance 54: 1693-1741.
Lin, H. and McNichols, M. 1998. Underwriting relationships, analysts’ earnings forecasts and investment recommendations. Journal of Accounting and Economics 25: 101-127.
McNichols, M. and O’Brien, P. 1997. Self-selection and analyst coverage. Journal of Accounting Research 35: 167-199.
Ohlson, J. A. 1995. Earnings, Book value, and dividends in equity valuation. Contemporary Accounting Research 11: 661-687.
O’Brien, P. C. 1988. Analysis’ forecasts as earnings expectations. Journal of Accounting and Economics 10: 53-83.
Peasnell, K. V. 1982. Some formal connections between economic values and yield and accounting numbers. Journal of Business Finance and Accounting 9: 361-381.
Penman, S. H. and Sougiannas, T. 1998. A comparison of dividend, cash flow, and earnings approaches to equity valuation. Working paper, University of California at Berkeley.
論文全文使用權限
  • 同意授權校內瀏覽/列印電子全文服務,於2023-05-20起公開。
  • 同意授權校外瀏覽/列印電子全文服務,於2028-05-20起公開。


  • 如您有疑問,請聯絡圖書館
    聯絡電話:(06)2757575#65773
    聯絡E-mail:etds@email.ncku.edu.tw