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系統識別號 U0026-2107201800035400
論文名稱(中文) 剩餘利益評價模型於台股橫斷面股票報酬適用性延伸研究
論文名稱(英文) Forecasting Cross-sectional Stock Returns with Residual Income Valuation Model: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) 林佩儒
研究生(英文) Pei-Ju Lin
學號 R87051029
學位類別 碩士
語文別 中文
論文頁數 34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  基本價值  經濟租  IFRS 
英文關鍵字 Residual Income Valuation Model  Fundamental Value  Economic Rent  IFRS 
學科別分類
中文摘要 本文旨在研究以Hou et al.(2012)的盈餘預測模型為基礎,延伸加入經濟租代理變數估計公司未來一至三年的預測盈餘,並運用Frankel and Lee(1998)提出的剩餘利益評價模型(Residual Income Valuation Model,RIVM)估計國內上、市櫃公司的基本價值,選擇基本價值與股價之比率(V/P)較高者建立投資組合,檢驗買入並持有一定期間可否獲得優於元大台灣50同期之投資報酬率,及財報之盈餘品質對運用RIVM建構投資組合績效之效益,並額外測試在IFRS下,以高V/P者建構之投資組合是否仍有較佳之投資報酬率。本文以盈餘預測模型為基礎,避免採用分析師預測盈餘評價台灣股票所產生的問題,證實考量財報之盈餘品質有助於提升組合績效,同時,本文發現RIVM在IFRS下仍適用於台灣股票之評價。
英文摘要 Extending the earnings forecast model of Hou et al. (2012) by adding the proxies of economic rent added, this paper forecasted earnings of the company in future 1 to 3 years. We used Residual Income Valuation Model (RIVM) proposed by Frankel and Lee (1998) to estimate the fundamental value of the listed and OTC companies of Taiwan and selected those with higher value-to-price ratio (V/P) to establish portfolio. We inspect whether the return on investment of the portfolio buy-and-hold for a certain period of time is higher than that of 0050 of the same period and inspect the benefits of earnings quality of financial reports for the construction of investment portfolio performance with the use of RIVM. Besides, whether the portfolio constructed with high V/P still has better return on investment is tested additionally under IFRS. With the earnings forecast model as the basis, this paper avoided adopting forecasted earnings of analyst to evaluate problems produced by stocks of Taiwan, verifying that considering earnings quality of financial statements helps to improve portfolio performance; meanwhile, this paper finds that RIVM is still applicable to evaluation on stocks of Taiwan under IFRS.
論文目次 第一章 緒論 1
第二章 文獻探討 4
第一節 剩餘利益評價模型文獻回顧 4
第二節 RIVM在台灣的使用限制與因應 5
第三章 研究模型設計與延伸 8
第一節 模型建立 8
第二節 模型延伸與估計程序 11
第三節 研究樣本 14
第四章 實證結果與分析 16
第一節 RIVM實證結果 16
第二節 財報盈餘品質效益 23
第三節 額外測試 26
第五章 結論與建議 30
第一節 研究結論 30
第二節 研究限制與建議 30
參考文獻 32
表 目 錄
表1 橫斷面盈餘迴歸 17
表2 分年度敘述性統計量 19
表3 V/P分組及持有期間之敘述性統計量暨差異檢定 20
表4 RIVM最低與最高V/P投資組合分年度及持有期間績效 21
表5 RIVM最高V/P投資組合與元大台灣50分年度及持有期間績效 22
表6 最高V/P投資組合考量財報盈餘品質之效益分析 24
表7 IFRS下RIVM最高及最低VIFRS/P投資組合與元大台灣50績效 28
參考文獻 一、中文部分
石國芬(2017)Frankel and Lee (1998)股票剩餘利益理論在台灣市場適用性評估,成功大學財務金融研究所在職專班碩士論文。
沈寧衛(2002)產業股價與報酬之研究-會計基礎評價模式之應用,中山大學財務管理學系在職專班碩士論文。
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二期,頁55-64。
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