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系統識別號 U0026-2307201811085100
論文名稱(中文) 評估剩餘利益評價模型在臺灣股票市場的投資績效
論文名稱(英文) Investment Performance of Residual Income Valuation Model on the Taiwan Stock Market
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) 潘釗蓉
研究生(英文) Chao-Jung Pan
學號 R87051142
學位類別 碩士
語文別 中文
論文頁數 37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  投資組合 
英文關鍵字 Residual Income Valuation Model (RIVM)  Intrinsic value  Earnings Forecast  Portfolio 
學科別分類
中文摘要 本研究是採Hou et al. (2012)公司基本面盈餘預測模型及延伸加入Cheng (2005)提出的業外損益與極端ROE等因素,預測公司未來盈餘,再運用Frankel and Lee (1998)提出之剩餘利益評價模型RIVM(Residual Income Valuation Model)對臺灣上市櫃公司進行真實價值評估,並分析公司真實價值對股價比率(V/P)與股票未來報酬之關係。實證結果發現,在臺灣股票市場以剩餘利益評價模型建構投資組合之投資績效顯著優於台灣50,此結論更可推論該報酬率亦優於大盤指數。本研究另發現剩餘利益評價模型在IFRS制度下仍有其適用性。除此之外,本研究克服以往文獻資料,需運用分析師盈餘預測資料才能以剩餘利益評價模型評估公司真實價值之限制,也提供投資人投資方向的參考,希冀為投資人創造更高的獲利與報酬。
英文摘要 This study extend the earnings forecast model of Hou et al. (2012) by adding non-operating income and extreme ROE proposed by Cheng (2005) to forecast the company’s future earnings. The RIVM (Residual Income Valuation Model) proposed by Frankel and Lee (1998) is used to estimate intrinsic value of TSE-listed and OTC-listed companies of Taiwan. The empirical results show that investment performance of investment portfolio constructed with RIVM in Taiwan’s stock market is significantly better than that of 0050 ETF. It can be inferred that such return is also superior to the market index. It is also found that RIVM has its applicability under IFRS. Besides, this study overcomes the restrictions in previous literatures that the company’s intrinsic value can only be estimated with RIVM by using earnings forecast data of the analyst. The findings provide reference to investors in investment portfolio construction, hoping to create higher investment performance for investors.
論文目次 目  錄
第一章 緒論P.1
第二章 剩餘利益評價模型發展背景P.4
第三章 研究設計與實施P.7
第一節 剩餘利益評價模型P.7
第二節 研究樣本及資料來源P.14
第四章 實證結果與分析P.15
第一節 變數說明及資料處理P.15
第二節 剩餘利益評價模型(RIVM)實證結P.18
第三節 財報盈餘品質實證結果P.25
第四節 各種投資組合績效比較P.28
第五節 IFRS制度下適用性評估P.30
第五章 結論與建議P.33
第一節 研究結論P.33
第二節 研究限制與建議P.33
參考文獻P.35

參考文獻 一、 中文部分
王泰昌、劉嘉雯,2000,經濟附加價值(EVA®)的意義與價值,中華管理評論,第9卷第3期,15-31。
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,國立成功大學碩士論文,未出版,臺南市。
二、 英文部分
Cheng Q., 2005, The Role of Analysts’ Forecasts in Accounting-based Valuation: A Critical Evaluation, Review of Accounting Studies, 10, 5-31.
Chen, S. and J. Dodd, 1997, Economic Value Added (EVATM): An Empirical Examination of A New Corporate Performance Measure. Journal of Managerial Issues, 9, 318-333.
Dechow, M. P., A. P. Hutton, and R. G. Sloan, 1999, An Empirical Assessment of The Residual Income Valuation Model, Journal of Accounting and Economics, 26, 1-34.
Edwards, E. O., and P. W. Bell, 1961, The Theory of Measurement of Business Income, University of California Press.
Fama, E, F., and K. R. French, 1993, Common Risk Factors in the Returns on the Stocks and Bonds, Journal of Financial Economics, 33, 3-56.
Frankel, R. and C., Lee, 1998, Accounting Valuation, Market Expectation, and Cross-Sectional Stock Returns. Journal of Accounting and Economics, 25, 283-319.
Francis, J. P. Olsson and D. R. Oswald, 2000, Comparing the Accuracy and Explainability, of Dividend, Free Cash Flow, and Abnormal Earnings Equity Value Estimates, Journal of Accounting Research, 38, 45-70.
Giller, Christian, and S. F. LeRoy, 1991, Econometric Aspects of the Variance-bounds Tests: A Survey, Review of Financial Studies, 4, 753-791.
Hou, K., M. Dijk, and Y., Zhang, 2012, The Implied Cost of Capital: A New Approach. Journal of Accounting and Economics, 53, 504-526.
Lee, B. S., 1998, Permanent, Temporary, and Non-Fundamental Components of Stock Prices, Journal of Financial and Quantitative Analysis, 33.1-32.
Lee, M. C. C., J. Myers, and B. Swaminathan, 1999, What Is the Intrinsic Value of the Dow? Journal of Finance, 54, 1693-1741.
LeRoy, S., and R. Porter, 1981, The Present Value Relation: Tests Based on Implied Variance Bounds, Econometrica, 49, 3, 555-574.
Lin, H. and M., McNichols, 1998, Underwriting Relationships, Analysts’ Earnings Forecasts and Investment Recommendations. Journal of Accounting and Economics, 25, 101-127.
Ohlson, A. J., 1995, Earnings, Book Values, and Dividends, in Equity Valuation, Contemporary Accounting Research, 11, 661-687.
Penman, S. H., and T. Sougiannis, 1998, A Comparison of Dividend, Cash Flow, and Earnings Approaches to Equity Valuation, Contemporary Accounting Research, 15, 343-383.
Richardson, S., I. Tuna, and P. Wysocki, 2010, Accounting Anomalies and Fundamental Analysis:A Review of Recent Research Advances. Journal of Accounting and Economics, 50,410-454.
Shiller, J. R., 1981, Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? American Economic Review, 71, 421-436.
Sloan, R., 1996. Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? The Accounting Review, 71, 289-315.
West, D., K., 1998, 2000, Dividend Innovations and Stock Price volatility, Econometrica, 56, 37-61.
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