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系統識別號 U0026-2606201316405300
論文名稱(中文) 盈餘管理及股票報酬:分量迴歸分析
論文名稱(英文) Earnings management and stock returns: A quantile regression approach
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 101
學期 2
出版年 102
研究生(中文) 林欣潔
研究生(英文) Hsin-Chieh Lin
學號 R86001160
學位類別 碩士
語文別 英文
論文頁數 51頁
口試委員 指導教授-黎明淵
口試委員-王澤世
口試委員-林囿成
中文關鍵字 盈餘管理  裁決性應計數  Jones model  modified Jones model  股票報酬  分量迴歸分析 
英文關鍵字 Earnings management  discretionary accruals  Jones model  modified Jones model  stock return  quantile regression 
學科別分類
中文摘要 本研究主要利用分量迴歸方法,測試盈餘管理對股票報酬之影響,並且探討此影響在不同股票報酬的公司間是否有所差異。不同於一般最小平方迴歸僅能求得中央趨勢的估計值,分量迴歸可以針對不同的股票報酬分佈,求出不同之盈餘管理迴歸係數。本研究之樣本包含1992到2009年間,2,290家非財務機構之公司,樣本數共20,350筆年資料。實證結果顯示股票報酬較高的公司,其盈餘管理將會被股票市場給予正面之評價,然而對於股票報酬較低的公司,盈餘管理將對股票報酬帶來負面之影響,此結果也意謂市場上投資人的投資行為存在顯著的異質性。對於擁有較高股票報酬的公司,投資人較重視其財務資訊,及其股票近期之走勢,因此盈餘管理易被給予正面之評價;而對於股票報酬較低之公司,投資人可能更關注於其實際之經營狀況,而非公司呈現在財務報表之數據,因此盈餘管理之行為對股票報酬並沒有顯著的正面影響,甚至會產生顯著負向之效果。
英文摘要 This paper examines whether earnings management affects stock market pricing and whether the influences are consistent between firms having different stock returns using a quantile regression approach. The quantile regression approach allows the estimate of the independent variable (unsigned discretionary accruals) to shift across the distribution of the dependent variable (stock return) rather than a single estimator of central tendency. Our sample consists of 2,290 non-financial firms and 20,350 firm-year observations during the period from 1992 to 2009. The empirical results indicate that earnings management is positively priced by stock market at higher return quantiles, but the association changes into a negative relation in the lower tail of the distribution of returns. This implies that the behavioral heterogeneity of market investors in stock markets is significant. Market investors will follow the financial information and current trends in stock prices for corporations having higher stock returns, so earnings management should be rewarded significantly on stock returns by the market. However, investors will be more concerned with real financial situations rather than earnings that are adjusted by managers in the case of firms having lower returns, so earnings management perhaps has no significant influence on returns or even may be penalized by investors in regard to stock returns.
論文目次 摘 要 I
Abstract II
誌 謝 III
Content IV
List of Tables VI
List of Figures VII
1. Introduction 1
2. Literature review 4
2.1. Studies on earnings management and market pricing 4
2.2. Measures of unsigned discretionary accruals and market pricing 6
2.3. Development of research questions 7
3. Data and methodology 10
3.1. Data 10
3.2. Quantile regression model 11
3.3. Measures of unsigned discretionary accruals and annual stock returns 12
3.4. Empirical model 14
4. Empirical results 15
4.1. Descriptive statistics 15
4.2. The quantile-varying relations between earnings management and stock return 15
4.3. The implications 17
4.4. The QR estimates of the control variables 18
5. Robustness tests 19
5.1. Model specification with year and industry 19
5.2. Alternative measure of market pricing 20
5.3. Alternative measure of unsigned discretionary accruals 22
5.4. Robustness test before and after Sarbanes-Oxley Act (SOX) 23
5.5. The issue of outliers and measurement errors in discretionary accruals estimation 24
5.6. The comparison between discretionary accruals are positive and negative 25
6. Conclusions 27
References 29
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