進階搜尋


下載電子全文  
系統識別號 U0026-3006201711193400
論文名稱(中文) Frankel and Lee (1998)股票剩餘利益理論在台灣市場適用性評估
論文名稱(英文) Frankel and Lee (1998) Residual Income Model in Predicting Stock Return in 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 105
學期 2
出版年 106
研究生(中文) 石國芬
研究生(英文) Kuo-Fen Shih
學號 r87041367
學位類別 碩士
語文別 中文
論文頁數 20頁
口試委員 口試委員-梁少懷
口試委員-謝喻婷
指導教授-周庭楷
中文關鍵字 公司內涵價值  剩餘利益評價模型  盈餘預測  投資組合 
英文關鍵字 intrinsic value  residual income valuation model  earnings forecasts  portfolio 
學科別分類
中文摘要 本研究為探討Frankel and Lee (1998)之剩餘利益評價模型(Residual Income Valuation Model)所推導出的公司價值,並採用Hou et al. (2012)公司基本面盈餘預測模型對國內上市上櫃公司的內涵價值(intrinsic value)進行估計,並分析內涵價值對股價比率(V/P)與股票未來報酬之間的關係。本研究發現根據V/P 分組建構的投資組合,在未來一至三年經市場調整的買入並持有超額報酬套利分別達到20.45%、35.58% 和45.82%;買入並持有V/P最高組的投資組合,其一至三年的買入並持有報酬率皆顯著高於台灣50指數的同期報酬,分別為14.17%、23.79% 和26.51%。若將盈餘品質再加入投資組合建構的考量,選取V/P最高組與裁決性應計數最低組的公司,一至三年的買入並持有超額報酬率更高達26.73%、44.85% 和57.36%。本研究克服了以往文獻中運用證券分析師盈餘預測進行剩餘利益評價模型評價的限制,並提供了我國資本市場確實可行的基於剩餘利益評價模型的投資組合策略。
英文摘要 This paper evaluates the usefulness of Frankel and Lee (1998) in Taiwan stock market. I estimate a firm’s fundamental value using the residual income valuation model and the earnings forecasts model to assess the intrinsic value of stock by Hou et al. (2012). These are done in order to estimate the relationship between the value-to-price ratios and expected stock returns in the Taiwan stock market. According to our results from one and three year periods, buy-and-hold returns from V/P strategies earned 20.45%, 35.58% and 45.82% abnormal returns; and buy-and-hold returns from higher V/P strategies also earned 14.17%, 23.79% and 26.51% abnormal returns, more than the ETF 0050 over those one and three year periods. In addition, we found abnormal returns, 26.73%, 44.85% and 57.36%, accompanying the high earnings quality and earnings forecasts model. This paper presents evidence that the earnings forecasts model can proxy for analysts’ forecasts in prior studies, and it provides an investment strategy for the stock market.
論文目次 目  錄
第一章 緒論.............. 1
第二章 文獻探討.......... 3
第一節 剩餘利益評價模型文獻回顧... 3
第二節 股票投資組合建構績效文獻回顧.5
第一節 剩餘利益模型......... 6
第二節 研究樣本.......... 10
第四章 實證結果與分析...... 11
第一節 RIVM實證結果...... 11
第二節 財報盈餘品質實證結果..... 14
第三節 各種投資組合績效比較結果... 17
第五章 結論與建議........ 18
第一節 研究結論.......... 18
第二節 研究限制.......... 18
第三節 研究建議........... 19
參考文獻.................. 20

表 目 錄
表1 分年度敘述統計量........ .11
表2 按形成投資組合年度股價對淨值和RIVM相關係數..12
表3 依RIVM計算期間之VF/P投資組合分組之敘述統計量暨差異檢定..13
表4 依持有期間之VF/P投資組合分組與盈餘品質分組敘述統計量..15
表5 RIVM投資組合建構年度分年績效......... 16
參考文獻 一、中文部份
1.洪榮華、雷雅淇(2002)。公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究。管理評論,21(3) ,頁25-48。
2.林萍珍、陳稼興、林文修(2011)。遺傳演算法在使用者導向的投資組合選擇之應用。資訊管理學報,7(1) ,頁155-171。
3.秦銘璟、余威廷、徐煇熹(2011)。興櫃股票持有期間與報酬之研究。
真理財經學報,24(2011) ,頁1-24。
二、英文部份
1.Ali, A., Hwang, L. and Trombley, M., (2003). “Residual-income-based Valuation Predicts Future Stock Returns: Evidence on Mispricing vs. Risk Explanations.”, The Accounting Review, 78 pp.377-396.
2.Bradshaw, M., (2004). “How Do Analyst Use Their Earnings Forecasts in Generating Stock Recommendations?”, The Accounting Review, 79 pp.25-50.
3.Dechow, P. and Sloan, R., (1997). “Returns to contrarian investment:tests of the naïve expections Hypothesis. ”, Journal of Financial Economics, 43 pp.3-27.
4.Dechow, P., Hutton, A. and Sloan, R., (1999). “An Empirical Assessment of Residual Income Valuation Model. ”, Journal of Accounting Economics, 26 pp.1-34.
5.Francis, J., Olsson, P. and Oswald, D., (2000). “Comparing the Accuracy and Explainability of Dividend, Free Cash Flow and Abnormal Earnings Equity Valuation Models. ” , Journal of Accounting Research, 38 pp.45-70.
6.Frankel, R. and Lee, C., (1998). “Accounting valuation, market expectation, and cross-sectional stock returns.”, Journal of Accounting and Economics,25 pp.283-319.
7.Gebhardt, W. and C. M. C. Lee, B. Swaminathan. (2001) “Toward an Implied Cost of Capital.”, Journal of Accounting Reserach,39 pp.135-176.
8.Hou, K., Dijk, M. and Zhang, Y., (2012) “The Implied Cost of Capital: A New Approach.”, Journal of Accounting and Economics,53(3) pp.504-526.
9.Lin, H. and McNichols, M., (1998) “Underwriting Relationships, Analysts’ Earnings Forecasts and Investment Recommendations.”, Journal of Accounting and Economics,25 pp.101-127.
10.Lee, C., Myers, J., and Swaminathan, B., (1998). “What is the intrinsic value of the Dow? ” , Journal of Finance, forthcoming.
11.Penman, S. and Sougiannis, T., (1998). “A comparison of dividend, cash flow, and earnings approaches to equity valuation.”, Working paper, University of California at Berkeley, and University of Illionois at Urbana-Champaign, October.
12.Richardson, S., Tuna, I. and Wysocki, P., (2010). “Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances.”, Journal of Accounting and Economics,50 pp.410-454.
13.Solan, R., (1996). “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?”, The Accounting Review,71 pp.289-315.
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2020-08-01起公開。
  • 同意授權校外瀏覽/列印電子全文服務,於2020-08-01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