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    题名: 剩餘盈餘評價模型於追蹤保險業股價變化的應用
    An Application of the Residual Income Valuation Model to Insurance Companies
    作者: 詹芳書
    Fang-Shu Chan
    贡献者: 蔡政憲
    Chenghsien Tsai
    詹芳書
    Fang-Shu Chan
    关键词: 剩餘盈餘
    淨盈餘關係
    淨值
    異常盈餘
    股價/淨值比
    本益比
    日期: 2002
    上传时间: 2009-09-18
    摘要: 我們用財務比率來建構一個簡單的迴歸模型以追蹤保險公司股價的變化。在解釋變數部分，除了股價/淨值比( P/B)與本益比(P/E)之外，我們加入股價/真實價值比(P/V) 來加以比較。相較於傳統的折現模型，Ohlson (1995)所提出的剩餘盈餘評價模型模型引入了會計上的淨盈餘關係來估計保險公司的真實價值V。
    研究顯示出反映未來異常盈餘的公司價值V相較於淨值只有些許的提升，同時我們的結果並未因為不同折現因子的選取而有明顯的差異；另一方面，在分析期間中，小幅度變化的公司淨值與公司真實價值V使我們的迴歸模型有很高的解釋能力。

    關鍵字：剩餘盈餘、淨盈餘關係、淨值、異常盈餘、股價/淨值比、本益比
    Ohlson (1995) incorporates the clean surplus relation into the estimation for the value of a company. A financial ratio (price to value) created using Ohlson’s residual income valuation model might outperform conventional ratios like P/B (price to book value) and P/E (price to earning) ratios in explaining the variations in the stock price of a company (Lee, Myers, and Swaminathan, 1999). We hence construct a regression model to examine the applicability of Ohlson’s method and Lee, Myers, and Swaminathan’s results.
    However, we find that the estimated intrinsic value using Ohlson’s method diverge from the stock price significantly. Using different interest rates as the discount rate cannot generate better results either. Furthermore, the estimated P/V ratios result in only minor improvements over the conventional ratios in the regression model for the stock price. These results are probably due to the invariability and/or the smoothing in the values of insurance companies.

    Keywords: residual income, clean surplus relation, intrinsic value, abcdrmal earnings
    參考文獻: 1.Dechow, P.M., Hutton A.P., and Sloan R.G., 1999, An Empirical Assessment of the Residual Income Valuation Model, Journal of Accounting and Economics, 26: 1-34.
    2.Feltham, G..A., and Ohlson, J.A., 1995, Valuation and Clean Surplus Accounting for Operation and Financial Activities, Contemporary Accounting Research, 11: 689-731.
    3.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.
    4.Lee, C.M.C., Myers, J., and SwaminathanB., 1999, What is the Intrinsic Value of the Dow, Journal of Finance, 5: 1693-1741.
    5.Olson, J.A., 1995, Earnings, Book Values, and Dividends in Equity Valuation, Contemporary Accounting Research, 11: 661-87.
    6.Penman, S.H., and Sougiannis, T., 1996, A Comparison of Dividend, Cash Flow, and Earning Approaches to Equity Valuation, Working paper, University of California at Berkeley and University at Urbana-Champaign.
    7.Weiss, M., 1991, A Multivariate Analysis of Loss Reserving Estimates In Property-Liability Insurers, Journal of Risk and Insurance, 23: 199-221.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    90358006
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090358006
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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