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    題名: 股東權利基礎評價之實證研究
    作者: 林江亮
    貢獻者: 郭弘卿
    林江亮
    關鍵詞: 股東權利基礎評價
    會計基礎評價
    未來盈餘價值
    投票權價值
    情境式分析法
    shareholders’rights-based valuation
    accounting-based valuation
    the value-relevance of future earnings
    voting right premium
    contextual analysis
    日期: 2000
    上傳時間: 2009-09-18 19:01:22 (UTC+8)
    摘要: 企業股東基於法律與契約對於所投資之公司，通常享有股利分配權、新股優先認購權、剩餘財產分配權、股東投票權等基本權利，本文以股東權利基礎來重新詮釋Ohlson模式與Easton模式。基於股東權利基礎，Ohlson模式（價格模式）可重新表示為盈餘、帳面價值、投票權價值之線性模式；Easton模式（報酬模式）可重新表示為盈餘水準、盈餘變動、投票權價值變動之線性模式。本文依上述理論基礎發展相關之研究假說，為彌補單用當期盈餘資訊之不足本文於實證模式中將再加入未來盈餘變數，並以臺灣市場之資料來驗證各項假說。首先，本文實證價格模式與報酬模式之各項變數，對於股價及報酬是否具有解釋力。其次，本文實證當經濟環境不同時，上述實證結果是否會受到影響。
    價格模式之實證結果指出：（1）各項價格變數對於股價皆具有顯著的正向解釋力。（2）當公司盈餘為負數或者盈餘持續性低時，當期盈餘對於股價的解釋力會降低。（3）當產業前景較差時，當期盈餘、帳面價值等會計資訊較不被注意，故比較不會反應在股價；管理者可由公司獲取的私有利益也會較少，故投票權價值與股價之關聯也會較低。（4）當產業生命週期較短時，當期盈餘資訊較被注意，此與其較易取得與計算有關。（5）當總體經濟情況不同時，各項變數對股價的解釋力並無顯著差異，此現象可能與研究期間內總體經濟情況好壞的差異並不明顯所致。（6）當通貨膨脹率較高時，公司所傳達之會計資訊會有高估的現象，故當期盈餘與股價之關聯會較低。
    報酬模式之實證結果指出：（1）各項報酬變數對於報酬皆具有顯著的正向解釋力。（2）當公司盈餘為負數或者盈餘持續性低時，盈餘水準對於報酬的解釋力會降低，盈餘變動對於報酬的解釋力則會提高。（3）當產業前景較差時，由於盈餘水準、未來盈餘價值指標等會計資訊較不被注意，故比較不會反應在股價報酬；管理者可獲取的私有利益也會減少，故其與股價之關聯會降低。（4）當產業生命週期不同時，各項變數對報酬的解釋力並無顯著差異。（5）當總體經濟情況較差時，盈餘變動的資訊性顯著較低，此現象應與總體經濟情況較差時盈餘通常為負數所致，投票權價值指標也有相同的現象。（6）當通貨膨脹率不同時，各項變數對報酬的解釋力並無顯著差異，此現象可能與研究期間內通貨膨脹率高低的差異並不明顯所致。
    綜上所述，股東權利基礎評價模式之各項變數確實能解釋股價或報酬，而且在不同的經濟情境下，上述變數對股價或報酬之解釋力確實會有不同，因此未來從事股權價值或股價報酬評估時，研究者應再進行相關的情境分析。

    目 錄
    第一章 緒論 1
    第一節 研究背景與動機 1
    第二節 研究目的與方法 5
    第三節 論文貢獻 7
    第四節 論文架構 9
    第二章 文獻探討 10
    第一節 股利分配權價值之相關文獻 12
    第二節 剩餘財產分配權價值之相關文獻 14
    第三節 新股優先認購權價值之相關文獻 19
    第四節 股東投票權價值之相關文獻 26
    第五節 情境式分析研究法之相關文獻 31
    第三章 研究方法 33
    第一節 股東權利基礎評價模式之建構 34
    第二節 研究假說與實證模式 38
    第三節 變數定義 47
    第四節 樣本與資料選取 55
    第四章 實證結果分析 59
    第一節 價格模式之實證結果 60
    第二節 報酬模式之實證結果 63
    第三節 價格模式之情境分析結果 66
    第四節 報酬模式之情境分析結果 80
    第五章 結論與建議 94
    第一節 研究結論 95
    第二節 研究建議 101
    第三節 研究限制 102
    參考文獻 103
    When investors buy stock, they acquire all common and specific rights granted by the laws and contracts. Shareholders usually have the right to receive dividends, the preemptive right, the right to claim the residuals assets, and the right to vote at shareholders’ meetings. The paper uses the base of shareholders’ rights to re-explain the empirical meanings of Ohlson model and Easton model. According to the base of shareholders’ rights, Ohlson model（price model）can be rewritten as the linear model of earnings, book valve, and voting right premium. In the same way, Easton model（return model）can be rewritten as the linear model of earnings level, earnings change, and voting right premium change. According to the theory base above, this paper develops related research hypotheses. Not only current earnings but also future earnings are included in empirical models, and I use Taiwanese data to test the hypotheses. First, the paper tests whether each variable in price model or return model can explain stock price or return. Second, the paper investigates whether the results mentioned above will be affected by different contexts.
    The empirical evidence of the price model can be summarized as follows. First, each price variable has significantly positive explanatory power with respect to stock price. Second, when earnings is negative or earnings persistence is low, the value-relevance of current earnings will decrease. Third, when industry prospect becomes worse, market pays little attention to current earnings and book value and manager gets less private benefits, thus the association between current earnings, book value, voting right premium and stock price is low. Fourth, when industry life cycle is shorter, more attention is paid to current earnings, which is related to availability of data. Fifth, when macroeconomic circumstance is different, the explanatory power of each variable is not significantly different, this phenomenon may be due to little significant difference among macroeconomic circumstance during research periods. Sixth, when inflation rate is high, accounting information signaled by firm is overstated, which reduces the association between current earnings and stock price.
    The empirical evidence of the return model can be summarized as follows. First, each return variable has significantly positive explanatory power with respect to stock return. Second, when earnings is negative or earnings persistence is low, the value-relevance of earnings level will decrease, while the value-relevance of earnings change will increase. Third, when industry prospect is not good, market pays little attention to earnings level and future earnings indicator and manager gets less private benefits, thus the association between earnings level, future earnings indicator, voting right premium indicator and stock return is low. Fourth, when industry life cycle is not the same, the explanatory power of each variable is not significantly different. Fifth, when macroeconomic circumstance becomes worse, the informativeness of earnings change is significantly low, this phenomenon may be due to positive correlation between macroeconomic circumstance and earnings. Voting right premium indicator also has the same phenomenon. Sixth, when inflation rate is different, the explanatory power of each variable is not significantly different, this phenomenon is likely due to little significant difference among inflation rate during research periods.
    In summary, the variables in shareholders’ rights-based valuation models can explain stock price or stock return. In the different contexts, the explanatory power of variables mentioned above with respected to stock price or stock return is significantly different. The results imply the importance of contextual analysis when researchers are engaged in the valuation of stock price or stock return.
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