政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/59238

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/59238

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/59238

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题名:	權益資金成本之估計-橫斷面資料的應用 The estimation of cost of equity capital: Cross-sectional data application
作者:	陳玉慧 Chen, Yu Huei
贡献者:	郭炳伸林信助陳玉慧 Chen, Yu Huei
关键词:	權益資金成本分析師盈餘預測橫斷面剩餘所得模型隱含資本成本 Cost of Equity Capital Analysts` Earnings Forecast Cross-sectional Residual Income Valuation Implied Cost of Capital
日期:	2012
上传时间:	2013-09-02 15:18:33 (UTC+8)
摘要:	本文分別將橫斷面(Cross-sectional)資料求得的ROE與分析師盈餘預測資料，代入剩餘所得模型(Residual Income Valuation, RIV)中求出隱含資本成本(Implied Cost of Capital, ICC)，並分別據以估計權益資金成本，檢視何者估計的較好。我們發現以橫斷面資料求算的盈餘與實際盈餘較為接近且小幅低估；分析師的盈餘預測資料與實際的盈餘差距較大且大幅高估。透過零成本投資組合的模擬，發現橫斷面資料估計的權益資金成本報酬較高。因此橫斷面資料估計的權益資金成本作為公司管理者與投資者在決策時的參考依據應較可信賴。 Based on Residual Income Valuation (RIV), in this paper, we employ two different kinds of data, ROE generated by cross-sectional data and analysts’ earnings forecasts data, to calculate the Implied Cost of Capital (ICC), which is used for estimating the cost of equity capital. Earnings generated by cross-sectional data are smaller and closer to actual earnings; however, analysts’ earnings forecasts data are much higher than actual earnings. In addition, zero-cost testing portfolios formed by ICC estimated by cross-sectional data produce better profits, and hence should be a more reliable reference of cost of equity capital for both managers and investors while making decisions.
參考文獻:	中文部分 [1] 丁緯(2004)，「盈餘預測偏誤類型之探討：併論盈餘水準及管理當局預測對分析師預測偏誤之影響」，淡江大學會計研究所碩士論文。 [2] 李沛原(2006)，「券商分析師樂觀盈餘預測與利益衝突」，逢甲大學財務金融研究所碩士論文。 [3] 涂展源(2005)，「智慧資本資金成本之初探」，國立政治大學會計研究所碩士論文。 [4] 張怡婷(2012)，「台灣股市投資組合績效之比較」，成功大學財務金融研究所碩士論文。 [5] 蔡珮穎(2007)，「Ohlson-Juettner模型在台灣適用性之研究」，國立政治大學會計研究所碩士論文。 [6] 賴紀誠(2010)，「券商分析師利益衝突及其調節機制」，國立中正大學企業管理研究所碩士論文。英文部分 [1] Claus, J., and Thomas, J.(2001), “Equity premia as low as three percent? Evidence from analysts’ earnings forecasts for domestic and international stock markets”, Journal of Finance, 56, 1629-1666. [2] Easton, P.(2004), “PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital”, The Accounting Review, 79, 73-95. [3] Easton, Peter D. and Gregory A. Sommers(2007), “Effect of analysts’ optimism on estimates of the expected rate of return implied by earnings forecasts”, Journal of Accounting Research 45, 983-1015. [4] Fama E., and French, K.(1993), “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, 33, 3. [5] Fama E., and French, K.(1997), “Industry cost of equity”, Journal of Financial Economics, 43, 153-193. [6] Fama E., and French, K.(2000), “Forecasting profitability and earnings”, Journal of Business, 73, 161-175. [7] Fama E., and French, K.(2006), “Profitability, investment and average returns”, Journal of Financial Economics, 82, 491-518. [8] Francis, J., Olsson, P., and Oswald, D.(2000), “Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates”, Journal of Accounting Research, 38, 45-70. [9] Gebhardt, W., Lee, C.M., and Swaminathan, B.(2001), “Toward an implied cost of capital”, Journal of Accounting Research, 39, 135-176. [10] Gordon, J., and Gordon, M.(1997), “The finite horizon expected return model”, Financial Analysts Journal, May/June, 52-61. [11] Guay, W., Kothari, S., and Shu, S.(2011), “Properties of implied cost of capital using analysts’ forecasts”, Australian Journal of Management, 36, 125-149. [12] Hou, K., van Dijk, M., and Zhang, Y.(2011), “The implied cost of capital: A new approach, forthcoming”, Journal of Accounting and Economics, 53, 504-526. [13] O’Brien, P.(1988), “Analysts’ forecasts as earnings expectations”, Journal of Accounting and Economics, 10, 53-83. [14] Ohlson, J.A.(1995), “Earnings, Book Values, and Dividends in Equity Valuation”, Contemporary Accounting Research, 11(2), 661-687. [15] Ohlson, J., and Juettner-Nauroth, B.(2005), “Expected EPS and EPS growth as determinants of value”, Review of Accounting Studies, 10, 349-365. [16] Palazzo, B.(2012), “Cash Holdings, Risk, and Expected Returns”, Journal of Financial Economics, 104, 162-185. [17] Sharpe, W.(1978), “New evidence on the capital asset pricing model: discussion”, Journal of Finance, 33, 917-920. [18] Wooldridge J.M.(2006), “Introductory econometrics: A modern approach”, third edition, South-Western pub., 448-484. [19] Wu, J., and Zhang, L.(2011), “Do Anomalies Exist Ex Ante?”, Working paper: University of Georgia and Ohio State.
描述:	碩士國立政治大學國際經營與貿易研究所 99351034 101
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0993510341
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

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