政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/69643

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/69643

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政大典藏 > College of Commerce > Department of Accounting > NSC Projects > Item 140.119/69643

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/69643

Title:	會計資訊股價修關性之研究---EBO模式在台灣股票市場應用之實證研究
Other Titles:	The Value-Relevance of Accounting Information---An Empirical Study on the Application of EBO Model in Taiwan`s Stock Market
Authors:	許崇源;彭火樹;劉正田
Contributors:	會計學系
Keywords:	股票市場;EBO模式;會計資訊;交易策略;股票價格;價值攸關性 Stock market;EBO model;Accounting information;Trading strategy;Stock price;Value-relevance
Date:	1999
Issue Date:	2014-09-09 17:30:34 (UTC+8)
Abstract:	Fama and French (1992) 利用1963-1990 美國上市(包括NYSE,AMEX, NASDAQ)公司資料,發現可用來解釋股票報酬的變數只有公司規模(Size)及淨值市價比(Book-to-market ratio),Frenkel and Lee (1996)則利用Edward-Bell-Ohlson (EBO)模式估計公司之真值(Intrinsic value),進而發現利用真值市價比解釋股價報酬之能力較淨值市價比強。本研究之目的即在比較規模、淨值市價比及真值市價比何者較能解釋台灣上市公司股票報酬。本研究利用台灣經濟新報社(Taiwan Economic Journal)資料庫中1981-1987年之上市公司資料,進行規模(SIZE)、淨值市價比(B/P)及真值市價比(V/P)三者對股票報酬(一年及兩年報酬)之相對解釋能力。研究結果發現利用淨值市價比之投資策略所得股票報酬,較利用規模及真值市價比之投資策略所得股票報酬為高(圖1)。進一步檢定發現當控制淨值市價比後,規模變數除了在淨值市價比較小的二組外,不再有解釋能力(表1);但控制規模變數後,淨值市價比仍有顯著解釋能力(表2)。當控制淨值市價比後,除最大一組之一年股票報酬,真值市價無顯著解釋能力外,不論一年或二年之股票報酬,真值市價比均可用以獲得超額報酬(表3);同樣的,在控制真值市價比變數後,無論對一年或兩年之股票報酬,淨值市價比皆仍有顯著解釋能力(表4)。故如果同時應用規模、真值市價比及淨值市價比,投資人應可獲得超額報酬。有趣的是,淨值市價比之運用策略與美國之結果相反,其原因為何,有待進一步探討。
Relation:	行政院國家科學委員會計畫編號NSC88-2416-H004-022
Data Type:	report
Appears in Collections:	[Department of Accounting] NSC Projects

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