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    題名: 透過本益比之相對Mean-reverting現象進行盈餘管理模型之評比
    作者: 謝秋華
    貢獻者: 俞洪昭
    謝秋華
    關鍵詞: 盈餘管理
    本益比
    平均數復歸
    非裁量性淨利
    Earnings management
    P/E ratio
    Mean-reverting
    Nondiscretionary income
    日期: 2002
    上傳時間: 2016-05-09 16:22:08 (UTC+8)
    摘要: 　　整體而言，會計盈餘提供財務報表使用者有關於企業獲利能力之相關資訊。然而，由於會計盈餘同時包含了雜訊 (noises) 與偏差 (biases)，因而影響到會計盈餘對公司獲利能力評價的正確性。因此，過去的會計文獻發展出不同的盈餘管理估計模型 (如: Healy 1985; DeAngelo 1986; Friedlan 1994; DeFond and Jiambalvo 1994 以及Dechow, Sloan and Sweeney 1995)，以嘗試去除這些雜訊與偏差。然而，究竟哪一個估計模型能夠提供最為純淨之非裁量性淨利 (nondiscretionary income) 的衡量指標，則並無定論。在效率市場 (market efficiency) 的假說下，本研究透過本益比 (P/E ratio) 的平均數復歸 (mean-reverting) 現象來評比五種盈餘管理估計模型。由於過去的文獻同時發現盈餘成長率與風險係數均會影響本益比的高低，因此，本研究同時將這兩個變數納入考量。
    　　實證結果發現，依照上述五種盈餘管理估計模型所估計之本益比皆有平均數復歸的現象。其中Friedlan (1994) 模型在全體樣本與控制盈餘成長率之後，其本益比平均數復歸現象均較其他模型為快；次佳之盈餘管理估計模型為DeFond and Jiambalvo (1994) 與Dechow et al. (1995) 兩模型；最差的則為 Healy (1985) 模型。
    　　Overall speaking, accounting earnings provide financial statement users with useful information about a firm`s profitability. However, because of the biases and noises included in the accounting earnings, the accuracy and reliability of accounting earnings to the evaluation of a firm`s profitability may be adversely influenced. In light of this, prior earnings management studies have developed various estimation models of nondiscretionary income (e.g., Healy 1985; DeAngelo 1986; Friedlan 1994; DeFond and Jiambalvo 1994; Dechow, Sloan & Sweeney 1995) with an attempt to remove the biases and noises embedded in the accounting earnings. Nonetheless, there is no consistent empirical evidence about the relative performance of these estimation models. Assuming market efficiency, the main purpose of this study is to utilize the mean-reverting phenomenon of P/E ratios to evaluate the relative performance of these models. Since prior studies have found that earnings growth rate and risk coefficient may affect the magnitude of P/E ratios, we also control for these two variables in our analyses.
    　　The empirical results reveal several findings. First, P/E ratios calculated using different earnings management estimation models exhibit the mean-reverting phenomenon. Second, the Friedlan (1994) model has the best performance among all models when we use the overall sample and three subsamples grouped based on the earnings growth rate. In addition, the DeFond and Jiambalvo (1994) and Dechow, Sloan & Sweeney (1995) models perform moderately. Finally, the Healy (1985) model shows the worst performance.
    參考文獻: 中文文獻
    王泰昌、戚務君，2000，財務資訊與投資策略，鑫報。
    王脩斐，1996，盈餘管理偵測模型之評估，國立政治大學會計學研究所未出版碩士論文。
    李銘仁，1997，多空時期下公司本益比、淨值市價比與股票報酬率間關係之研究，國立成功大學企業管理學研究所未出版碩士論文。
    林伶如，1990，股票本益比與公司規模對股票報酬之影響─以台灣股市為例，國立中興大學企業管理研究所未出版碩士論文。
    張文瀞，2000，盈餘管理之特性與審計品質之影響，國立政治大學會計學研究所未出版博士論文。
    陳心怡，2000，上市公司現金增資前盈餘管理與其後績效關聯性之研究，國立台灣大學會計學研究所未出版碩士論文。
    黃浩平，1996，影響台灣上市公司益本比與市場價值因素之研究，國立政治大學企業管理研究所未出版碩士論文。
    劉敏欣，1995，上市公司應計項目與盈餘操縱及股票報酬關聯性之研究，國立台灣大學會計學研究所未出版碩士論文。
    劉賢修，1994，應計項目操縱對盈餘反應係數之實證研究，國立台灣大學會計學研究所未出版碩士論文。
    韓孝君，1995，本益比：會計盈餘及現金流量，國立中正大學會計學研究所未出版碩士論文。
    戴欣怡，2000，新上市公司上市前之盈餘管理與上市後長期股票報酬之關聯性研究，國立台灣大學會計學研究所未出版碩士論文。
    蘇逸穎，1999，本期盈餘、預期未來盈餘和盈餘操縱之關聯性，國立台灣大學會計學研究所未出版碩士論文。
    國外文獻
    Beaver, W. H. and D. Morse. 1978. What determines price-earnings ratios? Financial Analysts Journal 34 (July-August): 65-76.
    Cho, J. Y. 1994. Determinants of earings-price ratios: A reexamination. Review of Financial Economics 3 (Fall): 105-120.
    DeAngelo, L. E. 1986. Accounting numbers as market valuation substitutes: A study of management buyouts of public stockholders. The Accounting Review 61 (July): 400-420.
    Dechow, P. M., R. Sloan and A. Sweeny. 1995. Detecting earnings management. The Accounting Review 70 (April): 193-226.
    DeFond, M. L. and J. Jiambalvo. 1994. Debt covenant violation and manipulation of accruals. Journal of Accounting & Economics 17 (January): 145-176.
    Financial Accounting Standards Board. 1978. Objectives of financial reporting by business enterprises. Statement of Financial Accounting Concepts No.1 . Stamford, Conn.: FASB.
    Friedlan, J. M. 1994. Accounting choices of issuers of initial public offerings. Contemporary Accounting Research 11 (Summer): 1-31.
    Healy, P. M. 1985. The effect of bonus schemes on accounting decisions. Journal of Accounting & Economics 7 (April): 85-107.
    Jones, J. 1991. Earnings management during import relief investigations. Journal of Accounting Research 29 (Autumn): 193-228.
    Kaplan, R. S. 1985. Comments on Paul Healy: evidence on the effect of bonus schemes on accounting procedures and accrual decisions. Journal of Accounting and Economics 7 (April): 109-113.
    Palepu, K. G., V. L. Bernard and P. M. Healy. 1997. Introduction to Business Analysis & Valuation. Cincinnati, Ohio: South-Western Publishing Co.
    Penman, S. H. 1991. An evaluation of accounting rate-of-return. Journal of Accounting, Auditing, & Finance 6 (Spring): 233-255.
    _________. 1996. The articulation of price-earnings ratios and market- to-book ratios and the evaluation of growth. Journal of Accounting Research 34 (Autumn): 235-259.
    Subramanyam, K. R. 1996. The pricing of discretionary accruals. Journal of Accounting & Economics 22 (August): 249-281.
    Tech, S. H., I. Welch and T. J. Wong. 1998. Earnings management and the underperformance of seasoned equity offerings. Journal of Financial Economics 50 (October): 63-99.
    _______, ______ and __________. 1998. Earnings management and the long-run market performance of initial public offerings. Journal of Finance 53 (December): 1935-1974.
    White, G. I., A. C. Sondhi and D. Fried. 1997. The analysis and use of financial statements. 2nd edition. New York: John Wiley & Sons, Inc.
    描述: 碩士
    國立政治大學
    會計學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2010000426
    資料類型: thesis
    顯示於類別:[會計學系] 學位論文

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