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題名：權益法長投之投資淨收益：盈餘持續性與股市反應
書刊名：管理與系統
作者：李淑華 引用關係／簡雪芳 引用關係／蔡彥卿 引用關係
作者(外文)：Lee, Shu-hua／Chien, Hsueh-fang／Tsai, Yann-ching
出版日期：2014
卷期：21:3
頁次：頁483-516
主題關鍵詞：權益法投資淨收益；理性定價；盈餘持續性；Investment incomes from equity method；Rational pricing；Persistence of earnings
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:46
  • 點閱點閱:24
本文以我國轉投資方式發展所有權結構擴張組織規模特性，結合我國特殊財務報告環境以母公司財務報表為主之實務運用，以盈餘持續性觀點，探討母公司財務報表之權益法認列投資淨收益與營業淨利之持續性差異；且檢驗股市對於這兩項盈餘要素是否理性定價。實證結果顯示，母公司財務報表的權益法認列投資淨收益之持續性與營業淨利之持續性相近，權益法認列投資淨收益為企業營業淨利之延伸；投資人對於損益表中權益法認列投資淨收益之評價係數低於營業淨利之評價係數，但兩者不存在顯著統計差異；且股市不能瞭解權益法認列投資淨收益與營業淨利之高盈餘持續性特質，對於兩盈餘要素之持續性無法理性定價，若對權益法認列投資淨收益（營業淨利）進行套利投資策略，可賺取年超額報酬率約為9.04%（14.26%）。另外，我國母公司財報（個體財報）之權益法投資淨收益可提供合併財報外之增額資訊；且若與Herrmann et al.（2001）測試日本公司（單獨財報）之實證結果比較，顯示我國母公司財報之權益法認列投資淨收益與日本子公司盈餘變動兩者均非暫時性盈餘，然投資人對於兩盈餘要素均無法理性定價，該比較對於我國當前導入IFRS提供難得之實證證據。
Expanding organization size through pyramidal and cross-holding structures are common practices for Taiwanese firms. We examine the persistence of and the market reaction to the earnings of investment incomes accounted for under equity method under this special organization structure. Our empirical findings suggest that the persistence of earnings of investment incomes accounted for under equity method and the persistence of incomes from operations are of similar magnitudes. It implies that investment incomes accounted for under equity method should be more properly classified as operations activities. The valuation coefficient of the net operating incomes is higher than the valuation coefficient of the investment incomes from investments accounted for under equity method, but the difference between the two coefficients are insignificant. Stock prices are found to under-price operating incomes (reaction ratio: 55%) as well as the investment incomes accounted for under equity method (reaction ratio: 68%). The stock market is not able to rationally price the persistence of the operating incomes and the investment incomes accounted for under equity method. A zero-cost hedging portfolio, which is constructed based on the magnitude of investment incomes accounted for using equity method (incomes from operations), yields 9.04% (14.26%) of abnormal returns per annum. In addition, this study also shows that investment incomes accounted for under equity method presented in the stand alone financial statements provides incremental information over earnings presented in the consolidated financial stat ements. A comparison of this study with Herrmann et al. (2001) shows that both of the investment incomes accounted for under equity method for Taiwanese firms and the incomes of subsidiaries for Japanese firms are not transitory and both earnings components are not rationally priced. These results provide important empirical findings for the adoption of IFRS in Taiwan.
期刊論文
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3.Herrmann, D,、Inoue, T.、Thomas, W.(2001)。The Relation between Incremental Subsidiary Earnings and Future Stock Returns in Japan。Journal of Business Finance and Accounting，28(9/10)，1115-1139。  new window
4.Narayanamoorthy, G.(2006)。Conservatism and Cross-Sectional Variation in the Post-Earnings Announcements Drift。Journal of Accounting Research，44(4)，763-89。  new window
5.Schmidt, A.(2006)。The Persistence, Forecasting, and Valuation Implications of the Tax Change Component of Earnings。The Accounting Review，81(3)，589-616。  new window
6.今週刊(200509)。新半年報照亮投資死角。今週刊，458。  延伸查詢new window
7.曾惠瑾(2006)。7號公報合併財務報表及5號公報長期股權投資會計處理準則常見問題與企業因應之道。資誠通訊，188，5-8。  延伸查詢new window
8.Dopuch, N.、Seethamraju, C.、Xu, W.(2010)。The Pricing of Accruals for Profit and Loss Firms。Review of Quantitative Finance and Accounting，34(4)，505-516。  new window
9.Hirshleifer, David、Hou, Kewei、Teoh, Siew H.、Zhang, Yinglei(2004)。Do Investors Overvalue Firms with Bloated Balance Sheets?。Journal of Accounting & Economics，38，297-331。  new window
10.Jenkins, D. S.(2003)。The Transitory Nature of Negative Earnings and the Implications for Earnings Prediction and Stock Valuation。Review of Quantitative Finance and Accounting，21(4)，379-401。  new window
11.張仲岳(20010500)。損益表之分類與獲利能力之預測。當代會計，2(1)，1-16。new window  延伸查詢new window
12.Swaminathan, S.、Weintrop, J.(1991)。The Information Content of Earnings, Revenues, and Expenses。Journal of Accounting Research，29(2)，418-427。  new window
13.Ramakrishnan, R. T. S.、Thomas, J. K.(1998)。Valuation of Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings。Journal of Accounting, Auditing and Finance，13(3)，301-336。  new window
14.林維珩、盧鎮瑋(20050700)。股價對強制性財務預測反應之效率性研究。會計評論，41，53-75。new window  延伸查詢new window
15.Burgstahler, D.、Jiambalvo, J.、Shevlin, T.(2002)。Do Stock Prices Fully Reflect the Implications of Special Items for Future Earnings?。Journal of Accounting Research，40(3)，585-612。  new window
16.Failfield, J.、Whisenant, S.、Yohn, T.(200301)。Accrual Earnings and Growth: Implications for Future Profitability and Market Mispricing。The Accounting Review，78(1)，353-371。  new window
17.Rajgopal, S.、Shevlin, T.、Venkatachalam, M.(2003)。Does the Stock Market Fully Appreciate the Implications of Leading Indicators for Future Earnings? Evidence from Order Backlog。Review of Accounting Studies，8(4)，461-492。  new window
18.Xie, H.(2001)。The Mispricing of Abnormal Accruals。The Accounting Review，76(3)，357-373。  new window
19.Thomas, W. B.(2000)。A Test of the Market's Mispricing of Domestic and Foreign Earnings。Journal of Accounting and Economics，28(3)，243-267。  new window
20.Hayn, C.(1995)。The information content of losses。Journal of Accounting and Economics，20(2)，125-153。  new window
21.曹壽民、紀信義、劉正良(20070700)。股市對創新活動的評價是否具有效率性？--從研發效率與內部人交易論析。會計評論，45，27-55。new window  延伸查詢new window
22.Lipe, R. C.(1986)。The Information Contained in the Components of Earnings。Journal of Accounting Research，24(Supplement)，37-68。  new window
23.Lipe, R.(1990)。The Relation between Stock Returns and Accounting Earnings Given Alternative Information。The Accounting Review，65(1)，49-71。  new window
24.Schipper, K.、Vincent, L.(2003)。Earnings Quality。Accounting Horizons，7(S1)，97-110。  new window
25.Easton, Peter D.、Zmijewski, Mark E.(1989)。Cross-Sectional Variation in the Stock Market Response to Accounting Earnings Announcements。Journal of Accounting and Economics，11(2/3)，117-141。  new window
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27.Francis, J.、LaFond, R. P.、Olsson, P. M.、Schipper, K.(2004)。Costs of equity and earnings attributes。The Accounting Review，79(4)，967-1010。  new window
28.Collins, Daniel W.、Pincus, Morton、Xie, Hong(1999)。Equity Valuation and Negative Earnings: The Role of Book Value of Equity。The Accounting Review，74(1)，29-61。  new window
29.Kormendi, Roger、Lipe, Robert(1987)。Earnings Innovations, Earnings Persistence, and Stock Returns。Journal of Business，60(3)，323-345。  new window
30.Miller, Merton H.、Rock, Kevin(1985)。Dividend policy under asymmetric information。The Journal of Finance，40(4)，1031-1051。  new window
31.Kothari, S. P.(2001)。Capital Markets Research in Accounting。Journal of Accounting and Economics，31(1-3)，105-231。  new window
32.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research，6(2)，159-178。  new window
33.Claessens, Stijn、Djankov, Simeon、Lang, Larry H. P.(2000)。The Separation of Ownership and Control in East Asian Corporations。Journal of Financial Economics，58(1/2)，81-112。  new window
34.金成隆、鄭丁旺(19990700)。持續與非持續盈餘反應係數之研究。會計評論，31，19-42。new window  延伸查詢new window
35.Beaver, William、Lambert, Richard、Morse, Dale(1980)。The information content of security prices。Journal of Accounting and Economics，2(1)，3-28。  new window
36.Collins, Daniel W.、Maydew, Edward L.、Weiss, Ira S.(1997)。Changes in the Value-relevance of Earnings and Book Values over the past Forty Years。Journal of Accounting and Economics，24(1)，39-67。  new window
37.Fairfield, P.、Sweeney, R.、Yohn, T.(1996)。Accounting Classification and the Predictive Content of Earnings。The Accounting Review，71(3)，337-355。  new window
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39.Fan, Joseph P. H.、Wong, Tak-Jun(2002)。Corporate ownership structure and the informativeness of accounting earnings in East Asia。Journal of Accounting and Economics，33(3)，401-425。  new window
40.Bernard, Victor L.、Thomas, Jacob K.(1989)。Posting-Earning-Announcement Drift: Delayed Price Response or Risk Premium?。Journal of Accounting Research，27，1-36。  new window
41.Sloan, Richard Geoffrey(1996)。Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?。The Accounting Review，71(3)，289-315。  new window
42.Barker, R.(2004)。Reporting Financial Performance。Accounting Horizons，18(2)，157-172。  new window
會議論文
1.林維珩、簡俱揚、張福星、盧鎮瑋(2008)。合併財務報表編製實務變革對股價效率性之影響。臺中：中華會計教育學會暨國立中興大學會計學系。  延伸查詢new window
2.Sivaramakrishnan, K.、Yu, S. C.(2008)。On the Association between Corporate Governance and Earnings Quality。American Accounting Association 2008 Annual meeting，(會議日期: August 3-6)。Anaheim, CA。  new window
3.張仲岳(1998)。盈餘持續性與股價之關聯性研究。臺北：東吳大學。  延伸查詢new window
4.張仲岳、張君玉(2003)。負盈餘資訊內涵--以負盈餘持續性觀之。2003會計理論與實務研討會。臺南：中華會計教育學會：國立成功大學會計學系。  延伸查詢new window
學位論文
1.方偉廉(2008)。子公司負債與母公司財務風險、股權市值及系統風險之關聯性：合併財務報表資訊價值之探討(博士論文)。臺灣大學。new window  延伸查詢new window
2.張福星(1997)。合併財務報表與母公司財務報表盈餘組成成份相對資訊內涵之研究(博士論文)。國立政治大學。new window  延伸查詢new window
3.游淑婷(2006)。應計項目評價分析—區分正負盈餘樣本(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.劉順仁(2005)。財務報表就像一本故事書。臺北：時報文化出版企業股份有限公司。  延伸查詢new window
2.Beams, F. A.、Anthony, J. H.、Bettinghaus, B.、Smith, K.(2012)。Advanced Accounting。Pearson Prentice Hall。  new window
3.Weygandt, J. J.、Kimmel, P. D.、Kieso, D. E.(2008)。Financial Accounting。Wiely：International Student Version。  new window
4.Scott, W. R.(2009)。Financial accounting theory。New Jersey, NJ：Pearson Prentice Hall。  new window
5.Mishkin, F. S.(1983)。A Rational Expectations Approach to Macroeconomics: Testing Policy Ineffectiveness and Efficient-markets Models。Chicago, IL：University of Chicago Press for the National Bureau of Economic Research。  new window
 
 
 
 
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