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題名:Reconsideration for the Relationship between Earnings and Stocks Returns in Taiwan
書刊名:臺大管理論叢
作者:朱立倫
作者(外文):Chu, Eric Liluan
出版日期:1996
卷期:7:1
頁次:頁163-185
主題關鍵詞:盈餘報酬資訊內涵盈餘反應係數EarningsReturnInformationContentERC
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(4) 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:3
  • 共同引用共同引用:0
  • 點閱點閱:33
本研究針對臺灣目前之會計實證研究中有關資訊內涵部份作一系列的檢討。透過各項研究方法及變數之控制,以期探討在臺灣特有之環境體系下市場報酬與會計盈餘的關聯性。 實證結果顯示: 1.市場報酬率與會計盈餘之關聯性,明顯地受到異常報酬率預估模式的影響,市場模式運用的結果明顯遜於規模效應及風險調整模式。 2.臺灣股票市場存在明顯宣告前後的異常反應,較長的衡量期間較能顯出市場對會計資訊之反應。 3.漲跌幅限制影響了市場對資訊反應之速度,因此使用較長之衡量期間較能展現出市場對非預期盈餘之反應。 4.市場報酬率與會計盈餘的關聯性會受到選用預測變數的影響,會計淨利與營業所得分別顯示不同的報酬率與盈餘之關聯性。 5.非營業所得,理論上雖然較不重要,但在臺灣卻明顯地影響到市場之表現,其原因可能是非營業所得之定義不夠明確的影響。 本研究建議未來之報酬率與盈餘之關聯性及相關之實證研究,應考慮不同之預測模式,並對其研究方法之選用、變數之選擇,以及市場特性等加以考慮調整,以期能較為正確地顯現研究之結果。
  This study reexamines the returns/earnings relationship in Taiwan by controlling several variables. The results indicate:   1.The returns/earnings test is sensitive to the choice of market variable which measures market’s abnormal performance. Choice of the market model may not apprehend a superior returns/earnings relationship than the size-adjusted or risk-adjusted model.   2.An obvious early market reaction and significant post-announcement drift manifest the importance of the window choice. Long window is strongly recommended in Taiwan.   3.Price limit in Taiwan may deter the market reaction to the accounting information. Evidence shows that daily return does not follow a random walk. The suggestion of long window for CAR is reinforced by this market characteristic.   4.The returns/earnings relationship is sensitive to the choice of net income or operating income as the explanatory variable for market’s abnormal performance.   5.Non-operating income, which is theoretically less important, plays a prominent role for the returns/earnings relationship in Taiwan. The phenomenon is explained by the unclear definition of non-operating income in Taiwan.   The study suggests that the returns/earnings studies in Taiwan need further consideration, including the refinement of methodology as well as the adjustment of market characteristics. Simply replication the U.S. studies by using Taiwan’s stock market data may bias the relationship between returns and accounting earnings in certain degree.
期刊論文
1.Christie, A. A.(1987)。On cross-sectional analysis in accounting research。Journal of Accounting and Economics,9(3),231-258。  new window
2.Collins, D. W.、Kothari, S. P.、Rayburn, J. D.(1987)。Firm size and the information content of prices with respect to earnings。Journal of Accounting and Economics,9(2),111-138。  new window
3.Lipe, R. C.(1986)。The Information Contained in the Components of Earnings。Journal of Accounting Research,24(Supplement),37-68。  new window
4.Collins, D. W.、Kothari, S. P.(1989)。An Analysis of The Intertemporal and Cross-Sectional Determinants of Earnings Response Coefficients。Journal of Accounting and Economics,11(2/3),143-181。  new window
5.Fama, Eugene F.(1970)。Efficient Capital Market: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
6.Beaver, W. H.(1968)。The information content of annual earnings announcements。Journal of Accounting Research,6(Suppl.),67-92。  new window
7.Atiase, R. K.、Tse, S.(1986)。Stock Valuation Models and Accounting Information: A Review and Synthesis。Journal of Accounting Literature,5,1-33。  new window
8.Easton, P.、Zmijewski, M. E.(1989)。Cross-sectional Variation in the Stock Market Response to Earnings Announcement。Journal of Accounting and Economics,11(2/3),117-141。  new window
9.Freeman, R. N.(1987)。The Association Between Accounting Earnings and Security for Large and Small Firms。Journal of Accounting and Economics,9(2),195-228。  new window
10.Garman, M.、Ohlson, J.(1980)。Information and the Sequential Valuation of Assets in Arbitrage-Free Economies。Journal of Accounting Research,18(2),420-440。  new window
11.Holthausen, R.、Verrecchia, R.(1988)。The Effect of Sequential Information Release on the Variance of Price Changes in an Intertemporal Multi-asset Market。Journal of Accounting Research,26(1),82-106。  new window
12.Ou, Jane A.(1990)。The Information Content of Nonearnings Accounting Numbers as Earnings Predictors。Journal of Accounting Research,28(1),144-163。  new window
13.Fama, E. F.、Fisher、Roll、Jensen(1969)。The Adjustment of Stock Price to New Information。International Economic Review,1-21。  new window
14.Lev, B.、Ohlson, J.(1982)。Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension。Journal of Accounting Research,1982(Sep.),249-295。  new window
15.Lev, B.(1990)。The Usefulness of Earnings: Lessons and Directions from Two Decades of Empirical Research。Journal of Accounting Research,27,153-192。  new window
16.Livnat, J.、Zarowin, P.(1990)。The Incremental Information content of Cash-Flow Components。Journal of Accounting and Economics,1-22。  new window
17.Kormendi, Roger、Lipe, Robert(1987)。Earnings Innovations, Earnings Persistence, and Stock Returns。Journal of Business,60(3),323-345。  new window
18.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics,9(1),3-18。  new window
19.Foster, George、Olsen, Chris、Shevlin, Terry(1984)。Earnings Releases, Anomalies, and the Behavior of Security Returns。The Accounting Review,59(4),574-603。  new window
20.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
21.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research,6(2),159-178。  new window
22.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
研究報告
1.Kendall, C.、Zarowin, P.(1990)。Time Series Models of Earnings, Earnings Persistence and Earning Response Coefficients。  new window
2.Ohlson, J. A.(1989)。The Theory of Value and Earnings, and An Introduction to the Ball-Brown Analysis。Columbia University。  new window
3.Ball, R.、Kothari, S. P.、Watts, R. L.(1988)。The Economics of the Relation Between Earnings Changes and Stock Returns。University of Rochester。  new window
4.Ball, R.、Kothari, S. P.(1989)。Security Returns Around Earnings Announcements。University of Rochester。  new window
5.Bernard, V. L.、Thomas, J. K.(1988)。Post-Earnings-Announcement Drift: Market Inefficiency, or CAPM Misspecification?。  new window
6.Chu, E. L.、Ronen, J.(1992)。The Information Content of Accounting Data: Evidence from Taiwan's Stock Market。Baruch College。  new window
7.Chu, E. L.(1994)。Association Between Price Limit and Stock Returns: Influences and Implication。NTU。  new window
8.Chu, E. L.(1995)。Sensitivity of ERC to its Determinants。NTU。  new window
9.Easton, P.、Harris, T.(1989)。Evidence of Accounting Earnings as an Index of Change in Value。G. S. B., Columbia University。  new window
10.Easton, P.、Zmijewski, M. E.(1989)。On the Estimation of Response Coefficients。  new window
11.Kormendi, R.、Lipe, R.(1990)。The Long-Horizon Properties of Annual Earnings: An Analysis of Persistence and Valuation。  new window
學位論文
1.Chu, E. L.(1991)。Market-based Accounting Research: An International Comparison and New Evidence(博士論文)。New York University。  new window
2.Atiase, R. K.(1980)。Predisclosure Informational Asymmetries, Firms Capitalization, Earnings Reports, and Security Price Behavior(博士論文)。University of California, Berkeley。  new window
圖書
1.White, G.、Sondhi A.、Fried, D.(1994)。The Analysis and Use of Financial Statements。John Wiley & Sons, Inc。  new window
2.Ronen, J.、Sadan, S.(1981)。Smoothing Income Number: Objective, Means, and Implications。Mass.:Addison-Wesley Publishing Co.。  new window
圖書論文
1.Bernard, V. L.(1989)。Capital Market Research During the 1980's: A Critical Review。The State of Accounting Research as We Enter the 1990's。Urbana-Champaign: University of Illinois。  new window
 
 
 
 
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