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題名:The Influences of a Stock Market's Environmental Factors on Returns/Earnings Association
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:1997
卷期:8:1
頁次:頁129-156
主題關鍵詞:影響環境因素報酬盈餘關聯性InfluenceEnvironmental factorsReturnsEarningsAssociation
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(2) 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:2
  • 共同引用共同引用:5
  • 點閱點閱:17
     本研究針對會計盈餘與市場報酬率之關聯性,是否受到證券市場環境變化之影響,加以探討。其目的在於解釋臺灣證券市場之會計資訊於不同時間,因環境因素之改變而具有不同的資訊內涵。本研究計算臺灣地區民國71年至81年度之市場年報酬率與會計盈餘之關係,發現盈餘與市場報酬率之關係,雖然如理論預期般地每年皆具有統計之正相關,但其相關之程度會受到許多市場環境因素變化之影響。本研究發現年度盈餘與市場報酬率之相關程度與股市波動程度呈負相關,盈餘反應係數與市場規模、利率、股價變異程度與交易金額等呈正相關。本研究同時也發現,營業所得之反應係數會隨市場規模之擴大與經驗之累積 而增加。此項結果也間接支持了會計品質有逐年提昇之趨勢。反之,非營利所得,在股市波動劇烈,周轉率較高,交易金額較大時,扮演著重要之角色。此項結果亦支持了非營業所得於經濟景氣較差,市場風險較高時,扮演著重要角色。本研究之結果,不唯說明了經濟因子與合計品質為影響會計資訊內涵之主要變數,亦提供未來研究控制與解釋會計資訊內涵研究之基礎。
     This paper discusses the possible reasons of changes in returns / earnings association for different periods in Taiwan. The fast boom in economy and rapid growth in accouting environment are argued as the explanations. Annual returns/earnings regression for the period from 1982 to 1992, a period with significant changes in market's factors, are examined. The results show that stock returns are positively associated with accounting earnings for every year. Both operating and non-operating incomes provide information to the market. However, returns/earnings association varie from year to year possible due to changes of several market factors. The Rs and F values of yearly returns/earnings regression are negatively related to the variance of stock market. The Rs and F values also decrease when the market trades heavily.Earnings response coefficients increase with market size, interest rate, marketvariance and trading volume. The study also presents that coefficient of operating income is sensitive to market size and calendar year. This phenomenon suggests that accounting quality may have been improved gradually. The coefficient of non-operating income is positively related to the market variance, stock market growth, trading volume and turnover rate. Yet it is negatively associated with economic growth rate. These results also imply that non-operating income plays an important role during heavy trading or risky years. Conversely, non-operating income is less important as the economy booms. The study concludes that accounting information quality has been gradually improved in the past decade. The role of operating income becomes more important as the market maturing. The study also suggests that returns/earnings assoication in Taiwan is sensitive to the economic growth and market risk.
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.Lev, B.、Ohlson, J.(1982)。Market-Based Empirical Research in Accounting: A Review, Interpretation and Extension。Journal of Accounting Research,20(Supplement),249-322。  new window
6.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
7.朱立倫(19960200)。Reconsideration for the Relationship between Earnings and Stocks Returns in Taiwan。臺大管理論叢,7(1),163-185。new window  new window
8.Dontoh, Alex、Ronen, J.(1993)。Information Content of Accounting Announcement。Accounting Review,68(4),857-869。  new window
9.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
10.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
11.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
12.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
13.Lev, B.(1990)。The Usefulness of Earnings: Lessons and Directions from two Decades of Empirical Research。Journal of Accounting Research。  new window
14.Holthanse, Robert W.、Verrecchia, Robert E.(1990)。The effect of informedness and consensus on price and volume behavior。The Accounting Review,65(1),191-208。  new window
15.Beaver, W.、Kettler, P.、Scholes, M.(1970)。The Association between Market Determined and Accounting Determined Risk Measures。The Accounting Review,45(4),654-682。  new window
16.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.Atiase, R. K.(1980)。Predisclosure Information Asymmetries, Firms Capitalization, Earnings Reports, and Security Price Behavior。Berkley:University of California。  new window
3.Ball, R.、Kothari, S. P.(1989)。Security Returns Around Earnings Announcements。University of Rochester。  new window
4.Bernard, V. L.(1990)。Capital Market Research During the 1980'2: A Critical Review。University of Michigan。  new window
5.Choi S. K.、Jeter, D. C.(1990)。The Effects of Qualified Audit Opinions on Earnings Response Coefficients。Vanderbilt University。  new window
6.Dontoh, Alex、Ronen, J.(1992)。Trading Volume and Price Reaction to Information Content of Public Disclosures。  new window
7.Easton, P.、Harris, T.(1989)。Evidence of Accounting Earnings as an Index of Change in Value。G.S.B., Columbia University。  new window
8.Easton, P.、Zmijewski, M. E.。On the Estimation of Response Coefficients。  new window
9.Hsu, S. C.(1993)。Incremental Information Content of Nonoperating Income。SooChow University。  new window
10.Ohlson, J. A.(1988)。Accounting Earnings, Book Value, and Dividends: The Theory of the Clean Surplus Equation。Columbia University。  new window
11.Ohlson, J. A.(1989)。The Theory of Value and Earnings, and An Introduction to the Ball-Brown Analysis。Columbia University。  new window
12.Ryan, S.(1989)。The Effect of Aggregate Accounting Measurements on the Timeliness and Informativeness of Annual Earnings。Yale University。  new window
13.Wang, Y. L.(1994)。Association Between Returns and Earnings: Size Adjusted Model。NTU。  new window
14.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
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
圖書
1.Ronen, J.、Sadan, S.(1981)。Smoothing Income Number: Objective, Means, and Implications。Mass.:Addison-Wesley Publishing Co.。  new window
 
 
 
 
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