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題名：持續與非持續盈餘反應係數之研究
書刊名：會計評論
作者：金成隆 引用關係／鄭丁旺 引用關係
作者(外文)：Chin, Chen Lung／Cheng, Ting-wong
出版日期：1999
卷期：31
頁次：頁19-42
主題關鍵詞：持續性；非持續性與傳統盈餘反應係數；無母數雲狀迴歸加法性模型；Permanent；Transitory；Traditional eamings response coefficient；Non-parametric regression；Spline additive model
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  • 被引用次數被引用次數:期刊(9) 博士論文(1) 專書(0) 專書論文(0)
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  • 點閱點閱:33
損益表中之盈餘，實係由各持續性互異之組成分子所彙總而成。本文旨在探討 持續與非持續盈餘反應係數之相關問題，包括:(1)二者之盈餘反應係數是否相同? (2) 系統 性風險等各種影響傳統盈餘反應係數的各種因素，對於盈餘中，持絨度不同之各組成分子的 盈餘反應係數之影響是否互異?(3) 傳統盈餘反應係數、 持續性盈餘反應係數與非持續性盈 餘反應係數三者之開係為何? 以及 (4) 探討持續、非持續盈餘與股價之關聯性時， 如何緩 和模式認定錯誤所產生之不利影響。 研究結果發現:1 持續性盈餘反應係數大於非持續性盈 餘反應係數，(2) 系統性風險對於持續性盈餘反應係數與非持續性盈餘反應係數之影響互異 ，(3) 傳統盈餘反應係數介於持續性盈餘反應係數與非持續性盈餘反應係數之間，且為此二 者的加權平均數。而此加權平均數係指未預期持續性盈餘之變異佔公司盈餘總變異之比率， (4) 使用無母數迴歸似可緩和模式認定誤差之現象，進而提高盈餘對股價之解釋力、解釋另 一盈餘 / 報酬關聯性偏低的原因。
This paper studies the differential effects of permanent and transitory earnings components on Taiwan Stock Exchange companies' security returns. It also explores three related research questions: (1) do earnings response coefficients of permanent and transitory components of earnings (hereafter PERC and TERC) vary with interest rate and systematic risk coefficient, (2) what are the relationships among traditional ERC ' PERC and TERC, and (3) with significant difference in ERC's between the two earnings components and non-linearity of earnings-return relationship, how do we alleviate the adversary effect of model specification error on measuring earnings-returns relationships? Our findings indicate the followings: (1) PERC is significantly greater than TERC. Also, the systematic risk coefficient has differential effect on PERC and TERC, (2) traditional ERC is a weighted average of PERC and TERC, and is thus greater than (or equal to) TREC but less than (or equal to) PERC, where the weights are the ratios of the variances of PERC and TERC, respectively, (3) non-parametric spline additive regression model could reduce specification error and enhance the power for tests of earnings-returns relationships.
期刊論文
1.Fried, D.、Givoly, D.(198210)。Financial analysts' forecast of earnings: A better surrogate for market expectations。Journal of Accounting and Economics，4(2)，85-107。  new window
2.Ali, A.、Zarowin, P.(1992)。Permanent Versus Transitory Components of Annual Earning and Estimation Error in Earnings Response Coefficients。Journal of Accounting and Economics，15，249-264。  new window
3.Beaver, W.、Lambert, R. A.、Ryan, S.(198707)。The Information Content of Prices: A Second Look。Journal of Accounting and Economics，9(2)，139-158。  new window
4.Cheng, C. J.、Cheung, J. K.、Gopalakrishnan, V.(1993)。On the Usefulness of Operation Income, Net Income and Comprehensive Income in Explaining Security Returns。Accounting and Business Research，23(91)，195-203。  new window
5.Cheng, A.、Hopwood, W. S.、McKeown, J. C.(199207)。A Specification Analysis of the Unexpected Earnings Response Regression Model。The Accounting Review，67，579-598。  new window
6.Freeman, R.、Tse, S.(1989)。The Multi-period Information Content of Accounting Earnings: Confirmations and Contradictions of Previous Earnings reports。Journal of Accounting Research，27(Supplement)，85-108。  new window
7.Lieber, Z.、Melnick, E. I.(1983)。The Filtering of Transitory Noise Earning Numbers。Journal of Forecasting，2(4)，331-350。  new window
8.Barth, M. E.、Beaver, W.、Wolfson, M.(1990)。Components of Earnings and the Structure of Bank Share Prices。Financial Analysts Journal，46(3)，53-60。  new window
9.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
10.Lev, Baruch(1989)。On the Usefulness of Earnings and Earnings Research: Lessons and Directions from Two Decades of Empirical Research。Journal of Accounting Research，27(Supplement)，153-192。  new window
11.Strong, N.、Walker, M.(1993)。The Explanatory Power of Earnings and Stock Returns。The Accounting Review，68(2)，385-399。  new window
12.Kormendi, Roger、Lipe, Robert(1987)。Earnings Innovations, Earnings Persistence, and Stock Returns。Journal of Business，60(3)，323-345。  new window
13.Freeman, R. N.(1987)。The Association between Accounting Earnings and Security Returns for Large and Small Firms。Journal of Accounting and Economics，9(2)，195-228。  new window
14.Beaver, William、Lambert, Richard、Morse, Dale(1980)。The information content of security prices。Journal of Accounting and Economics，2(1)，3-28。  new window
15.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society，48(4)，817-838。  new window
16.Collins, D. W.、Kothari, S. P.(1989)。An Analysis of Intertemporal and Cross-sectional Determinants of Earnings Response Coefficients。Journal of Accounting and Economics，11(2/3)，143-181。  new window
17.Fridman, J. H.、Stuetzle, W.(198112)。Projection Pursuit Regression。Journal of American Statistical Association，76(376)，817-823。  new window
18.Abdel-Khalik, A. R.(1990)。Specification Problems with Information Content of Earnings: Revisions and Rationality of Expectations and Self-selection Bias。Contemporary Accounting Research，7(1)，142-172。  new window
19.Stinson, C. H.、Beaver, W. R.、McAnally, M. L.(199703)。The Information Content of Earnings and Prices: A Simultaneous Approach。Journal of Accounting & Economics，23(1)，53-81。  new window
20.Morton, R. M.(1998)。The Incremental Informativeness of Stock Prices for Future Accounting Earnings。Contemporary Accounting Research，15(1)，57-82。  new window
會議論文
1.張仲岳(1998)。盈餘持續性與股價關聯性之研究。一九九八會計新環境國際研討會。東吳大學會計系。  延伸查詢new window
研究報告
1.Beneish, M. D.、Harvey, C. R.(1992)。The Specification of the Earnings Returns Relation。Duke University。  new window
2.Lipe, R.、Kormendi, R.(1991)。The Long Horizon Properties of Annual Earnings: An Analysis of Persistence and Valuation。University of Michigan。  new window
3.Ramakrishnan, R. T.、Thomas, J. K.(1991)。Valuation of Permanent, Transitory and Price-irrelevant Components of Reported Earnings。Columbia University。  new window
學位論文
1.孫幸琪(1994)。營業淨利、淨利及綜合淨利於解釋股票報酬有用性之比較：臺灣股市之實證研究(碩士論文)。國立政治大學。  延伸查詢new window
2.陳志愷(1992)。盈餘反應係數探索性之研究--臺灣股票市場之實證分析(碩士論文)。國立政治大學。  延伸查詢new window
3.王毅偉(1997)。營業而來的運用資金及現金流量增額資訊內涵之研究(碩士論文)。國立政治大學。  延伸查詢new window
4.趙秋美(1996)。會計盈餘與現金盈餘相對資訊內涵之研究(碩士論文)。國立政治大學。  延伸查詢new window
5.Regier, P. R.(1988)。The Differential Effects of Unexpected Permanent and Transitory Earnings Changes of Equity Returns(博士論文)。Illinois University。  new window
6.徐淑卿(1993)。臺灣股票市場『營業外所得』增額資訊內涵之研究(碩士論文)。東吳大學。  延伸查詢new window
圖書
1.Hastie, T. J.、Tibshirani, R. J.(1990)。Generalized Additive Models。London：Chapman & Hall。  new window
2.黃敏助(1991)。證券市場在轉型期的投資策略。鑫典。  延伸查詢new window
3.Watts, Ross L.、Zimmerman, Jerold L.(1986)。Positive Accounting Theory。Prentice-Hall, Inc.。  new window
 
 
 
 
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