臺灣博碩士論文加值系統

本研究旨在探討盈餘品質與內部人交易對權益資金成本之影響，主要研究議題包括：(1)盈餘品質與權益資金成本之關係，依據盈餘品質的高低建立投資組合，進行資產訂價之測試，以及(2)此關係反映在內部人交易的結果；研究期間為1993至2004年，總樣本數為838家台灣上市櫃公司，涵蓋10個產業，總計4,679公司年。

實證結果發現：(1)盈餘品質與企業向外界募集資金時之權益資金成本間存在特定關聯，盈餘品質較好之企業或年度，投資人所要求的報酬率愈低，可以較低的權益資金成本取得融資。(2)盈餘品質與內部人交易正向影響權益資金成本，盈餘品質所引起的資訊風險卻會造成內部人與外部投資者資訊上的不對稱，以內部人買超尤為顯著。

This paper investigates the impcat of earnings quality and insider trading on cost of equity capital. A growing body of empirical work in the accounting literature argues that earnings quality, measured as the unsigned abnormal accrual, proxy for information risk that affects cost of capital. We examine this argument directly in two stages. In the first stage, we estimate the firm’s exposure to an earnings quality factor in the context of one-factor CAPM and Fama-French three factor model augmented by the return on a factor-mimicking portfolio that is long in low earnings quality firms and short in high earnings quality firm. In the second stage, we examine whether the earnings quality factor is priced and whether insider trading is more profitable for firms with higher exposure to that factor.

Generally speaking, we find evidence consistent with pricing of the earnings quality factor and insiders buying more profitably in firms with higher exposure to that factor.

第一章　　緒論．．．．．．．．．．．．．．．．．． 1
　　第一節　　研究動機與目的．．．．．．．．．．． 1
　　第二節　　研究問題．．．．．．．．．．．．．． 3
　　第三節　　研究架構．．．．．．．．．．．．．． 4
第二章　　文獻探討．．．．．．．．．．．．．．．． 6
　　第一節　　資訊風險與資本市場．．．．．．．．． 6
　　第二節　　應計項目與盈餘管理．．．．．．．．． 12
　　第三節　　內部人交易之相關文獻．．．．．．．． 16
第三章　　研究方法．．．．．．．．．．．．．．．． 25
　　第一節　　研究假說．．．．．．．．．．．．．． 25
　　第二節　　盈餘品質之衡量．．．．．．．．．．． 26
　　第三節　　實證模型．．．．．．．．．．．．．． 30
　　第四節　　樣本選取與資料來源．．．．．．．．． 35
第四章　　實證分析與結果．．．．．．．．．．．．． 39
　　第一節　　敘述性統計與相關係數分析．．．．．． 39
　　第二節　　複迴歸實證結果與分析．．．．．．．． 41
第五章　　結論與建議．．．．．．．．．．．．．．． 45
　　第一節　　研究結論．．．．．．．．．．．．．． 45
　　第二節　　研究限制與建議．．．．．．．．．．． 45
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