臺灣博碩士論文加值系統

決策有用性乃會計資訊之最高品質，會計資訊不僅反映企業過去之經營結果及目前之財務狀況，更有助於投資人評估企業未來之獲利能力及公司價值，若投資者能預期會計資訊與當期及未來股價報酬之關聯性，則對其決策必然有莫大幫助。本研究探討財務報表資訊（盈餘、應收帳款與存貨）具有資訊內涵與否，進而檢視市場效率，以驗證會計資訊是否可以作為投資決策的參考指標，並希望藉此協助投資人做更理性的投資。
本研究以台灣上市公司為研究對象，蒐集民國81年至民國86年之資料，共計333家上市公司，採用相關係數及複迴歸方法分析，並將樣本公司依產業別分成五大類檢定假說。
實證結果顯示，探討資訊內涵方面，以市場整體而言，盈餘、應收帳款及存貨均具有資訊內涵，應收帳款符合銷貨動力說之推論，存貨則符合缺貨模型；若依產業別分析，本研究的自變數對於塑膠石化業都不具資訊內涵，機械電子業則顯示盈餘有正相關，應收帳款符合銷貨動力說。檢視市場效率方面，市場整體而言，盈餘、總存貨及在製品之市場反應不足，若依產業別分析，除機械電子業之盈餘、在製品之市場反應不足，總存貨反應過度，市場對其餘產業則大部分已充分有效率反應。

From the perspective of the qualitative characteristics of accounting information, decision usefulness is viewed as the overriding criterion. Decision makers such as investors, creditors, and managers change their beliefs and behaviors in response to unexpected accounting information. Prior literature shows that investors react to financial reports, and accounting information is associated with contemporaneous stock returns. However, whether accounting information can be used to form investment portfolios and to earn abnormal returns depends on the efficiency of capital market. The purpose of this study is to examine whether the application of fundamental analysis in Taiwan stock market can yield significant abnormal returns. Specifically, we investigate the issues of information content and market efficiency by choosing three accounting signals(earnings, inventories, and accounts receivables), which reflect traditional rules of fundamental analysis.
Our sample includes 333 firms listed in Taiwan Stock Exchange from 1992 to 1997. OLS regressions are employed to explore the information contents of earnings, inventories, and accounts receivables. Regressions are also utilized to evaluate the extent of market efficiency. Moreover, our sample is partitioned into five industry subsamples to explore whether implication of accounting signals from different industries varies due to the diverse operating natures of firms.
The results indicate that all of the signals in this study contain information, and are associated with contemporaneous returns. In sum, our empirical findings support inventory stockout model and accounts receivable sales momentum concept. Surprisingly, earnings and accounts receivables of Machine-Electronic industry alone have information contents. Furthermore, regression coefficients of accounts receivable are consistent with sales momentum concept. Finally, investors of Taiwan stock market do not impound completely the implication of current earnings, inventories and work-in-process for future profitability of firms. Results also show that investors in the Machine-Electronic industry react to signals of earnings and work-in-process incompletely, and overreact to inventory changes.

第一章 緒論
第一節 研究動機與目的 1
第二節 研究問題 3
第三節 研究方法 3
第四節 研究貢獻 4
第五節 研究貢獻 5
第二章 基本理論及研究假說
第一節 基本理論 7
第二節 研究假說 18
第三章 研究方法論
第一節 觀念性架構 23
第二節 變數衡量 24
第三節 統計模式之建立 30
第四節 資料分析方法 34
第五節 研究期間與樣本選擇 35
第六節 資料蒐集與處理 39
第四章 實證研究結果分析
第一節 基本統計量分析 40
第二節 相關係數分析 45
第三節 複迴歸分析 53
第五章 結論與建議
第一節 研究結論 65
第二節 研究限制 68
第三節 建議 69
參考文獻
一、 中文部份 70
二、 英文部份 71
附錄
異常報酬模式 73

中文參考資料
1、 池佳曄，＜應收帳款與銷貨、盈餘關聯性之實證研究＞，東吳大學會計研究所未出版碩士論文，民國八十六 年
2、 余尚武，＜台灣證券市場股票上市公司盈餘宣告所含資訊內容之研究＞，國立台灣大學商學研究所未出版碩 士論文，民國七十五年
3、 吳永富，＜財務報表資訊與股票超額報酬關係之研究＞，國立政治大學會計研究所未出版碩士論文，民國八 十三年
4、 邱玉玫，＜運用財務報表分析預測股票超額報酬率之研究＞，國立台灣大學會計研究所未出版碩士論文，民 國八十一年
5、 林麗貞，＜存貨與銷貨及盈餘關聯性研究＞，國立政治大學會計研究所未出版碩士論文，民國八十五年
6、 張鴻基，＜台灣地區股票上市公司每季盈餘時間數列特性及資訊內容之研究＞，國立台灣大學商學研究所未 出版碩士論文，民國七十二年
7、 陳志愷，＜盈餘反應係數探索性之研究-台灣股票市場之實證分析＞，國立政治大學會計研究所未出版碩士論 文，民國八十一年
8、 許嘉琳，＜運用會計資訊預測股票異常報酬＞，國立政治大學會計研究所未出版碩士論文，民國八十五年
英文參考資料
1、 Abasbanell, J. and B. Bushee, " Abnormal Returns to A Fundamental Strategy. " The Accounting Review (January 1998): 19-45.
2、 Ball, R. and P. Brown, " An Empirical Evaluation of Accounting Income Numbers. " Journal of Accounting Research (Autumn 1968): 159-178.
3、 Beaver, W. H., " The Information Content of Annual Earnings-- Returns Studies. " Journal of Accounting Research (Supplement 1968): 67-92.
4、 Beaver, W., R. Clarke, and W. Wright, " The Association between Unsystematic Securities Returns and the Magnitude of the Earnings Forecast Error. " Journal of Accounting Research (Autumn 1979): 316-340.
5、 Bernard, V. L., and J. Noel, " Do Inventory Disclosures Predict Sales and Earning? " Journal of Accounting, Auditing & Finance (Spring 1991): 145-181.
6、 Blinder, A. S., " Can the Production Smoothing Model of Inventory Be Saved? " The Quarterly Journal of Economics (August 1986): 431-453.
7、 Cootner, P. H., " Stock Prices：Random versus Systematic Changes. " Industrial Management Review (Spring 1962): 24-45.
8、 Holthausen, R., and D. Larcker, " The Prediction of Stock Returns Using Financial Statement Information. " Journal of Accounting and Economics (June/September 1992): 373-411.
9、 Kahn, J. A., " Inventory and the Volatility of Production. " The America Economic Review (September 1987): 723-747.
10、Lev, B., " On the Usefulness of Earnings, Lessons and Directions from Two Decades of Empirical Research. " Journal of Accounting Research (Supplement 1989)
11、Ou, J., and S. Penman, " Financial Statement Analysis and the Prediction of Stock Returns. " Journal of Accounting and Economics (November 1989): 295-330.
12、Samuelson, Paul A., " Proof that Properly Anticipate Prices Fluctuate Randomly. " Industrial Management Review (Spring 1965): 41-49.
13、Samuelson, Paul A., " Proof that Properly Discounted Present Values of Assets Vibrate Randomly. " Bell Journal of Economics and Management Science (Autumn 1973): 369-374.
14、Stober, T. L., " The Incremental Information Content of Receivables in Predicting Sales, Earnings, and Profit Margins, " Journal of Accounting, Auditing and Finance (Fall 1993): 447-473.