臺灣博碩士論文加值系統

論文名稱：盈餘與股價因果關係之實證研究　　　頁數：95
校系（所）組別：淡江大學 會計 學系碩士班
畢業時間及提要別： 88學年度第二學期碩士學位論文提要
研究生：李冠豪 指導教授：葉金成 博士
論文提要內容：
會計盈餘與股價之間的關係一直是會計與財管學者研究的重要課題。Ball＆Brown（1968）首開實證會計之風，將會計與財管連結，以實證證明盈餘具有資訊內涵。然至Beaver, Lambert＆Morse（1980），又以盈餘對非預期事件之反應落後股價反應，因此推論股價具有資訊內涵。而後Beaver, NcAnally＆Stinion（1997）又以為盈餘與股價都是受到資訊所影響，兩者之間具有互動關係。在此三種不同的主張下，使吾人存有疑問，究竟是盈餘影響股價或是股價影響盈餘抑或兩者相互影響。在這三種不同的基本假設前提下，盈餘與股價之定位為何，影響方向為何，若不確定，對相關研究之研究結果影響甚巨，故值得探討。
本研究擬以國內上市公司為樣本，以民國75年到87年為實證期間，利用葛蘭吉因果測試法，直接檢定盈餘與股價之影響方向，以驗證前述之研究假設並以提供後續研究此類關係者之參考。茲將本研究實證之結果彙整如下：
1.盈餘與股價之影響方向，以回饋關係居多、盈餘領先股價次之、股價領先盈餘再次之、而以獨立關係最少。
2.股價與盈餘皆有其資訊內涵，但因公司而異。
3.就資訊領先時間而言，盈餘領先股價3季，股價領先盈餘2季。
4.國內盈餘資訊內涵研究結果之不一致，可能導因於因果關係之不確定。且未考慮個別公司屬性而不當分組之下，將低估盈餘或股價之資訊內涵。
關鍵詞：資訊內涵、盈餘、股價、葛蘭吉因果

Title of Thesis : An Empirical Study for the Casuality Total page : 95
between Earnings and Stock Prices
Key word : information content、earnings、stock prices、Granger causality
Name of Institute : Tamkang University , Graduate Institute of Accounting
Graduate Date : June 12 , 2000 Degree Conferred : Master
Name of student : Lee Kuan-hao Advisor : Dr. Yeh Chin-chen
李冠豪 葉金成 博士
Abstract：
The relation between earnings and stock prices is always an important issue in accounting and finance. Ball＆Brown(1968) initially associate accounting and finance and prove the information content of earnings by an empirical study. Then Beaver, Lambert＆Morse(1980) infer the information content of stock prices upon the reaction of earnings to unanticipated events behind stock prices. Recently, Beaver, NcAnally＆Stinion（1997）suggest earning and stock price are jointly affected by information, they are interactive. Under the three claims, it makes us doubtful. What is the really relation between earnings and stock prices? Earnings lead stock prices, stock prices lead earnings or they are interactive. Under the three fundamental hypotheses, what is the role of earnings and stock prices? What is the direction of the information flow? If it is still unclear, the result of related research will be tremendously influenced.
Our samples are chosen from the firms traded in the Taiwan Stock Exchange from 1986 to 1998. We use Granger causality techniques testing samples to examine the direction of the information flow directly. Our findings are as follows.
1.The direction of information flow between earnings and stock prices: the most is the feedback; secondly, earnings leading stock prices; then stock prices leading earnings; and the least is the independent.
2.Earnings and stock prices have the information content respectively, but vary in different firms.
3.For the time span of information transmission, earnings lead stock prices with three seasons, and stock prices lead earnings with two seasons.
4.The inconsistent finding of those studies concerning the information content of earning in domestic may be attributed to the uncertainty of the causality between earnings and stock prices. In addition, it will underestimate the information content of earnings or stock prices by improper grouping techniques.

第一章 前言 1
第一節 研究動機 1
第二節 研究目的 3
第三節 基本研究架構 4
第四節 論文架構 6
第二章 文獻探討 7
第一節 盈餘與股價研究之發展 7
第二節 盈餘宣告的資訊內涵 11
第三節 股票價格的資訊內涵 21
第四節 盈餘反應係數決定因素 25
第五節 同時考慮盈餘與股價之資訊內涵 29
第三章 研究方法 32
第一節 研究設計和資料來源 32
第二節 單根檢定(UNIT ROOT TEST) 36
第三節 共整合(COINTERGRATION) 40
第四節 誤差修正模型（ERROR CORRECTION MODEL, ECM） 49
第五節 GRANGER因果關係(GRANGER CAUSALITY) 52
第四章 實證結果 56
第一節 時間序列穩定性檢定 56
第二節 長期穩定的均衡關係 61
第三節 誤差修正模型與一般化因果分析 67
第四節 因果關係之分析與探討 71
第五章 結論與建議 76
第一節 結論 76
第二節 研究限制 77
附 錄 A GRANGER因果關係檢定結果 78
附 錄 B ECM誤差模型檢定結果 83
參考文獻 92

中文部份
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3.郭娟華，「盈餘特性對統計盈餘預測模式準確性之影響」淡江大學會計學研究所未出版碩士論文，民國八十八年六月。
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英文部份
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