臺灣博碩士論文加值系統

　　本研究以民國86-90年間共968筆觀察值，探討市場對於三種盈餘時間型態：年度盈餘持續增加、年度盈餘持續達成或超越管理當局盈餘預測以及年度盈餘平穩性之反應，以及盈餘品質對於投資人在解讀此三種盈餘時間型態之影響。此外，本研究採用Dechow and Dichev (2002)之應計項目估計誤差與Kothari et al. (2002)績效調整之裁決性應計數做為盈餘品質之衡量。研究結果發現，在控制了當期盈餘資訊及成長性與風險之代理變數後，市場對於年度盈餘持續增加次數愈多之公司給予較低之本益比，但對持續達成或超越管理當局盈餘預測次數愈多及盈餘愈平穩之公司給予較高之本益比。其次，三種盈餘時間型態彼此間具有增額資訊內涵。此外，不論採取何種盈餘品質衡量，若盈餘品質愈高，其本益比愈高。再者，相較於三種盈餘時間型態，盈餘品質仍具有增額資訊內涵。最後，儘管投資人在考量當期盈餘資訊時不會忽略盈餘品質，但在解讀特定盈餘時間型態時並未考量盈餘品質之差異。

　　 This study investigates whether the pricing effects associated with three earnings patterns (increasing annual earnings, annual earnings that consistently meet or beat management forecasts, and smooth earnings) are related to each other and, separately, to the quality of the underlying earnings. The sample comprises 968 firm-year observations during 1997-2001. The study measures earnings quality in two ways: the standard deviation of the past five years regression residuals from Dechow and Dichev (2002) accrual estimation errors model and performance-adjusted discretionary accruals based on results in Kothari et al. (2002). Controlling for other variables known to affect earnings multiples, the result of empirical study present that earnings multiples are increasing for firms whose earnings consistently meet or beat management forecasts and reported smooth earnings, but decreasing in the number of years that the firm reports increasing annual EPS. In addition, the market rewards high quality earnings with price premiums. We also identify distinctly-priced incremental elements of two patterns (consistently increasing annual earnings and meet or beat management earnings forecasts) and earnings quality. Finally, contrary to our expectation, investors do not appropriately interpret the earnings patterns conditionally on the signals of earnings quality.

目　　錄
第一章　緒論
第一節　研究動機...............................................1
第二節　研究目的與架構.........................................7
第三節　論文架構..............................................11
第二章　文獻探討
第一節　盈餘時間型態與股價之關聯性............................12
第二節　盈餘品質之衡量方法....................................18
第三節　盈餘品質與股價之關聯性................................30
第四節　盈餘時間型態與盈餘品質對股價之交互影響................35
第三章　研究方法
第一節　研究假說之發展........................................36
第二節　實證模式之導出........................................40
第三節　實證模式之設定........................................44
第四節　樣本選取..............................................59
第四章　實證結果
第一節　敘述統計..............................................61
第二節　單變量分析............................................67
第三節　假說一之實證結果......................................75
第四節　假說二之實證結果......................................79
第五節　假說三之實證結果......................................82
第六節　假說四之實證結果......................................85
第七節　假說五之實證結果......................................89
第八節　敏感度分析............................................98
第五章　研究結果、限制與建議
第一節　研究結果.............................................100
第二節　研究限制.............................................102
第三節　研究建議.............................................104
參考文獻.....................................................106
表　　次
表4-1　變數之敘述統計量.......................................62
表4-2　盈餘時間型態與未來盈餘之關聯性.........................65
表4-3　相關係數分析...........................................68
表4-4　ANOVA與t檢定結果.......................................70
表4-5　假說一之檢定－特定盈餘時間型態與股價之關聯性...........76
表4-6　假說二之檢定－三種盈餘時間型態與股價之關聯性...........80
表4-7　假說三之檢定－盈餘品質與股價之關聯性...................83
表4-8　假說四之檢定－盈餘時間型態及盈餘品質與股價之
關聯性.................................................86
表4-9　假說五之檢定－盈餘時間型態與盈餘品質
（應計項目估計誤差）對股價之交互影響...................91
表4-10　假說五之檢定－盈餘時間型態與盈餘品質（績效調整後
裁決性應計數）對股價之交互影響實證結果.................94
表4-11　假說五之額外測試－盈餘時間型態與盈餘品質對
股價之交互影響.........................................96
圖　　次
圖一　本論文之研究架構.........................................8
圖二　特定盈餘時間型態是否有增額之資訊內涵.....................9
圖三　三種盈餘時間型態之資訊內涵是否完全重合...................9
圖四　盈餘品質是否有增額之資訊內涵.............................9
圖五　盈餘品質與三種盈餘時間型態之資訊內涵是否完全重合........10
圖六　盈餘品質較高之盈餘時間型態相較盈餘品質較低之
盈餘時間型態是否有較多之資訊內涵........................10

中文文獻：
1.張天桂，民國91年，「裁決性應計項目與股票報酬之關聯性」，
臺北大學會計學研究所未出版碩士論文。
2.張俊仁，民國91年，「盈餘管理型態與長期股價報酬之關係」，
淡江大學會計學研究所未出版碩士論文。
3.馮志卿，民國87年，「營運活動現金流量、應計項目、業外損益之盈餘
持續性及市場效率研究」，我國大學會計學研究所未出版碩士論文。
4.鄭淩淇，民國88年，「裁決性應計項目的資訊內涵」，
中原大學會計學研究所未出版碩士論文。
5.謝佩儒，民國91年，「異常應計項目的迴轉性質與市場評價」，
成功大學會計學研究所未出版碩士論文。
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