臺灣博碩士論文加值系統

本研究係從財務分析師之資訊中介者角度，針對分析師預測進行效率性測試，以公司實際盈餘與分析師預測盈餘間之差距，來探討分析師對盈餘持續性，尤其是應計項目持續性之認知；分析師在預測公司未來盈餘時，是否能夠分辨本期盈餘組成要素中有關應計項目與現金流量間資訊內涵之差異。 本研究分別將總應計項目分解成裁決性與非裁決性應計項目、流動性與非流動性應計項目、應收帳款變動數、應付帳款變動數、存貨變動數、折舊與攤銷費用及其他應計項目，分析各盈餘組成要素之實際盈餘持續性後，再測試分析師預測是否可有效率地反應出各盈餘組成要素間持續性不同之資訊內涵。
就各盈餘組成要素之實際盈餘持續性而言，實證結果顯示現金流量之盈餘持續性高於應計項目；非裁決性應計項目之盈餘持續性高於裁決性應計項目；流動性應計項目之盈餘持續性高於非流動性應計項目；而將應計項目依其經濟交易性質分解後個別表達，確實會增加其對預測未來盈餘之解釋力；應計項目中不同經濟交易性質之應收帳款變動數、應付帳款變動數、存貨變動數、折舊與攤銷費用及其他應計項目均發現具有顯著之預測次期盈餘能力，且其中應收帳款變動數之盈餘持續性還高於現金流量，但並不顯著。
經測試分析師預測是否可有效率地反應出各盈餘組成要素間持續性不同之資訊內涵後，發現雖然分析師傾向對各盈餘組成要素之持續性估計不足，分析師亦確實會分辨應計項目與現金流量；裁決性與非裁決性應計項目；流動性與非流動性應計項目；及不同經濟交易性質之應計項目組成要素間持續性之差異。然而分析師預測對各應計項目持續性之認知亦會受到公司特性影響而有所改變，例如分析師對盈餘變動幅度較小之公司並無法確實分辨應計項目與現金流量、裁決性與非裁決性應計項目、流動性與非流動性應計項目間之資訊內涵；而分析師對裁決性應計項目為正向操縱或盈餘管理程度較低之公司，並無法確實分辨總應計項目與現金流量間之資訊內涵。

This study tests predictions relating to the role of financial analysts in aiding investors’ assessment of the different valuation implications of the cash flow and accrual components of earnings. I directly evaluate the magnitude of the weights attached by analysts to earnings components (i.e. their estimates of persistence) relative to the weights implied by the earnings process (actual persistence). First, I investigate whether analysts’ forecasts correctly reflect the difference in persistence of accrual and cash flow components of earnings. Second, I investigate whether analysts’ forecasts reflect the difference in persistence of discretionary and non-discretionary components of accruals. Furthermore, different accrual components contain different information relating to future earnings; while aggregation of these accrual components masks this differential information content. Thus, I investigate whether analysts’ forecasts reflect the difference in persistence of various accrual components.
My findings suggest that analysts’ forecasts do not appear to fully incorporate the information in prior earnings. Analysts do distinguish between accrual and cash flow components; discretionary and non-discretionary accrual components; current and non-current accrual components; and various accrual components of earnings although they generally underweight the information in these earnings components. I find that disaggregating earnings into cash flow and the major components of accruals (change in accounts receivable, change in inventory, change in accounts payable, depreciation and amortization, and other accruals) significantly enhances earnings’ predictive power.

摘要…………………………………………………………………..…………..Ⅰ
章節目錄………………………………………………………..……………..…Ⅲ
圖表目錄………………………………………………………..………………..Ⅳ
第一章 緒論………………………………………………………….………… 1
第一節 研究動機與目的………………………………………...….. 1
第二節 研究問題………………………………………………….… 4
第三節 研究架構……………………………………………………. 5
第二章 文獻探討………………………………………………………………. 7
第一節 分析師預測之效率性………………………………………. 7
第二節 應計項目與現金流量之增額資訊內涵……………… ….. 12
第三節 分析師預測對應計項目持續性之認知……………………18
第三章 研究方法………………………………………………………………21
第一節 觀念性架構…………………………………………………21
第二節 研究假說……………………………………………………23
第三節 變數衡量……………………………………………………26
第四節 實證模型……………………………………………………36
第五節 研究期間、樣本選取與資料來源…………………………40
第四章 實證研究結果…………………………………………………………44
第一節 敘述性統計及相關性分析…………………………………44
第二節 實證結果分析………………………………………………50
第三節 敏感性分析…………………………………………………58
第五章 結論、研究限制與建議………………………………………………68
第一節 研究結論……………………………………………………68
第二節 研究限制……………………………………………………71
第三節 研究建議……………………………………………………72
參考文獻…………………………………………………………………………74
圖表目錄
圖1-1 研究流程圖…………………………………………………………...... 6
圖3-1 本研究之觀念性架構圖……………………………………………….22
表3-1 樣本公司篩選過程彙總表…………………………………………….41
表3-2 本研究所有樣本公司產業年度分布狀況表………..………………...42
表3-3 用以估計Modified Jones Model中參數估計值之樣本公司產業年度
分布狀況表……..…………………………………………..………....42
表4-1 各變數之敘述性統計值…………………………………………….....46
表4-2 實證模型1－自變數之相關係數矩陣………………………….…….47
表4-3 實證模型2－自變數之相關係數矩陣………………………….…….48
表4-4 實證模型3a－自變數之相關係數矩陣………………………………49
表4-5 實證模型3b－自變數之相關係數矩陣………………………………49
表4-6 應計項目與現金流量之盈餘持續性差異…………………………….51
表4-7 裁決性應計項目與非裁決性應計項目之盈餘持續性差異……….…53
表4-8 流動性應計項目與非流動性應計項目之盈餘持續性差異……….…56
表4-9 應計項目各組成要素之盈餘持續性差異…………………………….57
表4-10 區分當期實際盈餘為正或負之盈餘持續性差異…………………….60
表4-11 區分當期實際盈餘變動幅度大小之盈餘持續性差異……………….61
表4-12 區分當期裁決性應計項目為正向或負向操縱之盈餘持續性差異….64
表4-13 區分當期盈餘管理程度高低之盈餘持續性差異…………………….65
表4-14 區分公司規模大小之盈餘持續性差異……………………………….67

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