臺灣博碩士論文加值系統

異常應計項目是管理當局在一般公認會計原則規範的彈性下，運用其裁決權所選擇的會計方法及程序所造成的結果。近年來關於異常應計項目的研究文獻中，Subramanyam（1996）證明異常應計項目確實可以傳遞有關未來獲利性的私有資訊，但不代表市場對於異常應計項目與未來獲利性（如盈餘）間的關係已給予適當的評價。Sloan（1996）檢驗總應計項目的市場評價，發現市場對於盈餘內具較低持續性的應計項目並沒有完全適當的評價，並且在盈餘宣告後會高估總應計項目的價值，然而Sloan（1996）並未研究市場的高估是否導因於異常應計項目、正常應計項目或兩者皆同時影響。以前的研究文獻並未探討在非特定情形下，市場對於異常應計項目的評價情形，因而促成本研究的研究動機。
本研究以民國85年到民國88間具有完整財務資料的135家臺灣上市公司為研究對象，採用DeFond and Park（2001）模型來估計異常應計項目，實證結果發現：（1）投資人可分析出盈餘變動中異常應計項目的性質，以反應出盈餘真正的「資訊內涵」。（2）臺灣股票市場於盈餘宣告期間已適當的評價異常應計項目，並且在盈餘宣告後不會高估異常應計項目。基於以上的結果，可深入瞭解於一般情形下（非特定事件）臺灣證券市場對異常應計項目會如何反應與評價。

目 錄

第一章 緒論
第一節 研究動機 1
第二節 研究目的 4
第三節 論文架構 5
第二章 文獻探討
第一節 盈餘反應係數決定因素的相關研究 7
第二節 異常應計項目衡量方法的相關研究 12
第三節 市場對應計項目評量的相關研究 19
第三章 研究方法
第一節 研究假說 26
第二節 名詞定義與解釋 32
第三節 樣本期間與選樣標準 33
第四節 異常應計項目的衡量 37
第五節 其他變數的定義 39
第六節 模式的建立 46
第四章 敘述性統計與實證結果及分析
第一節 樣本敘述統計量 48
第二節 異常應計項目的性質對ERC的影響 53
第三節 盈餘宣告後股價持續反應與異常應計項目的關係 57
第五章 結論與建議
第一節 結論 63
第二節 建議 64
參考文獻
參考文獻 65

表目錄

表3-1 樣本公司一覽表 35
表4-1 累積異常報酬、未預期盈餘及異常應計項目變動的敘述性
統計值 48
表4-2 分組後各組變數的敘述性統計值 49
表4-3 ERC控制變數的敘述性統計值 51
表4-4 風險變數的敘述性統計值 52
表4-5 迴歸方程式（3-1）的分析表 53
表4-6 迴歸方程式（3-2）的分析表 54
表4-7 迴歸方程式（3-2）的分析表2 54
表4-8 迴歸方程式（3-3）的分析表 56
表4-9 盈餘宣告後的累積異常報酬 58
表4-10 迴歸方程式（3-4）的分析表 62

圖目錄

圖1-1 研究架構 6
圖3-1盈餘資訊造成股價變動的趨勢圖 28
圖3-2盈餘資訊造成股價變動的比較趨勢圖 29
圖3-3盈餘資訊造成股價變動的比較趨勢圖 30
圖4-1 CAR趨勢圖 59

一、西文部分
Atiase , R. K. 1985. Predisclosure Information, FirmCapitalization, and Security Price Behavior Around Earnings Announcements. Journal of Accounting Research23(Spring)：21-36.

Ball, R. and P. Brown. 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research 6 (Autumn)：159-178.

Bernard, V. 1987. Cross-sectional dependence and problems in inference in market-based accounting research. Journal of Accounting Research 25 (Spring)：1-48.

Bernard, and D. J. Skinner. 1996. What motivates managers’ choice of discretionary accruals? Journal of Accounting and Economics 22(August-December)：313-325.

Beaver, W., R. and D. Morse. 1980. The Information Content of Security Prices. Journal of Accounting and Economics 2：3-28.

Beaver, W., R. and S. Ryan.1987. The Information Content of Security Prices：A Second Look. Journal of Accounting and Economics 9：139-158.

Bowen, R.M., D. and L.A. Daley. 1987. The incremental information content of accrual versus cash flows. Accounting Review 62：723-747.

Brown, L. D., and M. S. Rozeff. 1979. Adaptive expectations, time-series models, and analyst forecast revision. Journal of Accounting Research 17 (Autumn)：341-351.

Chaney, P. K., D.C. Jeter, and C.M. Lewis. 1996. The use of accruals in income smoothing：Permanent earnings hypothesis. Working paper(Vanderbilt University, Nashville, TN).

Collins, D., and S. P. Kothari. 1989. An analysis of intertemporal and cross-sectional determinants of earnings response coefficients. Journal of Accounting and Economics 11(July)：143-181.

Collins, D. W., and P. Hribar. 2000a. Earnings-based and accrual-based market anomalies: One effect or two? Journal of Accounting and Economics 29(February)：101-123.

DeAngelo, L. E. 1986. Accounting Numbers as Market Valuation
Substitutes: A Study of Management Buyouts of Public Stockholders. The Accounting Review 61(July)：400-420.

DeAngelo, H., L. DeAngelo, and D.J. Skinner. 1994. Accounting Choice in Troubled Companies. Journal of Accounting and Economics 17（January）：113-143.

Dechow, P.M., and R. G. Sloan. 1991. Executive incentives and the horizon problem：An empirical investigation. Journal of Accounting and Economics 14：51-89.

Dechow, P. 1994. Accounting earnings and cash flows as measures of firm performance：The role of accounting accruals. Journal of Accounting and Economics 18(July)：3-42.

Dechow, R. Sloan, and A. Sweeney. 1995. Detecting earnings
management. The Accounting Review 70(April)：193-225.

Dechow, Kothari, S. P., and R. Watts. 1998. The relation between earnings and cash flows. Journal of Accounting and Economics 25 (May)：133-168.

DeFond, M. L., and J. Jiambalvo. 1994. Debt covenant violation and manipulation of accruals. Journal of Accounting & Economics17 (January)：145-176.

DeFond, M.L. and C.W. Park. 1997. Smoothing Income in Anticipation of Future Earnings. Journal of Accounting and Economics：115-139.

DeFond, M.L. and C.W. Park. 2001. The reversal of abnormal accruals and the marketvaluation of earnings surprises. The Accounting Review 79(July)：375-404.

Easton, P., and M. Zmjewski. 1989. Cross-sectional variation in the stock market response to accounting earnings announcement. Journal of Accounting and Economics 11(July)：117-141.

Fama, E. F., and K. R. French. 1992. The cross-section of expected stock returns. Journal of Finance 47：427-465.

Fox, Harland. 1980. Top executive bonus plans(The Conference Board.New York).

Foster, G., C. Olsen, and T. Shevlin. 1984. Earnings releases, anomalies,and the behavior of security returns. The Accounting Review 59(October)：574-603.

Freeman, R., J. Ohlson, and S. Penman. 1982. Book rate-of-return and prediction of earnings change: An empirical investigation. Journal of Accounting Research 20(Autumn)：3-42.

Hagerman, Robert L. and Mark E. Zmijewski. 1979. Some economic determinants of accounting policy choice. Journal of Accounting and Economics 1：141-162.

Hagerman, R., M. Zmijewski, and P.Shah. 1984. The association between the magnitude of quarterly earnings forecast errors and risk-adjusted stock return. Journal of Accounting Research：526-540.

Hand, J., 1989. Did firms undertake debt-equity swaps for an accounting paper profit or true financial gain? The Accounting Review 64：587-623.

Healy, P., and K. Robert. 1985. The Effect of Bonus Schemes on Accounting Decisions Comment. Journal of Accounting and Economics 7(April)：85-112.

Healy, P.M. and K.G. Palepu. 1993. The effect of firms’ financial disclosure policies on stock prices. Accounting Horizons 7：1-11.

Healy, P. 1996. Discussion of a market-based evaluation of discretionary accruals models. Journal of Accounting Research34(Supplement)：107-115.

Holthausen, R.W., 1990. Accounting method choice：opportunistic behavior, efficient contracting and information perspective. Journal of Accounting and Economics 12：207-218.

Hunt, A., S.E. Moyer, and T. Shevlin. 1995. Earnings smoothing and equity value. Working paper（University of Washington, Seattle, WA）.

Jones, J. 1991. Earnings management during import relief investigations. Journal of Accounting Research29(Autumn)：193-228.

Kormendi, R., and R. Lipe. 1987. Earnings innovations, earnings persistence and stock returns. Journal of Business 60(July)：323-345.

LeRoy, S. and R. Porter. 1981. The present value relation：Tests based on implied variance bounds. Econometrica 49,no. 3:557-74.

Miller, M., and Modigliani, F. 1961. Dividend policy, growth and valuation of shares. Journal of Business 34, no. 4:411-33.

Mishkin, F. 1983. A rational expectations approach to macroeconometrics :Testing policy effectiveness and efficient-markets models. Chicago ,IL：University of Chicago Press.

Rangan, S. 1998. Earnings management and the performance of seasoned equity offerings. Journal of Financial Economics 50(October)：101-122.

Shiller, R. J. 1981. Do stock price move too much to be justified by subsequent changes in dividends？ American Economic Review 71, no. 2:421-36.

Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings？The Accounting Review71(July)：289-316.

Subramanyam, K. R. 1996. The pricing of discretionary accruals. Journal of Accounting & Economics22(August-December)：249-282.

Swamy, P., 1970. Efficient inference in a random coefficient regression model. Econometrica 38：311-323.

Teoh, S. II., I. Welch, and T. J. Wong. 1998a. Earnings management and the underperformance of seasoned equity offerings. Journal of Financial Economics 50(October)：63-99.

Teoh, S. II., I. Welch, and T. J. Wong. 1998b. Earnings management and the long-run market performance of initial public offerings. Journal of Financial Economics 53(December)：1935-1974.

Watts, R. L., and J. L. Zimmerman. 1978. Towards a Positive Theory of the Determination of Accounting Standards. The Accounting Review53：112

Watts, R. L., and J. L. Zimmerman. 1986. Positive Accounting Theory.Englewood Cliffs, NJ：Prentice Hall.

Williams, J. B. 1938. The Theory of investment value. Cambridge, Mass.:Harvard University Press.

Wilson, G., 1986. The relative information content of accruals and cash flows: Combined evidence at the earnings announcement and annual report date. Journal of Accounting Research Supplement 24：165-200.

Wilson, G., 1987.The incremental information content of the accrual and funds component of earnings after controlling for earnings. The Accounting Review：293-322.

Xie, H. 2001. The mispricing of abnormal accruals. The Accounting Review76(July)：357-373.

二、中文部分
王正翔，2001，盈餘宣告前後未預期盈餘與股價報酬率的關聯性研究，私立東海大學企業管理研究所未出版碩士論文。

李淑華，1993，公司規模對異常報酬及盈餘反應係數的影響，國立臺灣大學會計研究所未出版碩士論文。

陳志愷，1992，盈餘反應係數探索性的研究－臺灣股票市場的實證分析，國立政治大學會計研究所未出版碩士論文。

馮志卿，1998，營運活動現金流量、應計項目與業外損益的盈餘持續性及市場效率研究，國立臺灣大學會計研究所未出版碩士論文。

劉賢修，1994，應計項目操縱對盈餘反應係數的實證研究，國立臺灣大學會計研究所未出版碩士論文。

鄭慧文，1998，季盈餘宣告對股價的影響，私立中原大學會計研究所未出版碩士論文。

鄭凌淇，1999，裁決性應計項目的資訊內涵，私立中原大學會計研究所未出版碩士論文。

蘇逸穎，1998，本期盈餘、預期未來盈餘和盈餘操縱的關聯性，國立臺灣大學會計研究所未出版碩士論文。