本文旨在探討盈餘與報酬之間的非線性關係。由於以往的研究大多假設盈餘與報酬為線性關係，可能造成估計之係數偏誤，並使盈餘的解釋力降低，因此本文希望重新檢討盈餘與報酬的函數關係，在台灣股市究竟以線性或非線性為當。
本文以民國88第二季至民國90年第三季之上市公司為樣本，分別以線性模型及非線性模型進行分析比較，所得之結果如下：
1.盈餘與報酬之間為非線性之關係，且為S型之函數關係，但當未預
期盈餘的絕對值越小，S型效果越不明顯。
2.小規模公司較大規模公司更適用S型模型。
3.當控制盈餘持續性、盈餘可預測性、風險及成長機會四項變數後，
S型效果對盈餘反應係數仍有最大影響力，但並未顯著。

The purpose of this study is to explore the nonlinear relationship between earnings and stock price returns. Previous studies often consider relation between earnings and stock price returns to be linear; however, this hypothesis may bias estimated coefficients and lower the explanatory power of earnings. As a result, this study makes efforts to reinvestigate whether linear or nonlinear relationship between earnings and stock price returns is appropriate.
The sample consists of firms traded in the Taiwan Stock Exchange between the second season of 1999 and the third season of 2001. The relation between earnings and stock price returns is studied under linear regression model and nonlinear regression model separately. The findings are as follows:
1. The functional relation between earnings and stock price returns is S-shaped. However, as the absolute value of unexpected earnings gets smaller, the S-shape becomes less significant.
2. The S-shaped model is more appropriate for the companies of small size than the large ones.
3. After controlling persistence, predictability, risk, and growth opportunity, S-shape effect is still most influential in earnings response coefficient but is not significant statistically.

目錄
第一章 緒論…………………………………………………………………1
第一節 研究動機…………………………………………………………1
第二節 研究目的…………………………………………………………3
第三節 本文架構…………………………………………………………4
第四節 研究流程…………………………………………………………5
第二章 文獻探討……………………………………………………………7
第一節 外國文獻…………………………………………………………7
第二節 國內文獻…………………………………………………………19
第三章 研究方法……………………………………………………………27
第一節 理論基礎及假設…………………………………………………27
第二節 變數定義…………………………………………………………30
第三節 迴歸模型及分析方法……………………………………………34
第四節 樣本來源及期間…………………………………………………38
第四章 實證結果與分析……………………………………………………41
第一節 各變數之敘述性統計資料分析…………………………………41
第二節 迴歸分析…………………………………………………………64
第三節 各產業及其他影響盈餘反應係數之因素之實證結果…………80
第五章 結論與建議…………………………………………………………85
第一節 結論………………………………………………………………85
第二節 研究限制…………………………………………………………86
第三節 研究建議…………………………………………………………86
參考文獻……………………………………………………………………88

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