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研究生:陳鈺人
研究生(外文):Yu-Jen Chen
論文名稱:智慧資本績效與企業評價:對證券分析之含意
論文名稱(外文):Intellectual Capital Performance and Business Valuation : Implications for Security Analysis
指導教授:楊朝旭楊朝旭引用關係
指導教授(外文):Chaur-Shiuh Young
學位類別:碩士
校院名稱:國立中正大學
系所名稱:會計學研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:102
中文關鍵詞:智慧資本績效資訊內涵市場反應投資組合
外文關鍵詞:Intellectual capital performanceInformation contentMarket reactionsPortfolio
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  本文之研究目的為探討智慧資本績效與企業評價之關聯性。首先,本研究比較傳統會計資訊以及智慧資本績效資訊,探討智慧資本績效資訊是否具有增額的資訊內涵。再者,若智慧資本績效資訊真的具有增額的資訊內涵,則股票市場對智慧資本績效資訊之反應是否符合理性定價假說。最後,若市場對於智慧資本績效資訊的反應不符合理性定價假說,則利用智慧資本績效較佳的投資組合是否可獲取正的異常報酬。
實證結果顯示相較於傳統會計資訊,智慧資本績效資訊較具有增額的資訊內涵。故證券分析師與投資人在制定投資決策時應可參考智慧資本績效資訊。再者股票市場能立即且正確反應智慧資本績效資訊。且購買並持有較高智慧資本盈餘所形成之投資組合,並不一定可獲取較高的異常報酬。故整體而言,證券分析師與投資人並無法根據公開資訊所計算的智慧資本績效資訊進行短期套利行為來獲取異常報酬。故未來投資分析時可考慮獲取其他公司內部的智慧資本非財務性的衡量來進行類似的分析,找尋有效的投資策略。

This study investigates the relationship between intellectual capital performance and business valuation. First, this paper compares traditional accounting information with intellectual capital performance information and explores whether there are incremental information meanings in intellectual capital performance information? Second, if there are incremental information meanings in intellectual capital performance information truly, whether the reaction of stock market to intellectual capital performance information is meeting rational pricing? Finally, if the reaction of stock market to intellectual capital performance information isn’t meeting rational pricing, whether exploiting portfolios of better intellectual capital performance can earn positive and extraordinary returns.
According to the result, it shows that first, there are more incremental information meanings in intellectual capital performance information than in traditional accounting information. Security analysts and investors can refer to intellectual capital performance information when they make decisions of investments. Second, stock market can react to intellectual capital performance immediately and correctly. Buying and holding portfolios of higher intellectual capital earnings is not sure earning more extraordinary returns. Overall, security analysts and investors doesn’t earn extraordinary returns by short arbitrage behaviors according to intellectual capital performance information calculated by public information. In the future, they can consider catching other non-financial measurement within companies in order to find effective tactics of investments.

目 錄
圖 目 錄 ii
表 目 錄 iii
第壹章 緒論 1
第一節 研究動機與目的 1
第二節 預期研究貢獻 4
第三節 論文架構與研究流程 5
第貳章 文獻探討 6
第一節 智慧資本的定義與分類 6
第二節 智慧資本的重要性 9
第三節 市場反應的相關文獻 22
第四節 研究延伸 30
第參章 研究方法 33
第一節 觀念性架構 33
第二節 研究假說之建立 37
第三節 變數衡量與定義 41
第四節 實證模型 46
第五節 投資組合 50
第六節 研究期間、樣本選取與資料蒐集 55
第七節 資料分析方法 56
第肆章 實證研究結果分析 60
第一節 樣本資料的彙總 61
第二節 智慧資本績效之增額資訊內涵檢定 63
第三節 市場反應檢定 72
第四節 投資組合檢定 75
第伍章 結論與建議 93
第一節 研究結論 93
第二節 研究限制 95
第三節 研究建議 96
參考文獻 98
圖 目 錄
【圖1-1研究流程圖】 5
【圖3-1 本研究架構】 34
【圖3-2 本研究架構】 35
【圖3-3 本研究架構】 36
【圖3-4 無形資產盈餘模式】 43
表 目 錄
表2- 1:智慧資本的定義與分類 7
表2- 2:國內外相關智慧資本重要性的文獻彙總表 13
表2- 3:國內外相關Mishkin test的文獻彙總表 24
表2- 4:本研究與國外研究之比較 32
表3- 1:假說一之假說檢定與預期方向 47
表3- 2:假說二之假說檢定與預期方向 49
表4- 1:樣本篩選過程表 61
表4- 2:樣本公司產業分佈狀況表 62
表4- 3:【模式1】至【模式3】各變數的敘述性統計量a 63
表4- 4:【模式1】至【模式3】變數相關係數表 65
表4- 5:【模式1】之迴歸分析結果a 67
表4- 6:【模式2】之迴歸分析結果a 68
表4- 7:模式(1.3)與模式(2.4)的JA- test檢定結果表a 70
表4- 8:【模式3】的迴歸分析結果表a 71
表4- 9:【模式4】與【模式5】各變數的敘述性統計量a 72
表4- 10:【模式4】與【模式5】變數相關係數表 73
表4- 11:【模式4】與【模式5】的迴歸分析結果表a 74
表4- 12:公司成長機會VS智慧資本盈餘投資組合之未來股票報酬 78
表4- 13:公司規模VS 智慧資本盈餘投資組合之未來股票報酬 81
表4- 14:市場風險VS智慧資本盈餘投資組合之未來股票報酬 84
表4- 15:【模式6】各變數的敘述性統計量a 88
表4- 16:【模式6】變數相關係數表 90
表4- 17:【模式6】的迴歸分析結果表a 92
表5- 1:實證研究結果彙總表 94

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