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研究生:陳冠良
研究生(外文):Kuan-liang Chen
論文名稱:收益性不動產產業營運現金流量(FundsFromOperations,FFO)資訊內涵之實證研究
論文名稱(外文):The Information Content of Funds From Operations (FFO) as the Performance Measure for Income-Producing Real Estate Operating Companies
指導教授:陳明吉陳明吉引用關係羅容恆羅容恆引用關係
指導教授(外文):Ming-chi ChenHenry Y. Lo
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:52
中文關鍵詞:資訊內涵盈餘營運現金流量績效衡量不動產投資信託
外文關鍵詞:funds from operationsperformance measurementinformation contentREITsnet income
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本文以臺灣的旅館業和百貨公司產業為研究標的對其淨收入和營運現金流量的資訊內涵做研究。美國不動產投資信託的全國協會 (National Association of Real Estate Investment Trust, NAREIT) 認為對收益性不動產經營管理公司而言,盈餘並不是一個非常有效的績效衡量標準。美國不動產投資信託的全國協會認為收益性不動產以歷史成本為基礎來折舊是不適當的,因為以歷史成本為基礎的折舊計算方法並無法反應出收益性不動產的真實價值。因此美國不動產投資信託的全國協會發起以營運現金流量 (Funds From Operations, FFO)作為對收益性的不動產管理公司經營表現的補充性的衡量標準。而FFO的計算方法為盈餘加上折舊費用並減掉銷售資產所得到的損益。因為旅館業和百貨公司業與美國不動產投資信託類似,都是以經營收益性的不動產為主要營業項目。所以我們以台灣的旅館業和百貨公司業為研究標的來針對美國不動產投資信託的全國協會的主張(營運現金流量有較高的資訊內涵)做實證研究。

本文研究結果顯示,雖然FFO 同股市表現聯有顯著相關,但與盈餘比較,FFO並無較強的資訊內涵且對於淨收入也無增額資訊內涵。此外,研究結果顯示折舊費用和銷售資產所得到的損益與股票價格並無顯著的相關。這結果說明,雖然FFO 排除了無資訊價值的會計資訊但它仍然無法對盈餘提供增額資訊內涵。因此,測試結果無法提供明顯的證據來支持FFO是一個較有資訊價值的收益性的不動產管理公司經營表現之績效衡量標準。

雖然我們沒有有力的證據支持FFO 是一個比淨收入更好的績效衡量指,但是FFO仍然提供有價值的資訊來衡量收益性不動產管理的公司的價值。最近通過的臺灣不動產證券化條例提供收益性不動產投資者一種新投資管道。雖然FFO不可能替代淨收入成為在臺灣不動產證券化條例下不動產管理公司的主要績效衡量指標,但FFO 還是能提供投資者有用的資訊來衡量這些不動產證券的價值。
This paper examines the information content of net income and cash flows for hotel and tourism industry and department store industry in Taiwan. The National Association of Real Estate Investment Trust (NATEIT) has suggested that Net Income is a misleading measure of operating performance for income-producing real estate operating companies. They assert that historical cost based depreciation is inappropriate for income-producing real estate because it is not correlated with changes in the value of those real estates. Thus, the NAREIT has promoted Funds From Operations (FFO) as a supplemental measure of operating performance. FFO is calculated as net income adding depreciation expense and excluding realized gain or loss from the sale of properties. Like the REITs, the hotel and department stores industry hold and operate income-producing real estate. We test the NAREIT proposal that FFO is a more informative measure for real estate operating companies by doing an empirical analysis for hotel industry and department store industry.

The results suggest that although FFO is associated with stock market performance, it is not relatively superior to Net Income or incrementally relevant beyond Net Income. Furthermore, results on testing of individual components in deriving FFO from Net Income show that both depreciation expenses and gain or loss from sale of properties is not associated with stock price performance. This indicates that FFO excludes non-value relevant accounting data. Therefore, the test results show little evidence in supporting NAREIT’s claim that FFO is a more informative measure for real estate operating companies.

Although we do not have strong evidence to indicate that FFO is a better performance measure than Net Income, it is still a value relevant information in determining the value of income-producing real estate managing companies. The recent passed Taiwan Real Estate Securitization Act provides investors a new channel to invest in income-producing real estate. While it is not likely that FFO will replace Net Income as the main performance measure of the securities under Taiwan Real Estate Securitization Act, FFO could provide investors helpful information in determining the value of these income-producing real estate securities.
CHAPTER 1 INTRODUCTION 1
1.1 Background 1
1.2 Objective 2
1-3 Statistic Method 3
1.4 Content 5
CHAPTER 2 U.S REAL ESTATE INVESTMENT TRUST AND FUNDS FROM OPERATIONS 6
2.1 U.S Real Estate Investment Trust 6
I. History of REITs 6
II. Forming and Operating a REIT 9
III. Types of REITs 11
2.2 Funds From Operations (FFO) 14
CHAPTER 3 LITERATURE REVIEW 20
3.1 Relative and Incremental Information Content 20
3.2 Previous Studies on Traditional Accounting-Based Information 21
I. Income 21
II. Cash Flows and Accruals 22
III. Related Studies in Taiwan 24
3.3 Previous Studies on Funds From Operations 25
CHAPTER 4 THEORETICAL FRAMEWORK AND EMPIRICAL MODEL 27
4.1 Research Structure 27
4.2 Testable Hypothesis 32
4.3 Variable Definitions 34
4.5 Sample 36
CHAPTER 5 EMPIRICAL RESULTS AND ANALYSIS 37
5.1 Descriptive Statistics and Correlation Analysis 37
5.2 Relative Information Content 40
5.3 Incremental Information Content 43

5.4 Information Content of Individual Components………………………… …..46
CHAPTER 6 CONCLUSION AND SUGGESTION 48
6.1 Conclusion 48
6.2 Recommandation 49
6.3 Research Limitation 50

Reference……………………………………………………………………… 52
Articles in English

Ball, R and P. Brown, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research, 1968, 6, 159-78.

Bergsman, S., Trying to Close the GAAP, CFO (www.cfo.com), Oct, 1999, 15:10, 22-3.

Bernard, V. L. and T. L. Stober, The Nature and Amount of Information Reflected in Cash Flows and Accruals, The Accounting Review, 1989, 62:4, 624-52.

Biddle, G. C., G. S. Seow and A. F. Siegel, Relative Versus Incremental Content, Contemporary Accounting Research, 1995, 12, 1-23.

Bowen, R. M., D. Burgstahler and L. A. Daley, The Incremental Information Content of Accrual Versus Cash Flows, The Accounting Review, 1987, 62:4, 723-47.

Brown, P. and J. W. Kennely, The Information Content of Quarterly Earnings: An Extension and Some Further Evidence, Journal of Business, 45:3, 403-15

Dechow, P. M., Accounting Earnings and Cash Flows as Measures of Firm Performance: The Role of Accounting Accruals, Journal of Accounting and Economics, 1994, 18, 3-42.

Dhaliwal, D., K. R. Subramanyam and R. Trezevant, Is Comprehensive Income Superior to Net Income as a Measure of Firm Performance, Journal of Accounting and Economics, 1999, 26, 43-67.

Gore, R. and D. M. Stott, Toward a More Informative Measure of Operating Performance in the REIT Industry: Net Income vs. Funds From Operations, Accounting Horizons, 1998, 323-339.

Graham, C. M. and J. R. Knight, Cash Flows vs. Earnings in the Valuation of Equity REITs, Journal of Real Estate Portfolio Management, 2000, 17-25.


Haw, I. M., D. Qi and W. Wu, The Nature of Information in Accruals and Cash Flows in an Emerging Capital Market: The Case of China, The International Journal of Accounting, 2001, 35, 391-406.

Joe, O. M., R. H. Litzenberger and R. W. McEnally, The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings, Journal of Accounting Research, 1977, 207-25.

Kallunki, J. P., M. Martikainen and T. Martikaninen, Accounting Income, Income Components and Market-to Book Equity Ratios: Finnish Evidence, The International Journal of Accounting, 1998, 33:3, 359-75.

Kothari, S. P. and J. L. Zimmerman, Price and Return Models, Journal of Accounting and Economics, 1995, 20, 155-92.

Livnat, J., and P. Zarowin, The Incremental Information Content of Cash Flow components, Journal of Accounting and Economics, 1990, 12, 25-46.

McEnroe, J., An Examination of Attitudes Involving Cash Flow Accounting: Implications for the Content of Cash Flow Statements, The International Journal of Accounting, 1996, 31:2, 161-74.

NAREIT, NAREIT White Paper on Funds From Operations, National Association of Real Estate Investment Trusts, Washington, D.C., April 2002.

Rayburn, J., The Association of Operating Cash Flow and Accoruals with Security Returns, Journal of Accounting Research, 1986, 24, 112-33

Vincent, L., The Information Content of Funds From Operations (FFO) for Real Estate Investment Trusts (REITs), Journal of Accounting and Economics, 1999, 26, 69-104.

Wilson, G. P., The Relative Information Content of Accruals and Cash Flows: Combined Evidence at the Earnings Announcement and Annual Report Release Date, Journal of Accounting Research, 1986, Supplement, 165-203.



Wilson, G. P., The Incremental Information Content of the Accruals and Funds Components of Earning After Controlling for Earnings, The Accounting Review, April, 1987, 293-322.

Articles in Chinese

Chang, I., Incremental Information Contents of Cash Flows and Accrual Items, Master Thesis of National Cheng-Kung University, 2001.

Lai, Y. C., The Incremental Information Content of Cash Flows, Master Thesis of National Jiao-Tong University, 2001.

Lo, H. C., Accruals, Cash Flows and Equity Values, Master Thesis of National Chung-Yuan University, 2002.

Pan. L. F., The Incremental Information content and Valuation of Accounting Earnings, Master Thesis of National Chong-Cheng University, 2000.
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