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研究生:丁雪娥
研究生(外文):Hsueh-O Ting
論文名稱:保守性會計下會計資訊與股票報酬之關聯性
論文名稱(外文):The Relation Between Accounting Data and Stock Returns Under Conservative Accounting
指導教授:林嬋娟林嬋娟引用關係
學位類別:碩士
校院名稱:國立臺灣大學
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:2005
畢業學年度:93
語文別:中文
論文頁數:75
中文關鍵詞:保守性會計股票報酬率Feltham and Ohlson模型營業資產現金投資
外文關鍵詞:conservative accountingstock returnsFeltham and Ohlson Modeloperating assetscash investment
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  由於企業經營活動經常具有不確定性,為了使報表使用者能信任報表所提供的資訊,而有了穩健原則觀念的產生。穩健原則下,會計對價值變動的衡量可能低於市場之衡量,因而造成資產價值的低估,此稱為「保守性會計」。
在Feltham and Ohlson (1995、1996)的價模型認為,在保守性會計的原則下,除了盈餘外,營業資產的帳面價值和淨現值大於零的現金投資方案對公司價值有正向影響。公司價值會直接影響到股票價格(及股票報酬率),而影響公司價值之評價項目(營業資產、現金投資)也可能因此對股票報酬率有影響。
本文以在民國84至民國93年之上市(櫃)公司為研究對象,經由股票報酬迴歸模型之建立,分析營業資產的變動及現金投資的變動與股票報酬間之關係,檢視投資人是否能察覺保守性會計的影響而反映於股票報酬中。
研究結果發現,營業資產和現金投資變動對股票報酬並無正向的增額解釋能力。但將所有觀察值以會計保守程度分組進行分析時,則發現營業資產變動和現金投資額變動對股票報酬率均有正向影響,而且隨著保守程度的增加,其影響程度也隨著增加;另外,本研究發現當資產帳面價值高估(表較不保守)時,對股票報酬呈負影響。整體而言,本研究發現依保守程度分組分析時,較能觀察到保守性會計下會計資訊對股票報酬的影響。
Due to lots of uncertainties faced by companies, the concept of conservatism is developed to increase users’ confidence on financial statements. Under conservatism, the accounting estimate of change in assets value might be lower than the market’s assessment.
Feltham and Ohlson’s model (1995, 1996) predicted that operating assets and cash investment have positive impact on goodwill under conservative accounting. Goodwill affects the firm’s market value and then the stock returns. Accordingly, we expect operating assets and cash investment may affect stock returns.
Through analyzing change in operating assets and change in cash investment in the return model, we examine if investors can be aware of the effects of conservatism on accounting data and respond the information via stock returns.
Our empirical results demonstrate that for the whole sample, there is no sufficient evidence that change in operating assets and change in cash investment have significant explanatory power for stock returns. However after we partition the sample into deciles based on the degree of conservatism, we find that the higher the degree of conservatism, the more significant the coefficients on the two variables and the sign of the coefficients are positive as we expect. Furthermore, we find the sign of the coefficients is negative when the assets are overstated (that is, accounting is aggressive instead of conservative). In short, we conclude that the relation between conservative accounting data and stock returns exists only when the sample is partitioned by conservatism.
第一章 緒論
第一節 研究動機................................... 1
第二節 研究目的................................... 4
第三節 研究架構................................... 5
第二章 文獻探討
第一節 保守性會計................................. 7
第二節 Feltham and Ohlson的評價模型............... 11
第三節 其它相關文獻............................... 18
第三章 研究方法
第一節 研究假說................................... 24
第二節 實證模型與變數定義......................... 28
第三節 樣本與資料來源............................. 34
第四章 實證結果與分析
第一節 敘述性統計................................. 37
第二節 實證結果................................... 48 第五章 結論與建議
第一節 研究結論................................... 66
第二節 研究限制................................... 68
第三節 研究建議................................... 70參考文獻 ............................................. 71
中文部分:
1.王士和,民93,「台灣上市公司股利政策特性與其影響因素之探討」,國立中正大學企業管理研究所碩士論文
2.周庭楷,民91,「會計保守原則對權益評價影響之實證研究」,國立成功大學會計學研究所碩士論文
3.洪榮華、 陳佳儀,民92年03月,「股利宣告的資訊效果--以臺灣集團與非集團上市公司為例」,輔仁管理評論,第10卷第1期:頁119-146
4.馬鳳禧,民92,「會計保守性對盈餘品質之影響及與股票報酬之關聯性」,國立台灣大學會計學研究所碩士論文
5.戚務君、廖益均、王貞靜,民93,「博達案對會計盈餘穩健程度之影響」,討論稿
6.張雅惠,民89,「台灣上市公司現金股息宣告效果之研究」,義守大學管理科學研究所碩士論文
7.陳佳甫,民87,「股利變動宣告對股價影響相關性研究」,國立中央大學企業管理研究所碩士論文
8.陳佳儀,民88,「股利宣告的資訊效果-以台灣集團與非集團上市公司為例」,國立中央大學企業管理研究所碩士論文
9.陳麗萍,民88,「我國上市公司股票股利方式與股票報酬率的相關探討」,國立中正大學財務金融研究所碩士論文
10.楊世芬,民88,「台灣上市公司現金股利宣告效果之實証研究」,義守大學管理科學研究所碩士論文
11. 劉紀芬,民90,「穩健性原則對會計基礎評價模式之影響」,國立中山大學財務管理學系研究所碩士論文
12.民94年4月,「獨家專訪-德信投信經理人張達文:高現金股息股首重鋼鐵航運--以前大家喜歡股票股利如今現金股利卻當紅」,理財周刊 卷:240 頁33-35

英文部分:
1. Ahmed, A. S., B. K. Billings, R. M. Morton and M. S. Harris. (2002). “The Role of Accounting Conservatism in Mitigating Bondholder -Shareholder Conflicts over Dividend Policy and in Reducing Debt Costs.” Accounting Review 77: 867-890.
2. ______, R. M. Morton, and T. F. Schaefer. (2000).“Accounting Conservatism and the Valuation of Accounting Numbers: Evidence on the Feltham-Ohlson (1996) Model.” Journal of Accounting, Auditing & Finance 15: 271-291.
3. Ball, R., and P. Brown. (1968). “An Empirical Evaluation of Accounting Income Numbers.” Journal of Accounting Research 6: 663 - 681.
4. Barth, M. E., and G. Clinch. (1999). “Scale Effects in Capital Markets-Based Accounting Research.” Working Paper. Standford University and University of New South Wale.
5. Basu, S. (1997).“ The Conservatism Principle and the Asymmetric Timeliness of Earnings.” Journal of Accounting & Economics 24: 3 -38.
6. Beaver, W. H. and S. G. Ryan. (2000).“Biases and Lags in Book Value and Their Effects on the Ability of the Book-to-Market Ratio to Predict Book Return on Equity.” Journal of Accounting Research 38: 127 -148.
7. Biddle, G., P. Chen, and G. Zhang. (2001). “When Capital Follows Profitability: Non-linear Residual Income Dynamics.” Review of accounting Studies 6: 229-265.
8. Bliss, J. H. (1924). “Management through accounts.” The Ronald Press Co., New York.
9. Brennan, M. J. (1993). “Conservatism in Accounting: An Outsiders Perspective.” American Accounting Association Meetings. (San Francisco)
10. Devine, C. (1963). “The Rule of Conservatism Reexamined.” Journal of Accounting Research 1: 127-138.
11. Demski, J. (1993). “Endogenous Systematic Bias in Accounting Valuation.” American Accounting Association Meetings (San Francisco)
12. Easton, P. D. and T. S. Harris. (1991). “Earnings as an Explanatory Variable for Returns.” Journal of Accounting Research 29: 19-35.
13. ______ and G. A. Sommers. (2000). “Scale and Scale Effects in Market-Based Accounting Research.” Working Paper. The Ohio State University.
14. ______. (2001).“Discussion of : When Capital Follows Profitability: Non-linear Residual Income Dynamics.” Review of accounting Studies 6: 267-274.
15. ______ and J. Pae. (2004). “Accounting Conservatism and the Relation between Returns and Accounting Data.” Review of Accounting Studies 9: 495-521.
16. Feltham, G. A. and J. A. Ohlson. (1995).“Valuation and Clean Surplus Accounting for Operating and Financial Activities.” Contemporary Accounting Research 11: 689-731.
17. ______ and ______. (1996).“Uncertainty Resolution and the Theory of Depreciation Measurement.” Journal of Accounting Research 34: 209-234.
18. Givoly, D. and C. Hayn. (2000). “The Changing Time-series Properties of Earnings, Cash Flows and Accruals: Has Financial Reporting Become More Conservative? ” Journal of Accounting and Economics 29 :287-320.
19. Harris, T. S. and J. A. Ohlson. (1987). “Accounting Disclosures and the Market’s Valuation of Oil and Gas Properties.” The Accounting Review 62: 651-670.
20. Hyan, C. (1995). “The Informantion Content of Losses.” Journal of Accounting and Economics 20: 125-153.
21. Lev, B. and T. Sougiannis. (1996). “The Capitalization, Amortization, and Value-Relevance of R&D.” Journal of Accounting and Economics 21: 107-137.
22. Liu, J. and J. A. Ohlson. (2000). “The Feltham-Ohlson(1995) Model: Empirical Implications.” Journal of Accounting , Auditing & Finance 15: 321 -331.
23. Mason, L. (2004).“The Impact of Accounting Conservatism on the Magnitude of the Differential Information Content of Cash Flows and Accruals.” Journal of accounting, auditing & Finanace 19: 249-282.
24. Myers, J. (1999). “Implementing Residual Income Valuation with Linear Information Dynamics. ” The Accounting Review 74: 1-28.
25. Ohlson, J. A. (1995).“Earnings, Book Values, and Dividends in Equity Valuation.” Contemporary Accounting Research 11: 661-687.
26. ______. (2000).“Postive(Zero) NPV Projects and the Behavior of Residual Earnings.” Working Paper.
27. Savary, J. (1712). Le parfait negociant, 6th edition
28. Staubus, G. (1985). “An Induced Theory of Accountin Measurement.
” The Accounting Review 55: 53-75.
29. Stober, T. (1996). “Do Prices Behave as if Accounting Book Values are Conservative? Cross-sectional Tests of the Feltham-Ohslson (1995) Valuation Paper. ” Working paper. University of Notre Dame.
30. Watts, R. L. and J. Zimmerman. (1986). “Positive Accounting Theory. ” Englewood Cliffs, N.J.: Prentice Hall.
31. ______. (2003a).“Conservatism in Accounting Part I: Explanations and Implications.” Accounting Horizons 17: 207-221.
32. ______. (2003b).“Conservatism in Accounting Part II: Evidence and Research Opportunities.” Accounting Horizons 17: 287-301.
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