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研究生:蔡知伶
研究生(外文):Chih-Ling Tsai
論文名稱:盈餘品質與內部人交易對權益資金成本之影響
論文名稱(外文):Earnings Quality,Insider Trading and Cost of Equity Capital
指導教授:黃金發黃金發引用關係
指導教授(外文):Jin-Fa Huang
學位類別:碩士
校院名稱:中國文化大學
系所名稱:會計研究所
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:2007
畢業學年度:95
語文別:中文
論文頁數:55
中文關鍵詞:盈餘品質內部人交易權益資金成本
外文關鍵詞:Earnings QualityInsider TradingCost of Equity Capital
相關次數:
  • 被引用被引用:1
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  • 下載下載:10
  • 收藏至我的研究室書目清單書目收藏:1
本研究旨在探討盈餘品質與內部人交易對權益資金成本之影響,主要研究議題包括:(1)盈餘品質與權益資金成本之關係,依據盈餘品質的高低建立投資組合,進行資產訂價之測試,以及(2)此關係反映在內部人交易的結果;研究期間為1993至2004年,總樣本數為838家台灣上市櫃公司,涵蓋10個產業,總計4,679公司年。

實證結果發現:(1)盈餘品質與企業向外界募集資金時之權益資金成本間存在特定關聯,盈餘品質較好之企業或年度,投資人所要求的報酬率愈低,可以較低的權益資金成本取得融資。(2)盈餘品質與內部人交易正向影響權益資金成本,盈餘品質所引起的資訊風險卻會造成內部人與外部投資者資訊上的不對稱,以內部人買超尤為顯著。
This paper investigates the impcat of earnings quality and insider trading on cost of equity capital. A growing body of empirical work in the accounting literature argues that earnings quality, measured as the unsigned abnormal accrual, proxy for information risk that affects cost of capital. We examine this argument directly in two stages. In the first stage, we estimate the firm’s exposure to an earnings quality factor in the context of one-factor CAPM and Fama-French three factor model augmented by the return on a factor-mimicking portfolio that is long in low earnings quality firms and short in high earnings quality firm. In the second stage, we examine whether the earnings quality factor is priced and whether insider trading is more profitable for firms with higher exposure to that factor.

Generally speaking, we find evidence consistent with pricing of the earnings quality factor and insiders buying more profitably in firms with higher exposure to that factor.
第一章  緒論.................. 1
  第一節  研究動機與目的........... 1
  第二節  研究問題.............. 3
  第三節  研究架構.............. 4
第二章  文獻探討................ 6
  第一節  資訊風險與資本市場......... 6
  第二節  應計項目與盈餘管理......... 12
  第三節  內部人交易之相關文獻........ 16
第三章  研究方法................ 25
  第一節  研究假說.............. 25
  第二節  盈餘品質之衡量........... 26
  第三節  實證模型.............. 30
  第四節  樣本選取與資料來源......... 35
第四章  實證分析與結果............. 39
  第一節  敘述性統計與相關係數分析...... 39
  第二節  複迴歸實證結果與分析........ 41
第五章  結論與建議............... 45
  第一節  研究結論.............. 45
  第二節  研究限制與建議........... 45
參考文獻 .................... 47
一、中文部分

王建偉(2006),利用裁決性應計項目衡量盈餘管理之程度,國立成功大學會計研究所未出版之碩士論文。

王慶鴻(1999),內部關係人持股變動對股價的影響,國立政治大學財務管理研究所未出版之碩士論文。

李國榮(2003),專利權與內部人交易:以台灣市場為對象,國立中正大學會計研究所未出版之碩士論文。

游采熒(2005),盈餘品質與資金成本之關聯性,國立台灣大學會計研究所未出版之碩士論文。

陳均恒(2002),產業關鍵無形資產與內部關係人利得之研究,私立淡江大學會計研究所未出版之碩士論文。

陳建宏(2003),國內上市公司內部人交易之實證研究,國立台灣大學財務金融研究所未出版之博士論文。

黃曉倫(2005),內部人交易、盈餘管理與財務預測調降之關係,私立輔仁大學會計研究所未出版之碩士論文。

蔡其諭(2002),揭露程度與負債資金成本之關係,國立政治大學會計研究所未出版之碩士論文。

蘇郁雯(2006),資訊性盈餘管理與價值攸關性,私立輔仁大學會計研究所未出版之碩士論文。

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