臺灣博碩士論文加值系統

本研究運用杜邦分析將股東權益報酬率拆解成三個組成要素，探討杜邦分析是否提高股東權益報酬率對股票報酬率及信用評等的解釋能力。實證結果顯示：
ㄧ、杜邦分析的三個財務比率與股票報酬率均呈現正相關。
二、加入杜邦分析的回歸模型對股票報酬率的解釋能力增加。
三、杜邦分析的三個財務比例各有不同的財務屬性，整體而言，資產週轉率與股票報酬率之關聯性最大。
四、淨利率與資產週轉率與信用評等成正相關，財務槓桿與信用評等呈負相關。
上述的結果顯示，信用評等機構及台灣股票市場的投資人已運用杜邦分析所傳達的資訊於財務決策上。

Du Pont analysis, a common form of financial statement analysis, decomposes return on equity into three multiplicative components: profit margin, asset turnover and financial leverage. The three accounting ratios measure different constructs and, accordingly have different properties. In this study I examine whether equity valuation and credit rating analysis have any relationship with these three components.
The evidence shows that:
1. The aforementioned three components are positively related to equity valuation.
2. The explanatory power of ROE for stock returns increases significantly when ROE is decomposed into three components suggested by the Du Pont analysis.
3. Among the three components, asset turnover ratiois the most significant component in explaining equity valuation.
4. Profit margin and asset turnover are positively related to credit rating, while financial leverage is negatively related to credit rating.
These results suggest that investors and credit rating agencies have used the information contained in Du Pont analysis in their financial decisions.

第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究流程 4
第貳章 文獻探討 6
第ㄧ節 會計盈餘相關文獻 6
第二節 財務比率分析相關文獻 17
第三節 信用評等之相關文獻 20
第參章 研究方法 29
第一節 研究樣本的資料來源及選取標準 29
第二節 變數之定義及衡量 30
第三節 實證模型 35
第肆章 實證結果與分析 42
第一節 資料統計 42
第二節 敘述統計量 44
第三節 實證結果 46
第伍章 結論與建議 54
第一節 結論 54
第二節 研究建議 54
第三節 研究限制 55
第四節 未來研究建議 55
參考文獻 56

ㄧ、中文部份
丁立平，2003，公司治理、會計資訊與公司價值關係之研究，台灣大學會計研究所碩士論文。
李釗芹，2000，臺灣上市公司自行宣告盈餘資訊內涵之研究，東海大學管理研究所碩士論文。
李淑華，1993，公司規模對異常報酬及盈餘反應係數之影響，臺灣大學會計學研究所碩士論文。
林冠宏，2004，公司資訊揭露與價值攸關性之研究，政治大學會計學研究所碩士論文。
徐淑卿，1993，台灣股票上市公司營業外所得增額資訊內涵之研究，東吳大學會計研究所碩士論文。
黃秀珍，1995，盈餘組成因素增額資訊內涵之研究，中興大學會計研究所碩士論文。
黃秀敏，1992，評價模式、盈餘與股票報酬關係之探討，政治大學會計研究所碩士論文。
陳志愷，1992，盈餘反映係數之研究-台灣股票市場之實證分析，政治大學會計研究所碩士論文。
張智堯，2005，企業信用評等改變宣告在新興市場的資訊內容：以台灣市場為例，朝陽科技大學財務金融研究所碩士論文。
張鈺雯，2006，我國上市、櫃公司股東權益報酬率之習性分析，雲林科技大學企業管理研究所碩士論文。
曾建勝，1993，上市公司股票價格的資訊內涵-季盈餘的實證，台灣大學會計研究所碩士論文。
葉金成、李冠豪，2001，盈餘與股價因果關係之實證研究，當代會計，2(1)，17-38。
楊陳松，1997，盈餘與股價關係模式之比較研究，國立政治大學會計學系碩士論文。
蔡秀麗，1999，季營業外淨利增額資訊內涵之研究，東海大學管理研究所碩士論文。
鄭慧文，1998，季盈餘宣告對股價之影響，中原大學會計研究所碩士論文。
謝佩芬，2004，財務指標與非會計資訊對股價之影響-Ohlson模型之延伸引用，中原大學國際貿易研究所碩士論文。
儲蓉，1999，對發展信用評等應有的態度與做法，經濟情勢暨評論，5(1)：51-74。
二、英文部分
Abarbanell, J. S., and B. J. Bushee. 1997. Fundamental Analysis, Future Earnings and Stock Price. Journal of Accounting Research, 35(1):1-24.
Aigbe, A., M. Jeff, and M. W. Ann. 1997. Intra-industry effects of bond rating adjustments. The Journal of Financial Research, 2:545-562.
Altman, Edward, and S. Katz. 1976. Statistical Bond Rating Classification Using Financial and Accounting Data in M. Schiff and G. Sorter eds. Proceedings of the Conference on Topical Research in Accounting. New York : New York University, 205-239.
Arvanitis, A., J. Gregory, and J. P. Laurent.1999. Building models for credit spreads. Journal of Derivatives, 6:27-43.
Ball, R., and P. Brown.1968.An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research, 6(1):159-178.
Barron, M. J., A. D. Clare, and S. H. Thomas. 1997. The effect of bond rating changes and new ratings on UK stock returns. Journal of Business Finance & Accounting, 24:497-509.
Barth, M., M. Clement, G. Foster, and R. Kasznik. 1998. Brand Values and Capital Market Valuation. Review of Accounting Studies, 3: 41-68.
Beaver, W., W. H. R. Clark, and W. F. Wright.1979. The Association between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors. Journal of Accounting Research, 316-340.
Beaver, R. Lambert, and D. Morse. 1980. The information Content of Security Prices. Journal of Accounting and Economics, 2:3-28.
Beaver, W. H. 1989.Financial Reporting: An Accounting Revolution. (2nd ed.). New Jersey: Prentice Hall.
Bernard, V., and J. Thomas. 1989. Post-earnings announcement drift : Delayed price response or risk premium? Journal of Accounting Research (Supplement), 1-36.
Bernard, V. L. 1993. Determinants of market-to-book ratios and implications for financial statements analysis, Accounting-based valuation methods. Working paper, University of Michigan.
Bernstein, P. L. 1998. Spenders rejoice! A correction. Financial Analysts Journal. 44(6):14.
Best, R. W. 1997.The role of default risk in determining the market reaction to debt announcements. Financial Review, 32:87-105.
Beaver, W. 1968. The information content of annual earnings announcements. Journal of Accounting Research, (Supplement): 67–92.
Beaver, W., R. Lambert, and S. G. Ryan. 1987. The Information Contentof Security Prices- A Second Look. Journal of Accounting and Economics,139-157.
Campbell, T., and W. Heinkel. 1984. A theory of rating agencies : pricing, quality, and market structure. Working paper, University of Southern California.
Chaganti, R., and F. Damanpour. 1991. Institutional ownership, capital structure, and firm perform. Strategic Management Journal, 12:479-491.
Chandra, U., and N. Nayar. 1998. The information content of Ncommercial paper rating downgrade: further evidence. Journal of Accounting, Auditing & Finance, 13: 417-435.
Chu, E. L. 1991. Market-based Accounting Research：an International Comparison and new Evidences. Working paper, Ph. D. Dissertation, New York University.
Clash, J. M. 1998. Picking up the pieces. Forbes, 162(10):372-373.
CLSA . April 2003. CG Watch: Corporate Governance in Asia.Asia Special Report .
Collins, D. W., E. L. Maydew, and I. S. Weiss. 1997. Changes in the value-relevance of earnings and book values over the past forty years. Journal of Accounting and Economics, 24:39-67.
Core, J. E., W. R. Guay, and A. V. Buskirk. 2003. Market valuations in the new economy: an investigation of what has changed. Journal of Accounting and Economics, 34:43-67.
Das, S., and T. Tufano. 1996. Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic. Journal of Financial Engineering, 5:161-198.
Datta, S., and U. S. Dhillon. 1993. Bond and Stock Market Response to Unexpected Earnings Announcements. The Journal of Financial and Quantitative Analysis 28:565-577.
Dhankani, D. 2005. Fundamental analysis and stock returns: India (2000-2005). The business review, 218-222.
Dichev, I. D., and J. D. Piotroski. 2001. The long-run stock returns following bond ratings changes. Journal of Finance, 56:173-203.
Dutta, S., and S. Shekhar. 1998. Bond Rating: A Non-Conversation Application of Neural Network. International Conference on Neural Networks, 2:43-450.
Easton, P. D., and T. S. Harris. 1991. Earnings as an Explanatory Variables for Returns. Journal of Accounting Research, 29:19-36.
Ederington, L. H., and J. C. Goh. 1998. Bond rating agencies and stock analysis : who knows what when ? Journal of Financial＆ Quantitative Analysis, 33:569-585.
Elayan, F. A., B. A. Maris, and J. B. Maris. 1990. Common stock response to false signals from Credit Watch placement. Quarterly Journal of Business & Economics, 29:16-35.
Elayan, F. A., W. H. Hsu, and T. O. Meyer. 2003. The Informational Content of Credit Rating Announcements for Share Prices in A Small Market. Journal of Economics and Finance, 27:337-356.
Fairfield, P. and T. Yohn. 2001. Using asset turnover and profit margin to forecast changes in profitability. Review of Accounting Studies, December: 371–385.
Fairfield, P., J. Whisenant, and T. Yohn. 2003. The differential persistence of accruals and cash flows for future operating income versus future profitability. The Review of Accounting Studies, 8: 221–243.
Fama, E. F., and K. R. French. 1992. The cross-section of expected stock returns. The Journal of Finance, 47:427-465.
Fama, E. F., and K. R. French. 1995. Size and Book-to-Market Factors in Earnings and Returns. The Journal of Finance, 1:131-155.
Foster, G. 1997. Quarterly accounting data: time-series properties and predictive-ability result. The Accounting Review, 52(1): 1-21.
Foster, G. Chris Olsen.and Therry Shevlin. 1984. Earnings Releases,Anomalies,and the Behavior of Security Returns. The Accounting Review, l59(4): 574-603.
Freeman, R. N., J. A. Ohlson, and S. H. Penman. 1982. Book Rate-of-Return and Prediction of Earnings Changes: An Empirical Investigation. Journal of Accounting Research, 20 (2):639-653.
Goh, J. C., and L. H. Ederington. 1993. Is a bond rating downgrade bad news, good news, or no news for stockholders ? Journal of Finance, 48:2001-2008.
Goh, J. C., and L. H. Ederington. 1999. Cross-sectional variation in the stock market reaction to bond ration changes. Quarterly Review of Economics and Finance, 39:101.
Gonedes, N. J. 1974. Capital Market Equilibrium and Annual Accounting Numbers: Empirical Evidence. Journal of Accounting Research, 12 (1): 26-62.
Griffin, P.A., and A. Z. Sanvicente. 1982. Common Stock Return and rating Changes： A Methodological Comparison. The Journal of Finance, 37:103-119.
Hand, J., R. W., Holthausen, and R. W. Leftwich. 1992. The effect of bind rating agency announcements on bond and stock prices. Journal of Finance, 47:733-752.
Holthausen, R. W., and R. W. Leftwich. 1986. The effect of bond rating changes on common stock prices. Journal of Financial Economics, 17:57-89.
Horrigan, J. O. 1996. The Determinants of Long Term Credit Standing with Financial Ratios, Empirical Reserch in Accounting: Selected Studies. Supplement of Journal of Accounting Reserch, 44-62.
Hsueh, L. P., and Y. A. Liu. 1992. Market anticipation and the effect of bond rating changes on common stock price. Journal of Business Research, 24: 225-239.
Jarrow, Lando, and Turnbull. 1997. A Markov Model for the Term Structure of Credit Risk Spread. The Review of Financial Studies, 10(2): 481-523.
Kaplan, R. S., and G. Urwitz. 1979. Statistical models of bond ratings: A methodological inquiry. Journal of Business, 52: 231 -261.
Kim, I. J., K. Ramaswamy, and S. Sundaresan. 1993. Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claim Model. Financial Management, 22: 117-131.
Kim, O., and R. Verecchia. 1994. Market Liquidity and Volume Around Earnings Announcements. Journal of Accounting and Economics, 17:41-68.
Kliger, D. and O. Sarig. 2000. The information value of bond ratings. Journal of Finance, 55: 2879-2902.
Kuhner, C. 2001. Financial Rating Agencies: Are They Credible?－Insights into the Reporting Incentives of Rating Agencies in Times of Enhanced Systemic Risk. Schnalenbach Bussiness Revies, 53: 2-26.
Lando, D. 1998. On Cox Processes and Credit Risky Securities. Review of Derivatives Research, 2: 99-120.
Leland, H., and D. Pyle. 1997. Informational asymmetries,information structure, and financial intermediation. Journal of Finance, 32: 371-387.
Lev, B. 1989. On the Usefulness of Earnings and Earnings Research: Lessons and Directions from Two Decades of Empirical Research. Journal of Accounting Research, 153-201.
Lev, B., and R. Thiagarajan. 1993. Fundamental Information Analysis. Journal of Accounting Research, 31(2): 190-215.
Lipe, R. 1986. The Information Contained in the Components of Earnings. Journal of Accounting Research, 24:37-64.
Loffler, G. 1996. Avoiding the rating bouce：why rating agencies are slow to react to new information. Journal of Economic Behavior ＆ Organization, 56:365.
Manfred, S., and G. H. Volker. 2001. Event study concerning international bond price effects of credit rating actions. International Journal of Finance ＆ Economics, 6:139.
Martikainen, T. 1995. Stock Returns and Classification Pattern of Firm-Specific Financial Variables: Empirical Evidence with Finnish Data. Journal of Business Finance and Accounting, 20(4): 537-558.
Mikkelson, W., and M. Partch. 1986. Valuation effects of security offerings and the issuance process. Journal of Financial Economics, 15: 31- 60.
Nayar, N. and M. S. Rozeff. 1994. Rating, commercial paper, and equity returns. Journal of Finance, 49:1431-1449.
Nissim, D., and S. Penman. 2001. Ratio analysis and equity valuation: From research to practice. Review of Accounting Studies, (March): 109–154.
O’connor, M. C. 1973. On the Usefulness of Financial Ratios to Investors in Common Stock. The Accounting Review, 48(4): 239-352.
Ohlson, J. A. 1989. Accounting Earnings, Book Value and Dividends. Contemporary Accounting Research, 4: 63-68.
Ohlson, J. A. 1995. Earnings, Book Value and Dividends in Equity Valuation. Contemporary Accounting Research, 11: 661-667.
Ou, J. A., and S. H. Penman. 1989. Financial Statement Analysis and the Prediction of Stock Return. Journal of Accounting and Economics, 11 (4): 295-329.
Ou, J. A. 1990. The Information Content of Nonearnings Accounting Numbers as Earnings Predictors. Journal of Accounting Research, 28(1): 144-163.
Ou, S. and S. Penman. 1995. Financial Statement Analysis and the Evaluation of Market-to-Book Ratios. Working Paper, University of California, Berkeley.
Palepu, K., G. P. Healy, and V. Bernard. 2000. Business Analysis &Valuation：Using Financial Statements, Cincinnati. South-Western College Publishing.
Partnoy, F. 1999. The Siskel and Ebert of Financial Markets: Two Tumbs on Down for the Credit Rating Agencies. Washington University Law Quarterly, 77: 619-712.
Penman, S.H. 1983. The predictive content of earnings forecasts and dividends. Journal of Finance, 38: 1181 - 1199.
Penman. 1989. The Penman documentation. Technical report, USC/Information Sciences Institute.
Penman, S. H. 1991. An evaluation of accounting rate of return. Journal of Accounting, Auditing and Finance, 6: 233-255.
Penman, S., and X. Zhang. 2003. Modeling sustainable earnings and P/E ratios using financial statement information. Working paper, Columbia University.
Phillipe, J., L. Zhu, and S. Charies. 2005. Information effects of regulation FD：evidence from rating agencies. Journal of Financial Economics, 76: 309.
Pinches, G. E., and A. M. Kent. 1973. A Multivariate Analysis Industrial Band Ratings. Journal of Finance, 1-18.
Pinches, G. E., and J. C. Singleton. 1978. The adjustment of stock prices to bond rating changes. Journal of Finance , 33: 29-44.
Pruitt, S. W., F. V. Bonnie, and A. Robert. 2000. Clientele trading in response to published information：evidence from the dartboard column. Journal of Financial Research, 23: 1-13.
Rebecca, N. H., F. Hefin, and K. R. Subramanayarm. 2007. Fair-value pension accounting. Journal of Accounting and Economics, 44: 328-358.
Richardson, S., R. Sloan, M. Soliman, and I. Tuna. 2006. The implications of firm growth and accounting distortions for accruals and profitability. The Accounting Review, 81: 713–743.
Shyam-Sunder, L. 1991. The stock price effect of risky versus safe debt. Journal of Financial & Quantitative Analysis, 26: 549-558.
Slovin, M. B., M. E. Sushka, and C. D. Hudson. 1998. Corporatecommercial paper, not issuance facilities, and shareholder wealth. Journal of International Money and Finance, 7: 289-302.
Soliman, M. T. 2008. The Use of DuPont Analysis by Market Participants. Accounting Riview, 8:823-853.
Spiess, D. K., and J. Affleck-Graves. 1999.The long-run Performance of stock returns following debt offerings. Journal of Financial Economics, 54: 45-73.
Strong, N., and W. Walker. 1993. The Explanatory Power of Earnings and Stock Returns. Accounting Review, 68: 385-399.
Thakor, A. 1982. An exploration of competitive signaling equilibria with third party information production：the case of debt insurance. Journal of Finance, 37: 717-739.
Wakeman, L., and MacDonald. 1981. The Real Function of Bond Rating Agencies. Chase Financial Quarterly, 1:18-26.
Wansley, J. W., and C. C. Terrence. 1985. The Impact of CreditWatch Placement on Equity Returns and Bonf Prices. Journal of Financial Research, 8: 31-42.
Wilcox, J. W. 1984. The P/B-ROE Valuation Model. Financial Analysts Journal, 40(1): 58.
William, F. M. and P. R. Ramesh. 2003. Do spin-offs expropriate wealth from bondholders? Journal of Finance, 58: 2087-2088.
Zaima, J., and J. Mccarthy. 1998. The Impact of Bond Rating Changes on Common Stocks and Bonds. The Financial Review, 23: 483-499.
Ziebart, D. A. 1989. The Information Content of Annual Accounting Data: an empirical modeling approach using structure equation technical. Advance in Financial Planning and Forecasting, 3: 121-141.