臺灣博碩士論文加值系統

Ohlson(1995)評價模型已成為現今會計評價模型中最普遍且廣為使用之模型，但其模型中幾乎沒有對公司的股利行為作任何假設。其後Callen 及 Morel(2000)運用Lintner(1956)的股利模型到Ohlson(1995)的評價模型，發展出新的會計評價模型(此後稱CM模型)。Bauer 和Bhattacharyya (2007)認為Lintner(1956)的股利行為不適合用來描述公司的股利政策，因此提出新的股利模型來表達公司的股利政策。本研究利用Bauer 和Bhattacharyya (2007)所提出的股利模型結合Ohlson(1995)所提出的假設而發展出新的會計評價模型，並測試Ohlson(1995)和 CM以及我們所提出的會計評價模型。
本研究先使用單根檢定以及差分後的單根檢定，再使用Engle 和Granger (1987) 的共整測試方法。樣本期間為1973年到2006年，共1564個公司年度。實證結果發現，在5%的信賴水準之下，變數在經過一階差分後都為定態，各模型也存在長期均衡的關係。其中新模型的共整比率高達100%，較Callen 及 Morel(2000)以及Ohlson(1995)的會計評價模型高，顯示新模型除了存在長期均衡關係外較其他模型適合來描述公司的價值。

Ohlson (1995) model is the most pervasively and widely adopted model in the valuation models. But Ohlson does not set any constrain for the dividend behavior. Callen and Morel (2000) apply Lintner(1956) dividend model to the Ohlson (1995) model and develop the Lintnerian linear accounting valuation model (henceforth, CM model). Bauer and Bhattacharyya (2007) suggest that Lintner''s dividend model does not suit to describe the behavior of dividend policies of firms and establish an alternative dividend policy process. This study applies Bauer and Bhattacharyyas’ (2007) dividend model to the Ohlson (1995) model and develops another accounting valuation model and tests Ohlson (1995) model, CM model, and our model.
In this study, we use unit root test and the same unit root test after the order difference process. And then test the Engle and Granger (1987) cointegration method. Based on a sample of 1564 firm years completed panel data from 1973 year to 2006 year, we find that all of the test variables are stationary after the first order difference process at the 0.05 level and all of our test models have long-run equilibrium relation. Besides, our model’s cointegration ratio is almost 100 percent and is higher than others. Thus, our model is more suitable than others to describe the firm’s equity value.

CONTENTS
ABSTRACT………………………………………………………………Ⅰ
CONTENTS………………………………………………………………Ⅲ
LIST OF TABLES…………………………………………………Ⅳ
LIST OF SYMBOLS…………………………………………………Ⅴ
LIST OF ACRONYMS………………………………………………Ⅵ

1.Introduction……………………………………………………1
2.Literature Review………………………………………………4
2.1 Valuation Model………………………………………………4
2.1.1 Ohlson Model…………………………………………………4
2.1.2 A Lintner Linear Model……………………………………7
3 Research Design…………………………………………………10
3.1 Valuation Model of This Study……………………………10
3.2 Test Methodologies……………………………………………11
3.2.1 Cointegration Test…………………………………………11
3.3 Sample and Data………………………………………………12
4.Empirical Results………………………………………………14
4.1Descriptive Statistics………………………………………14
4.2Test for Stationarity and Cointegration…………14
5.Conclusion…………………………………………………………17
Annexe………………………………………………………………18
REFERENCES……………………………………………………………21
ANNEXE TABLES…………………………………………………………26

References

Ahmed, A. S., 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, Forthcoming.
Barkoulas, J. T., C. F. Baum, M. Caglayan, A. Chakraborty, 2000. “Persistent Dependence in Foreign Exchange Rates? A Reexamination,” Working Paper, 1-22.
Bauer, L., and N. Bhattacharyya, 2007. “Rethinking Lintner: An Alternative Dynamic Model of Dividends,” Working paper, University of Newfoundland, and University of Alaska Anchorage.
Berben, R. B. and D. J. van Dijk, 1998.“Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regressions?”Econometrics Institute. Erasmus University Rotterdam, Report 9814.
Berkowitz, J. and L. Giorgianni, 1997.“Long-Horizon Exchange Rate predictability?” International Monetary Fund Working Paper, 97/6.
Bond, M. T., and M. Mougoue, 1991.“Corporate Dividend policy and the partial adjustment Model,” Journal of Economics and Business 43, 165-177.
Callen, J. L., and M. Morel, 2000.“A Lintnerian Linear Accounting Valuation Model,”Journal of Accounting, Auditing & Finance 15, 301-314.
Campbell, J. Y. and R. Shiller, 1988.“Stock Price, Earnings and Expected Dividends.” Journal of Finance 43, 661-676.
Chou, W. L. and D. S. Lee, 2003. “Cointegration Analysis of Audit Pricing Model: A Panel Unit Root Test Approach.”Journal of Business Finance and Accounting 30, 1141-1164.
Chou, W. L. and D. S. Lee, 2005. “Panel Cointegration Analysis of Audit pricing Model.”Review of Quantitative Finance and Accounting 24, 423-439.
Diebold, F. X., and G. D. Rudebusch, 1991. “On The Power of Dickey-Fuller Tests Against Fractional Alternatives,” Economics Letters 35, 155-60.
Engle, R. F., and C. W. J. Granger, 1987.“Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica 55, 251-276.
Fama, E., F. Eugene, and K. French, 1988.“Dividend Yields and Expected Stock Returns.” Journal of Financial Economics 22, 3-25.
Feltham, G. A., and J. A. Ohlson, 1995.“Valuation and Clean Surplus Accounting for Operating and Financial Activities,”Contemporary Accounting Reaearch 11, 689-731.
Gordon, M. J. 1959.“Dividends, Earnings, and Stock Price,”Review of Economic Studies 41, 99-105.
Granger, C. W. J. and P. Newbold, 1974.“Spurious Regressions in Econometrics.” Journal of Econometrics 2, 111-120.
Hansen, B. E., 1995.“Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power”Econometric Theory 11, 1148-1171.
Hodrick, R. J., 1992.“Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement.”Review of Financial Studies 5, 357-386.
Hosking, J. R. M. 1981. “Fractional Differencing,”Biometrika 68, 165 − 176.
Im, Pesaran and Shin, 2003. “Testing for Unit Roots in Heterogeneous Panels.” Journal of Econometrics 115, 53-74.
Kao, C., 1999.“Spurious Regression and Residual-Based Tests for Cointegration in Panel Data,” Journal of Econometrics 90, 1-44.
Karathanassis, G. A. and Spilioti S.N., 2003.“An Empirical Investigation of the Traditional and the Clean Surplus Valuation Models,” Managerial Finance 29, 55-66.
Kilian, L., 1997.“Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?” Journal of Applied Econometrics 14, 491-511.
Lee, B. S. 1996.“Time-Series Implications of Aggregate Dividend Behavior,”The Review of Financial studies 9, 589-618.
Levin and Lin, 1993.“Unit Root Tests in Panel Data: Asymptotic and Finite-Sample properties.”Working Paper, University of California San Diego.
Lin, Y. M., Y. S. Hsu, and W. Liao, 2005.“The Relationship Between Dividend Policy and Equity Valuation Model,”Working peper, University of National Chung Hsing at Taiwan, University of National Taiwan at Taiwan, and University of California at Riverside.
Lintner, J., 1956.“Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes,” American Economic Review 46, 97-113.
Mark, N. C., 1995.“Exchange Rates and Fundamentals: Evidence on Long-Horizon Prediction.” American Economic Review 85, 201-218.
Mark, N. C., and D. Sul, 1999.“A Computationally Simple Cointegration Vector Estimator for Panel Data.” Mimeo, Ohio State University.
Mark, N. C. and D. Sul, 2001.“Nominal Exchange Rates and Monetary Fundamentals Evidence from a Small Post-Bretton Woods Panel.” Journal of International Economics 53, 29-52.
Marsh, T. A., and R. C. Merton, 1987.“Dividend Behavior for the Aggregate Stock Market,”Journal of Business 60, 1-40.
McCoskey, S., and C. Kao, 1998. “A Residual-Based Test of the Null of Cointegration in Panel Data.”Econometric Reviews 17, 57–84.
Miller, M. H., and K. Rock, 1985.“Dividend policy under asymmetric information,”Journal of Finance 40, 1031-1051.
Nelson, C. R. and C. I. Plosser, 1982. “Trends and Random Walks in Macro-Economic Time Series.”Journal of Monetary Economics 10, 139-162.
Ohlson, J.A., 1995,“Earnings, Book Values, and Dividends in Equity Valuation,” Contemporary Accounting research 11, 661-687.
Pedroni, P., 1999. “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors.”Oxford Bulletin of Economics and Statistics 61, 653-70.
Phillips, P. C. B., 1986.“Understanding Spurious Regressions in Econometrics.” Journal of Econometrics 33, 311-340.
Phillips, P. C. B., and P. Perron, 1988.“Testing for a Unit Root in Time-Series Regression,” Biometrica 75, 335-346.
Quah, D., 1994. “Exploiting cross sectional variation for unit root inference in dynamic data.” Stockholm University, Institute for International Economic Studies, Seminar , 549.
Qi, D., Y. W. Wu, and B. Xiang, 2000.“Stationarity and Cointegration Tests of the Ohlson Model, Journal of Accounting,”Auditing and Finance 2, 141-160.
Robinson, P. M. 1995.“Gaussian Semiparametric Estimation of Long Range Dependence,”Annals of Statistics 23, 1630-1661.
Robinson, P., and M. Henry, 1999. “Long Memory Conditionally Heteroscedastic Errors In Semiparametric Estimation of Long Memory,”working paper, Department of Economics, London School of Economics.
Whittington, G. and M. Tippett, 1999. “The Components of Accounting Ratios as Co-integrated Variables, Journal of Business.” Finance and Accounting 26, 1245-1273.
Wu, C. C., W. Kao, and C. F. Lee, 1996.“Time-Series Properties of Financial Series and Implications for Modeling.” Journal of Accounting, Auditing & Finance 11, 277-303.