臺灣博碩士論文加值系統

本研究使用自1991年至2008年S&;P500公司之縱橫資料探討公司不同生命週期下股票報酬與會計變數之關係，採用Ohlson (1995)提議之會計評價模型探討在各生命週期階段公司評價之效應。我們使用縱橫門檻平滑移轉迴歸模型探討由會計資訊中推導出公司生命週期之特徵，進而預測公司價值。實證結果指出，會計變數會因生命週期與公司評價之關連性而受到影響。該模型之特點，為當樣本存在異質性時，應用於隨時間相依資料下能夠有效估計迴歸係數，結果發現股票報酬與會計變數存在非線性之關係。應用該模型在不完全資本市場下可描述公司之經濟屬性特徵。

This study investigates the relationship between stock returns and accounting variables across life-cycle stages in panel firms on the S&P500 during 1991-2008. Using accounting valuation model proposed by Ohlson (1995), we examine firm valuation attributable to the effects of all different life-cycle stages. This study applies a panel smooth transition regression (PSTR) model proxy to capture firm-specific life cycle that is derived from accounting information. The combination of the generalized life cycle framework put forth in this study and the development of the accounting-based life cycle proxy provides the means by which to evaluate or to predict a firm’s equity value conditional on its firm-specific life cycle stage. The results show that accounting variables affect the relationship between life-cycle stage and firm valuation. The model is useful for describing heterogeneous panels, with regression coefficients that vary across individuals and over time. The results of this study support the nonlinearity of the link between stock returns and accounting variables. The new model is applied to describe firm’s economic attributes behaviors in the presence of capital market imperfections.

Contents
Chapter 1 Introduction 1
Chapter 2 Literature Review 9
2.1 The Ohlson Model 9
2.2 Related research concerning the association of earnings and book value with equity value 11
2.3 Empirical study of Ohlson model 13
2.4 Related research on life cycle theory and value-relevance 20
2.5 Research on the utility of PSTR model 24
Chapter 3 Empirical Research Design 26
3.1 The empirical model 26
3.2 Research Hypotheses 29
3.2.1 The relation between firm value and firm life-cycle 29
3.2.2 The relation between firm value by industry and firm life-cycle 32
3.2.3 The relation between firm value by firm size and firm life-cycle 34
3.3 Data and variables definitions 35
3.4 Descriptive statistics 37
Chapter 4 Methodology 39
4.1 Panel smooth transition regression (PSTR) Model 39
4.2 Estimation and specification tests 41
4.3 Building panel smooth transition regression model 43
Chapter 5 Empirical Results 46
5.1 Homogeneity test ( Linearity test) 46
5.2 Parameter constancy test 47
5.3 Determining the number of regimes 48
5.4 Parameter Estimate 49
5.4.1 Model 1: empirical results 49
5.4.2 Model 2: empirical results 52
5.4.3 Model 3: empirical results 54
5.5 Robustness checks on various threshold variables 56
5.6 Empirical results based on regressions of abnormal returns 57
5.7 Using the empirical results in PSTR model to predict the relationship between accounting conservatism and life-cycle stages on firm valuation 59
Chapter 6 Conclusions 64
References 67


List of Tables & Figures

Table 1：Summary Descriptive Statistics for Full Sample 81
Table 2：Tests of Linearity 82
Table 3：Determination of Number of Regimes 82
Table 4：Estimation Results of Three-regime PSTR model for Model 1－Threshold variable SG% 83
Table 5：Estimation Results of Three-regime PSTR model for Model 2 83
Table 6：Estimation Results of Three-regime PSTR model for Model 3 85
Table 7：Estimation Results of Three-regime PSTR model for Model 1－Threshold variable CE% 86
Table 8：Estimation Results of Three-regime PSTR model for Abnormal Returns 87
Table 9：The Effect of Accounting Conservatism on the Relation Between Unrecorded Goodwill and Abnormal Earnings and Operating Assets Across Life-Cycle Stages for SP500 in the period 1991 to 2008 88
Figure 1：Transition function of PSTR model on lagged sales growth ratio and stock returns 89
Figure 2：Transition function of PSTR model on lagged sales growth ratio and stock returns for industries firms Technology and Nontechnology 90
Figure 3：Transition function of PSTR model on lagged sales growth ratio and stock returns for firms size Small size and Large size 91
Figure 4：Transition function of PSTR model on lagged capital expenditure ratio and stock returns 92
Figure 5：Transition function of PSTR model for lagged sales growth ratio and abnormal returns 93

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