臺灣博碩士論文加值系統

長久以來，財務資料一直在投資人的投資決策過程中扮演著十分重要的角色。藉由分析與公司盈餘相關的財務資訊，投資人得以瞭解公司的獲利狀況、發展潛力及破產機率，並因此適當地分配其所擁有的資金。然而，當管理者恣意進行盈餘管理，以藉此犧牲股東權益的方式增加個人財富時，財務資訊的有效性變得令人質疑。因此，本論文在第一部份將探討投資人是否能夠察覺管理者盈餘管理行為。研究結果發現，大幅度進行實質盈餘管理行為對於未來盈餘具有負面影響，且降低未來盈餘、來自營運活動的現金流量及應計項目的持續性，且投資人無法對於有進行大幅度實質盈餘管理的公司理性訂價。由此可知，實質盈餘管理活動強化管理者與投資人間的訊息不對稱，因而造成投資人無法對於從事大幅度實質盈餘管理的公司給予理性訂價。此外，不少學者發現沙氏法案的通過只是讓管理者轉換盈餘管理行為，因此，在將研究期間分為沙氏法案前後，則發現沙氏法案的通過並無法使得投資人能夠辨視出實質活動現金流量的調整目的是必需或僅是管理者私利所趨使。
近年所發生的企業弊案，曝露出盈餘管理、利益衝突及獎酬誘因等問題，進而突顯出公司治理的重要性。當公司治理不佳時，短視的管理者可能進行盈餘管理，以犧牲股東權益的方式，達到特定目的。因此，學者紛紛提出應以公司治理維持會計資訊的有效性，以保護投資人權益。就代理理論而言，使管理者能以股東權益為優先，以追求最大公司價值的方式即是透過將管理者獎酬與公司績效進行連結，然而管理者獎酬契約設計不夠完全時，反而提供反向誘因給管理者進行不當行為。因此，論文的第二部份則是同時利用公司治理及財務資訊等構面，以建構一個可使投資人不但能夠觀察財務資訊，亦可提高投資決策準確性的新投資指標-FG Score。實證結果發現高FG-Score投資組合的表現優於低FG-Score，且高FG-Score投資組合的表現比高F-Score更好。此外，FG-Score具有能夠從破產機率較低的公司及小規模公司中挑選出值得投資的標的之能力。

Financial information plays an important role in investment strategies. By analyzing financial performances which are related to earnings, investors can realize the firms’ profitability and potential, or perceive the probability of bankruptcy, and then appropriately allocate their funds. However, managers may artificially manipulate accounting numbers to increase their personal wealth at the expense of shareholders. The passage of the Sarbanes-Oxley Act restrains accrual-based earnings management but induces the utilization of real activities management. This phenomenon results in investor inability to separate earnings into consequences reflecting real business operation and earnings manipulation. Therefore, the purpose of the first study in this dissertation is to examine whether large magnitude of real earnings manipulation activities as a noise impounded in earnings and earnings components results in investors inability to rationally estimate earnings and evaluate stock price. The goal of the second study is to investigate whether combining financial information and corporate governance signals can effectively enhance investment performance. We expect that the findings of these two studies can provide new insight for investors to make better investment strategies and for policymakers to strengthen effectiveness of corporate governance.

Table of Contents
Foreword 1
Essay I. Earnings Persistence and Valuation Implication for Firms with Large Real Earnings Management 3
1. Introduction 4
2. Literature review and hypotheses development 8
2.1. Literature review 9
2.2. Hypotheses development 12
3. Data analysis and research design 15
3.1. Data and sample description 15
3.2. REM measure 16
3.2.1. Abnormal cash flow from operations 17
3.2.2. Abnormal production costs 17
3.2.3. Abnormal discretionary expenses 18
3.3. Model specification 19
4. Empirical analysis 23
5. Conclusion 35
References 38
Essay II. Using Financial Statements and Corporate Governance Signals to Separate Winners from Losers 52
1. Introduction 53
2. Literature Review 57
2.1. Fundamental Analysis 57
2.2. Corporate Governance 61
3. Research Design and Sample Description 65
3.1. Financial information and corporate governance score (FG-Score) 65
3.1.1. Corporate governance score 66
3.1.2. Financial information score 68
3.2. Data 72
3.3. Buy-and-Hold Abnormal Return 73
3.4. Research Design 74
4. Empirical Analysis 75
4.1. Descriptive Statistics 75
4.2. Main empirical results 78
4.3. Robustness test: Size effect and bankruptcy risk 80
5. Conclusion 85
References 87
Appendix 103

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