臺灣博碩士論文加值系統

本研究係探討財務報表可比性對於應計數持續性與市場評價之影響。本文主張當公司之可比性較高時，其盈餘持續性較高，且應計數錯誤定價的現象較為減緩。本研究以2003年至2007年間台灣上市上櫃公司進行實證研究，結果顯示可比性較高之公司應計數持續性也比較高。其次，本文採用Mishkin-tests測試投資人是否能正確評估應計數之持續性，發現可比性較高之公司發生錯誤定價現象較低。此外，基於應計項目&;#63842;常現象所發展的投資組合策&;#63862;，相較於可比性較低，可比性較高之公司可獲的超額報酬較小。整體而言，較高之可比性可促使投資人正確評估應計數之持續性。

This study investigate the impact of the comparability of the financial statements for the accrual persistence and stock price reaction. This paper claim when the comparability of company high occurs higher earnings persistence and mitigate accrual mispricing phenomenon. In this study, empirical research data of Taiwan''s listed companies from 2003 to 2007 and the results provide higher comparability of company the accruals persistence is relatively high. Furthermore, we use Mishkin-tests to test whether the investor can correctly assess accrual persistence, the results show that higher comparable company occurs lower mispricing phenomenon. In addition, the development portfolio of abnormal accrual-based compared to the lower comparable company, higher comparable company may obtain smaller excess returns. Overall, higher comparability prompted investors to correctly assess the persistence of accruals.

目錄
目錄 I
第一章緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第二章 文獻探討 4
第一節 可比較性 4
第二節 市場效率性 7
第三節. 市場的影響 9
第四節 市場的異常現象 10
第五節 假說建立與發展 17
第三章 研究設計 20
第一節 可比性之衡量 20
第二節 實證模型：假說1a與假說1b 21
第三節 實證模型：測試假說2a與2b 23
第四節 資料來源與樣本期間 24
第四章 實證結果 25
第一節 敘述性統計 25
第二節 持續性實證結果 25
第三節 Mishkin test 實證結果 26
第四節 套利投資組合策略實證結果(Hedge Portfolio Test) 27
第五章 結論 28
參考文獻 29



表目錄
表1：變數之敘述性統量 …………………………………………………………………. 33
表2：相關係數鉅陳 ……………………………………………………………………….. 34
表3：持續性迴歸結果 ……………………………………………………………………. 35
表4：Mishkin test之實證結果 ………………………………………………………. 36
表5：投資組合報酬之迴歸結果 ……………………………………………………. 37

圖目錄
圖1-1：研究流程圖 …………………………………………………………………………. 3

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