我們用財務比率來建構一個簡單的迴歸模型以追蹤保險公司股價的變化。在解釋變數部分，除了股價/淨值比( P/B)與本益比(P/E)之外，我們加入股價/真實價值比(P/V) 來加以比較。相較於傳統的折現模型，Ohlson (1995)所提出的剩餘盈餘評價模型模型引入了會計上的淨盈餘關係來估計保險公司的真實價值V。 研究顯示出反映未來異常盈餘的公司價值V相較於淨值只有些許的提升，同時我們的結果並未因為不同折現因子的選取而有明顯的差異；另一方面，在分析期間中，小幅度變化的公司淨值與公司真實價值V使我們的迴歸模型有很高的解釋能力。 關鍵字：剩餘盈餘、淨盈餘關係、淨值、異常盈餘、股價/淨值比、本益比 / Ohlson (1995) incorporates the clean surplus relation into the estimation for the value of a company. A financial ratio (price to value) created using Ohlson’s residual income valuation model might outperform conventional ratios like P/B (price to book value) and P/E (price to earning) ratios in explaining the variations in the stock price of a company (Lee, Myers, and Swaminathan, 1999). We hence construct a regression model to examine the applicability of Ohlson’s method and Lee, Myers, and Swaminathan’s results. However, we find that the estimated intrinsic value using Ohlson’s method diverge from the stock price significantly. Using different interest rates as the discount rate cannot generate better results either. Furthermore, the estimated P/V ratios result in only minor improvements over the conventional ratios in the regression model for the stock price. These results are probably due to the invariability and/or the smoothing in the values of insurance companies. Keywords: residual income, clean surplus relation, intrinsic value, abcdrmal earnings

依據財務會計理論，附註揭露為整體財務報表的一部份，其目的在提供投資人進行企業評價時所需之攸關資訊。兩稅合一制度實施後，不僅使稅賦型態轉變，會計原則中也新增附註揭露股東可扣抵稅額之規定，因此提供了驗證資本市場與財務報表揭露的機會，本研究即針對股東可扣抵稅揭露是否具有價值攸關性進行測試。 本研究以87年為樣本年度，分析資料完整的317家上市公司，透過Ohlson模型來檢測股東可扣抵稅額之價值攸關性，並處理Ohlson模型中兩個重要的information dynamics，以異常盈餘（xa ）及其他資訊（v）做為模型中的自變數，將財務分析師之財務預測（analysts’forecasts）做為Ohlson模型中其他資訊（other information）之代理變數，以捕捉Ohlson模型中其他資訊對股價的影響。最後，考慮產業及公司規模兩項因素，觀察紡織業與電子業對股東可扣抵稅額揭露之反應以及公司規模對於價值攸關性研究的影響。 實驗結果顯示，無論以現金基礎或應計基礎衡量股東可扣抵稅額，其揭露均具價值攸關性，投資人的確使用財務報表附註揭露中有關股東可扣抵稅額之資訊於企業評價上。其次，異常盈餘與其他資訊皆能捕捉股價之變動。最後，在紡織業與電子業中雖未觀察到股東可扣抵稅額之揭露具有攸關性，但公司規模的因素則無論在全體樣本或各別產業中皆具影響力。 / According to modern accouning theory, footnote disclosures are an intergrated part of the overall financial statements. The purpose of footnote disclosures is to provide value-relevant information in assisting investors’ valuation process. After Taiwan’s 1998 Tax Reform, which intergrates the individual and corporate taxes, the current GAAP requires a footnote disclosure of imputation credits (IC). This provides a good chance to test how Taiwan’s stock market reacts to such disclosuer. The main purpose of this study is to examine the value relevance of IC disclosure to investors’ equity valuation. This study uses Ohlson’s (1995) model to analyze 317 firms listed on Taiwan’s Stock Exchang (TSE) during 1998. To estimate the abcdrmal earings and other information (captured by analysts’ forcasts), this study adopts Dechow, Hutton, and Sloan’s(1999) methodology. We also investigate the effects of industry and firm size on the value relevance of IC disclosure. The empirical results reveal three findings. First, there is a positive association between IC and stock price in TSE. Therefore, the IC disclosure is value relevant to investors’ equity valuation. Second, abcdmal earnings and other information can both explain stock price behavior. Finally, when we focus our sample on the textile and high-tech industries, no significant association between IC disclosure and stock price can be found. When we further consider firm size, however, the value relevance of IC disclosure becomes significant. In other word, the value relevance of IC disclosure may be affected by firm size.