摘要 本研究主要目的在於檢測過去學者以Ohlson model（1995）所從事會計資訊（帳面價值、盈餘及盈餘組成因素）之價值攸關性研究，在未考慮「其他資訊」的情況下，其結果是否會受到景氣因素之影響。同時根據在不同景氣狀況下，會計資訊與股價關聯性之差異，也可判斷台灣股市在景氣狀況好（多頭）時，投資人是否會「過度反應」會計資訊所傳遞的訊息，因而對未來產生過度樂觀的預期，造成股價「超漲」的現象。 實證結果顯示，帳面價值、盈餘及盈餘組成項目（包括營業利益、銷貨毛利及研發費用）與股價之間確實存在顯著之關聯性，亦即具有價值攸關性；而再加入景氣因素作為虛擬變數後，也可發現景氣因素的確會影響投資人對企業未來異常盈餘的看法，進而改變會計資訊之價值攸關性，因此本研究以為過去學者將「其他資訊」視為殘差項之做法並不適當，未來在運用Ohlson model（1995）從事會計資訊之價值攸關性研究時，的確不能排除「其他資訊」的影響，至少應考慮到景氣因素的變化。同時，觀察景氣因素對會計資訊價值攸關性之影響，除了發現盈餘、營業利益、銷貨毛利及研發費用與股價之關聯性係景氣狀況較佳時顯著高於景氣狀況較差時外，帳面價值與股價之關聯性，同樣也會受到景氣因素的影響，故本研究以為在景氣狀況較佳時投資人的確會有「過度反應」會計資訊的現象。 / Abstract The main purpose of this study is to examine whether the results of past research about the value relevance of accounting information, such as book values, earnings and earnings components, relying on Ohlson model (1995) without considering “other information” would be affected by the factor of business cycles. In addition, it could also determine if the investors in Taiwan would “overreact” the content of the accounting information in the better situation of business cycles (Bull market) according to different association between accounting information and stock prices in different business cycles. The empirical results indicate that book values, earnings and earnings components are positively and significantly associated with stock prices; that is, they are value-relevant. When using the factor of business cycles as the dummy variable, the results find that it will affect the value relevance of accounting information. In the better situation of business cycles, the value relevance of earnings, operating income, gross profits and R & D expenses are greater than in the worse one. In addition, the association between book values and stock prices is also affected by the factor of business cycles. So it concludes that the investors in Taiwan really “overreact” the content of the accounting information in the better situation of business cycles (Bull market).

本文利用Ohlson (1995)及Barth (1998)所提出之評價模型，研究91年度我國資訊電子業上市公司，會計資訊揭露之價值攸關性。根據Ohlson (1995)及Barth (1998)之模型，檢測會計資訊價值攸關性之結果顯示，超額盈餘、帳面價值及稅後淨利對於我國之資訊電子業上市公司之股價及市值有顯著之解釋能力。若以「資訊揭露程度」為Ohlson 及Barth評價模型之「其他攸關變數」進行觀察，則資訊揭露程度具有價值攸關性。若進一步將「資訊揭露程度」分成「財務及營運」、「董事會及股權結構」及「公司網站」三細項後，兩種不同之評價模型皆顯示，「財務及營運」之資訊揭露程度與股價及市值間具有顯著之正向關係。「董事會及股權結構」及「公司網站」之資訊揭露程度則會因實證模型之不同，而有不同之結論，在Ohlson 模型中並未獲得支持，但在Barth模型則獲得支持。 / Based on the models established by Ohlson (1995) and Barth (1998), this study examines the value relevance of information disclosure in addition to that of accounting numbers. The sample consists of electron companies listed in 2002. The result indicates that abcdrmal earnings, book value and net income have significant explanatory power about stock price and market value. The ‘information disclosure level’ is also value relevant for both models as ‘other relevant variable’. By dividing the ‘information disclosure level’ into three parts: financial and operating, board and ownership structure, and company websites, we find that ‘financial and operating’ information disclosure level is significantly associated with stock price and market value. The ‘board and ownership structure’ and ‘company websites’ information disclosure level are significant in Barth model, but not in Ohlson model.

恩隆（Enron）等管理當局舞弊案，是資訊不對稱所造成。為減少資訊不對稱之問題，各國對公司資訊揭露之範圍與內容規範甚多，沙氏法案（Sarbanes-Oxley Act of 2002）對公司財務揭露之要求即為例證，惟資訊不對稱之情形在資本市場中仍然很嚴重。 本文探討在市場資訊不對稱之情形下，投資人做投資決策時，是否考量公司資訊揭露之程度。本研究以Ohlson (1995)、Barth (1998)、Sloan (1996)及Fama and French (1992, 1995)作為理論基礎建構模型，探討資訊揭露程度對公司價值之影響。具體而言，本研究將揭露程度分為：「財務與營運」、「董事會及股權結構」及「公司網站」三類，針對傳統產業公司之資訊揭露程度與股價、權益市值及股票報酬等三類公司價值之關係進行實證研究。 實證結果發現，除了會計資訊對公司價值具有攸關性外，公司整體資訊揭露程度對公司之價值亦有顯著之正向影響。其中，「財務與營運」的揭露程度對三類公司價值均具有顯著的正向關係，「董事會及股權結構」的揭露程度對股價與權益市值具有顯著之正向關係，「公司網站」的揭露程度則與各公司價值間皆僅為正向但不顯著之關係。 / Information asymmetry may cause serious business fraud like Enron case. Countries around the word devote much effort enforcing regulation on the disclosure financial information, such as the requirements of Sarbanes-Oxley Act of 2002 in the USA. Based on Ohlson (1995), Barth (1998), Sloan (1996), and Fama and French (1995), this study investigates the market reaction to the financial information disclosure. The disclosure of financial information is decomposed into three categories including financial and operating disclosure, board and ownership structure disclosure, and website disclosure. How the stock price, market value and stock return are related to these financial disclosures is examined. As the results show, in addition to the fact that the accounting information is value relevant, the comprehensive financial disclosure has significantly positive effect on stock price, market value, and stock return, as the financial and operating disclosure does. However, the disclosure of board and ownership structure has significant positive effect only on both stock price and market value, but the market does not have significant reaction to the financial disclosure on website.

本研究以我國上市（櫃）公司89年至92年財務報表資訊及營利事業所得稅申報資料進行實證研究，探討造成我國財務會計所得與課稅所得差異之原因及財稅差異與企業評價之關係。在探討造成財稅差異原因方面，實證結果顯示除折舊費用未達統計上顯著水準外，呆帳費用、投資損失、存貨跌價損失及負債比率與財稅差異呈顯著負向關係，而投資利得、證券期貨交易所得、出售土地增益、企業規模、資產報酬率、電子業及營建業與財稅差異呈顯著正向關係。在探討財稅差異與企業評價之關係方面，本文援用Ohlson模型進行分析，結果發現財稅差異殘差項與股價呈正向關係，顯示投資人視未預期之財稅差異可能具有傳遞未來樂觀之財務會計所得或可節省稅負支出之租稅利益等資訊意涵因而反應於股價之上。依據實證結果，本文發現獲利能力越好或規模越大的公司越有可能透過租稅規劃，減少租稅上之負擔，此發現可作為稅務主管機關未來選案之參考；又本文也發現財稅差異具有資訊意涵，然現今財務報表揭露所得稅相關資訊有限，因此本研究建議證券主管機關應適度加強企業所得稅相關資訊之揭露與規範。 / Using 2000 to 2003 financial statement data and tax return data of listed and OTC companies in Taiwan, this study explores the sources of difference between tax income and financial reporting income and the relationships between book-tax differences and business valuation. The empirical results show that except for depreciation expense, bed debt expense, losses on investments, loss due to market decline of inventory, and financial leverage are negatively related with book-tax differences. However gains on investments, gains on securities transactions, gains in land transactions, business size, return on assets, the electronics industry, and the building industry are positively related with book-tax differences. The results also show that the regression residuals of book-tax differences are positively related with stock prices. This means that investors regard unexplained residuals as future earnings or income tax savings which are then reflected on the stock prices. The empirical results indicate that firms with greater profitability or large firms have greater incentives to conduct tax-planning which tend to reduce taxable income relative to income for financial reporting purposes. Our findings provide evidence for the Taxation Agency when doing audit adjustments and lend support for book-tax differences contain information that is relevant to firms’ valuation. However, in practice disclosure of information about income tax in financial statements is still limited, thus restricting investors in estimating book-tax differences. The security authority should devise appropriate accounting policies to improve disclosures on firms’ income tax information.

智慧資本研究可分為策略流派（strategic stream）與評量流派（measurement stream）。前者主要研究如何創造與運用智慧資本，以及探討智慧資本與價值創造的關係；後者著重如何對智慧資本進行衡量。 　　本研究依評量流派之觀點，以民國91年度資訊電子業上市公司為樣本，探討智慧資本資訊對於企業價值的影響。本文採用內容分析法對各樣本公司進行揭露程度評比，採用Ohslon (1995)模型進行實證研究，結果顯示智慧資本之資訊揭露與企業價值攸關，揭露程度與公司價值成正向關係。就分項智慧資本而言，流程資本以及關係資本之揭露程度與公司價值有顯著關係；然而，人力資本與創新資本的揭露程度與公司價值之關係均不顯著。 / The research in intellectual capital (IC) can be divided into two streams focusing on strategic aspect and measurement aspect, respectively. The former stream investigates how to create and use IC and concentrates on the relation between IC and the value creation. On the other hand, the measurement stream is more concerned with the IC reporting and measurement. 　　Basing on the view of measurement stream, this study selects 177 listed companies in Taiwan electronic industry in 2002 as a sample and investigates the effect of IC information on firm value. By using content analysis method to score the degree of IC disclosure for each sample firm, the empirical result shows that the comprehensive disclosure of IC has significant and positive effect on firm value. When we further look into the decomposition of IC disclosure, both relation capital and process capital are found to have positive and significant effect on firm value while the human capital and innovation capital do not have such a significant relationship.

在知識經濟時代中，企業的核心競爭價值已由過去以勞力、廠房及資本等有形資產為基礎，轉變至以智慧資本驅動為核心。然而，受限於會計準則對於智慧資本認列及評價規定之缺乏，僅以財務、實體資產衡量企業價值已不足以反映企業的真實價值。因此，本研究以人力、創新、流程及顧客資本等四大構面，選擇攸關價值因子之替代變數，從投入及產出觀點探討這些價值因子及價值因子間之相互效果對於企業價值的創造是否具有正向關係。 本研究根據Ohlson（1995）的評價模型作為理論架構，以2000年至2002年間台灣上市公司為研究對象，選擇以員工相對教育程度、專利權件數、資產週轉率及顧客留存率等作為智慧資本價值因子，並採用複迴歸方式從事當期及遞延一期之實證模型分析。 實證結果顯示，就智慧資本價值因子而言，員工相對教育程度、專利權件數及資產週轉率均與企業當期及遞延一期之市場價值具有顯著正向關係，惟專利權件數的遞延效益並不穩定。就價值因子間之相互作用而言，人力資本與創新、流程及顧客資本間及創新資本與顧客資本間所產生之綜效，與企業價值間具有正向關係，然而僅人力與創新資本間之綜效具有明顯之持續性。此外，創新與流程資本間之綜效，對於企業價值之創造則具有落後現象。 根據實證結果，本研究建議企業從事知識管理活動時，除應瞭解各項智慧資本對企業核心價值之貢獻外，並應重視智慧資本價值因子間之相互效果，俾利結合企業的經營策略，提昇其市場價值。 關鍵字：智慧資本、Ohlson模型、企業價值、相互效果 / In the era of knowledge economy, firm’s core competitiveness has changed from tangible assets which include labor, factory buildings and capital to the intellectual capital value-drivers. However, the lack of accounting standards of recognition and valuation of intellectual capital results in failing to reflect the firm’s intrinsic value. Therefore, this study uses dimensions of human capital, innovation capital, process capital and customer capital to select the alternative variables of relevant value factors and to examine the relationships between intellectual capital value factors, inter-effects in those value factors and firm’s market value from an input-output viewpoint. The framework of this study is based on Ohlson（1995）valuation model, and the samples of this study is the listed public companies in Taiwan during 2000 to 2002. This study uses relative education degree of employees, patents, assets turnover rate and customer retention ratio as the intellectual capital value factors, and adopts multiple regression methods to build the current and lagged one period empirical analysis models. As the intellectual capital value factors, the results show that relative education degree of employees, patents and assets turnover rate have significant positive effect on firm’s market value under current and lagged one period model. But lagged effect of patents is not stable. As the inter-effects of value factors, the results show that there are significant positive relationships between the synergies of human-innovation, human-process, human-customer, innovation-customer capital and the firm’s market value, but only human-innovation capital has a remarkable persistence. Furthermore, the synergy of innovation-process capital has a lagged effect on the firm value creation. According to the result, this study suggests that company should not only understand the contributions of every intellectual capital value factor to its core value, but also pay more attention to their inter-effects for integration of the firm’s operation strategies and increasing market value. Key words：Intellectual capital, Ohlson model, firm value, inter-effects

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.

有鑑於全球愈來愈重視企業營運對社區造成的社會、環境和經濟影響，企業的利害關係人除了重視企業的財務績效之外，也愈來愈關心企業是否有善盡其「社會公民」的責任與角色。企業責任報告之目的就是在傳統的財務報表之外，進一步揭露企業的營業活動對於社會及環境所造成的影響。為了使資本市場能更有效地運作，公司管理當局應該要揭露範圍更廣、透明度更高、並有助於投資決策的攸關性資訊，因此，發布社會責任報告的企業有日益增多的趨勢。本研究之目的即在探討三個與企業責任報告有關的議題：(1) 企業的公司治理結構之良窳與管理當局企業責任報告揭露決策的關係；(2) 企業揭露社會責任報告之決策是否會產生股價溢酬；(3)企業社會責任報告揭露決策對企業的事前權益資金成本的影響。在控制樣本的自我選擇偏誤之後，本研究的主要發現有二：第一、公司治理結構愈好的企業愈傾向於揭露企業責任報告，而且也愈可能以專節的形式在該報告中揭露公司治理資訊；第二、從有無揭露企業責任報告的角度來看，本研究發現有揭露的公司均有較高 (低) 的股價 (資金成本)。其次，從揭露的內容做進一步分析之後，本研究發現「環境績效」、「社會績效」與「公司治理」三大類內容的揭露決策均具有價格溢酬。至於「企業承諾」則對公司股價並無顯著影響。最後，企業責任報告揭露程度較高之企業會有較顯著的價格溢酬以及較低的資金成本。 / In light of the increasing emphasis on companies’ social, environmental and economic impacts on the communities, stakeholders are more concerned about whether firms appropriately assume their responsibility as a social citizen. To fulfill stakeholders’ demand of such non-financial information, many companies have recently begun to voluntarily issue the corporate responsibility reports (CRR) as a means to disclose their social, environmental and economic performance and their commitment to do business responsibly. This study intends to answer the following three key questions related to the CRR disclosure: (a) Will companies with stronger corporate governance be more willing to issue CRR? (b) Will the voluntary disclosure of CRR leads to stock price premium? (c) Will companies making voluntary disclosure of CRR have lower ex ante cost of capital? After controlling for the self-selection bias, the empirical results reveal several important findings. First, the stronger the companies’ coporate governance, the more likely the management will issue CRR. Particularly, these companies tend to disclose their comporate governance policy and procedures in a separate section in the CRR. Second, companies disclosing CRR experience significantly higher (lower) stock prices (cost of capital). A further examination shows that three out of four major components reported in the CRR (i.e., environmental performance, social performance, and corporate governance) give rise to significant price premium. The disclosure of business commitment, however, seems to bear little or no information content embedded in the stock price. Finally, companies disclosing more information in their CRR have higher price premium and lower cost of capital than those disclosing less information. The implications of these findings are discussed.