Made available in DSpace on 2015-03-05T19:13:43Z (GMT). No. of bitstreams: 0 Previous issue date: 18 / Nenhuma / A proposta deste estudo é testar empiricamente se o modelo de avaliação da firma proposto por Ohlson, em 1995, produz estimativas adequadas para os dados das principais empresas brasileiras listadas na Bolsa de Valores de São Paulo (Bovespa) no período de 2002 a 2005. Destaca-se que a aplicação empírica de todas as premissas desse modelo ainda é relativamente escassa e controversa para mercados emergentes. Foram testadas as funções de preço e retorno de Ohlson (1995), cada qual com diferentes especificações, de acordo com os resultados obtidos para os parâmetros de persistência do resultado anormal e da variável "outra informação". Dessa forma, o presente estudo adotou duas metodologias para estimar empiricamente as funções descritas, as quais divergem fundamentalmente quanto ao tratamento de dados aplicado, dadas às limitações inerentes ao tamanho da amostra utilizada. A primeira metodologia desenvolvida estritamente conforme os pressupostos teóricos de Ohlson (1995) consistiu em testar o modelo através de u / This study aims at empirically testing whether the equity valuation model as proposed by Ohlson in 1995 fits the data from the major Brazilian companies listed on Sao Paulo Stock Exchange (Bovespa), in the period 2002-2005. It has been highlighted that the empirical application of all the premises of this model is still relatively rare and controvert for emerging markets. Ohlson’s (1995) price and return functions have been tested, each with different specifications, according to the results obtained for the persistence parameters of both the abnormal earnings and the “other information” variable. Thus, the present study has adopted two methodologies to empirically estimate the functions mentioned above, which fundamentally diverge as to the data treatment applied, given the limitations inherent to the size of the sample used. The first methodology strictly developed according to the theoretical assumptions of Ohlson (1995) was testing the model through a cross section cut-off analysis for a 53-stock panel

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

Den första januari 2018 ersattes den kritiserade redovisningsstandarden IAS 39 av IFRS 9.Regelverksändringen medförde förändringar i hur kreditförluster ska redovisas och hanterasmed reservposter i balansräkningen. Syftet med denna studie är att studera omregelverksändringen har medfört en ökad värderelevans för faktiska kreditförluster ochavsättningar för kreditförluster. Studien undersöker värderelevansen under IAS 39 och IFRS9 genom att tillämpa regressionsmodeller. Studiens urval består av 97 banker medskatterättslig hemvist i Europa som rapporterat enligt både IAS 39 och IFRS 9. Studienresulterade i att värderelevansen avseende avsättningar för kreditförluster och faktiskakreditförluster ökat efter införandet av IFRS 9. Det innebär att redovisningsinformationenunder IFRS 9 har en bättre förmåga att förklara förändringar i aktiepris jämfört med IAS 39.Däremot kan studien behöva en längre tidshorisont för att fullt ut kunna utvärdera omvärderelevansen faktiskt har ökat i och med införandet av IFRS 9.

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).

本文以La Porta 等人（1999）「最終控制權」的概念，來衡量控制股東之控制權與現金流量權的偏離情形，並以董監事持股質押比率來衡量董監事介入股市的程度，將之融入於Ohlson(1995)及Feltham and Ohlson(1995)動態線性資訊評價模式中，作為該評價模式之其他資訊項目，以探討除了超額盈餘、帳面價值等會計資訊外，公司治理因素在台灣是否具有評價攸關性。實證結果發現前後期超額盈餘相關且有持續性及預測相關性；超額盈餘及帳面價值等會計資訊能夠反應公司價值，是公司重要評價資訊；控制權與現金流量請求權偏離值與公司價值呈顯著負相關。亦即兩者偏離值越小，即控制權與現金流量請求權之偏離程度越大，公司價值越大，研究獲得與過去相關文獻研究中不同之異常現象；另外，在董監事介入股市方面，顯示董監事持股質押比率與股價兩者成負相關，但迴歸分析的結果並不顯著。整體來看，對台灣上市公司而言，本研究公司治理因素可為公司評價的重要增額資訊。 / Based on Ohlson (1995) and Feltham and Ohlson (1995) valuation models, this study examines the effects of corporate governance, in addition to abcdrmal earnings and book value, on firm value. The results indicate that the abcdrmal earnings have persistent and forecast relevance. Both abcdrmal earnings and equity book values are significantly relevant to firm value. Contrary to the literature, the corporate governance has negative effects on firm value.

This reports describes a master thesis project in Industrial Design Engineering at Lulea University of Technology in collaboration with Clas Ohlson.The master thesis was performed during 2015/2016 and is part of a product development project at Clas Ohlson aiming to develop a new kind of solar powered out door light. Clas Ohlson have limited experience with in house product development, and this project could be a pilot project to evaluate future in house product development.This projects main focus is the creative parts of the product development process and the detail development.The product developed resulted in a product with high customisation potential in many aspects including aesthetic, mounting, electronic and packaging.The resulting material, such as CAD-files, is handed over to Clas Ohlson for them to adjust if necessary in order to take the result in to production. The starting point is the company ́s desire to comply with one of their main objectives: provide sustainable products.The desire was for me to develop a solar powered outdoor light.The result is a module based system which can be expanded in multiple ways, from changing the function, to changing the appearance. In the chapter results you also find a suggested launch plan showing the width of the presented solution and the many opportunities the end user would have to upgrade their product without generating excessive waste.

Faculty of Commerce School of Accountancy 9108665/p swartzg@soa.wits.ac.za / The debate on the determinants of firm value remains unresolved in finance research. This research report contributes to the debate by examining the validity of the Ohlson (1995) valuation model in South Africa. Using Johannesburg Securities Exchange data, this research report aims to identify whether the book value of assets, accounting (accrual) earnings, and abnormal cash dividends explain the behavior of South African share prices. The Ohlson (1995) model has been successfully tested in a number of recent studies (Collins, Pincus and Xie, 1999; Garrod and Rees, 1998; Collins, Maydew and Weiss, 1997; and Kothari and Zimmerman, 1995). This study attempts to extend this body of work in an emerging market context (South Africa), to determine whether the results obtained in developed markets also hold in an emerging market setting, where required rates of return are higher, liquidity is low, and capital is scarce. The research uses both cross sectional and panel data for 129 Johannesburg Securities Exchange listed companies over the 1992-2003 period to investigate the value relevance of the annual financial statements using the Ohlson (1995) model. Using cross-sectional data, the study indicates that the Ohlson (1995) model cannot be used for value prediction purposes, but does indicate that accrual accounting data is value relevant. However, using a panel data approach resulted in a statistically significant, robust, positive relationship for accounting earnings, book value of assets, and abnormal dividends in predicting firm value.

Esta tesis contrasta empíricamente los modelos Feltham-Ohlson, diferenciando entre empresas que presentan resultados anormales positivos y negativos. Para ello, se utilizan diferentes parámetros de persistencia del resultado anormal y de conservadurismo contable para las empresas con resultados anormales positivos y negativos. Esta nueva dinámica lineal de la información implica la utilización de diferentes modelos de predicción de resultados y funciones de valoración para las empresas con beneficios anormales y pérdidas anormales. El análisis empírico va de 1992 a 1999, y utiliza una muestra de empresas españolas cotizadas en la Bolsa de Madrid. Los resultados apoyan el enfoque contextual propuesto, pues mejoran las predicciones de resultados anormales y mejora la explicación de los precios observados en el mercado. En particular, los modelos basados en Ohlson (1995) aparecen como los mejores en la predicción del resultado anormal y de los precios de mercado; mejorando los resultados cuando se emplea el análisis contextual, lo que implica valorar las empresas con resultados anormales negativos mediante modelos transitorios, y las empresas con resultados anormales positivos con modelos permanentes. En cuanto al modelo de Feltham y Ohlson (1995), aunque proporciona los menores errores de predicción de los resultados anormales de las empresas con beneficios anormales, proporciona los peores resultados a la hora de predecir los precios. / This thesis provides an empirical assessment of the Feltham-Ohlson models differencing between firms with positive and negative abnormal earnings. We use different abnormal earnings persistence parameters and different conservatism parameters for firms with positive and negative abnormal earnings. This new contextual linear information dynamic implies different earnings prediction models and different valuation functions for profit making firms and loss making firms. The empirical analysis is referred to the period 1992-99, and uses a sample of Spanish firms quoted on the Madrid S.E. Our results support that the contextual approach followed in the thesis is useful to predict future abnormal earnings and explain current prices. In particular, the Ohlson (1995) model is a good model to forecast future abnormal earnings and stock prices, and the results improve with contextual approach: this implies to value firms with negative abnormal earnings using a temporary model and firms with positive abnormal earnings using a more permanent one. As for the Feltham and Ohlson (1995) model, although it generates the lowest forecast errors in the prediction of positive abnormal earnings, it produces the worst results in forecasting prices.