Abstract The investment is often coupled with the valuation. Before taking action, the decision that how to value an investment underlying is a scientific process. Usually, this work is heavily done and associated with an intangible value. Hence, somewhat in reality, the valuation and investment are also an artistic work. This study, using Taiwaneese quarterly data from 1992 to 2001, examines whether the RIV Model and Ohlson(1995) Model are applicable and valid in different industries. Both the RIV Model that equates the market value of a firm¡¦s equity to book value plus the present value of expected abnormal earnings and Ohlson(1995) Model which links the RIV with a linear information dynamic equation of abnormal earnings are accounting-based valuation Model. An emperical results show that the RIV Model is the best suitable for traditional industry, the Ohlson(1995) valuation Model is the best suitable for financial company, and the modified Model developed in this study is suitable for information technology industry. The implications implyed by this study are summarily as the followings¡G 1. Traditional Industry has stepped into mature or falling phase, and will be difficult to have abnormal earnings. The stock price can be explained largely by its book value. The forecasting value and terminal value are comparatively not so important. So the influence of predictive bias becomes less, and the accuracy of estimating intrinsic value will be higher than other industries. Therefore, RIV Model is comparatively suitable for the traditional industry. 2. Financial industry has been a mature one and its turnover is stable. The consecutive mutual relationship of the abnormal earnings is the highest among three industry from experimentation. The difference between RIV and Ohlson Valuation Model is that the latter derived from RIV connected with abnormal earning linear dynamic function, so financial industry is more suitable for Ohlson valuation model. 3. Information Technology Industry is in its growing phase. The turnover is too volatile, so ex-period market information (P-BV)t-1 must be added to acquire a better explanation power of the model. Therefore, The valuation model developed in this research is suitable for IT Industry.

This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conservatism of the insurance companies is compared to that of a sample of commercial banks to check whether they have similar levels of accounting conservatism. The results of the first chapter suggest that the changes in accounting performance, as measured by return over assets, can be partly explained by accounting conservatism, since it is measured by the accumulation of non-operating accruals, skewness of operating cash flow and accruals, book to market ratio, adjusted book to market ratio and Basu's asymmetric measure. All of these four measures give robust evidence that insurance companies' accounts tended to be conservative for the whole sample period, and that the level of conservatism has risen over the years. More interestingly, a t test for the differences in means suggests that accruals conservatism show on average a higher level of accounting conservatism than book value conservatism does. Finally, our results, based on a constant sample consist of 92 banks and 46 insurance companies whose data are available for all the sample years; they suggest that both insurance companies and banks have similar levels of accounting conservatism due to their similar reporting characteristics. The second empirical chapter contributes to the existing literature on equity valuation in two ways. First, it confirms the importance of imposing linear information dynamics when predicting the equity values of insurance companies, because the restricted models result in fewer error metrics. Second, it highlights the role of the accruals components in the equity valuation of US insurance companies by demonstrating that the incorporation of accrual components in the residuals income valuation model suggested by Ohlson (1995) has smaller error metrics than those of aggregate net income. Our results are based on a sample of US insurance companies, which consists of 718 firm-year observations over the period from 2001 to 2012. For instance, our results suggest that total accruals, changes in insurance reserve, changes in account receivables, and deferred acquisition costs have an incremental ability to predict equity market value over abnormal earnings and book values. Furthermore, the predictive ability of changes in insurance reserves is higher than the predictive ability of changes in account receivables and the change in deferred acquisition costs without imposing the LIM structures. However, when the LIM structure is imposed the predictive ability of changes in deferred acquisition costs is higher than the predictive ability of both changes in accounts receivable and changes in insurance reserves. Our final empirical chapter contributes to the literature on accounting anomalies by investigating the value to price anomaly (V/P), where the fundamental value (V) is estimated using the residual income valuation model. Motivated by the findings of Hwang and Lee (2013), Fama and French (2015), and Fama and French (2016), Chapter Four asks whether V/P strategies reflect the risks factor or whether this is better explained by market inefficiency, and whether Fama and French's five-factor model can explain the excess return of V/P. To answer the previous questions we use data from the merger of COMPUSTAT, CRSP, I/B/E/S for all the non-financial firms listed in AMEX, NYSE, and NASDAQ during the period from 1987 to 2015. Our findings suggest that the V/P ratio is positively correlated to future stock returns after controlling for several firm characteristics, which are known to be proxies of common risks. Our results indicate that the omission of risk factors is not likely to be an explanation of the V/P effect. To answer the second question, we compare the performances of different asset pricing models by calculating the GRS F-statistics. Our findings clearly indicate that the five-factor model of Fama and French performs better than either the CAPM or the traditional Fama and French three factor model. These results confirm that the excess returns of V/P strategy vary due to the differences in size, the B/M ratio, operating profit and betas across quintile portfolios. However, these factors cannot explain all the variation in excess returns; moreover, the stocks in the high V/P may be riskier than the stocks in the low V/P portfolios in certain other dimensions.

本篇論文以分析師對未來公司盈餘預測為基礎，使用剩餘所得模型來對台灣股票市場做實證研究。在這個架構下，我們比較了剩餘所得模型評價法與各種不同的傳統評價法對台灣50成分股的估算表現。 本篇論文的實證發現，內含價值對股票價格比率(intrinsic value to price ratio)對台灣50成分股的預測，在中短期的投資期間內相較於傳統評價法，預測力最高。帳面價值對股票價格比率(book value to price ratio)則在長期的投資期間內，預測力顯著高於其他評價法。盈餘對價格比率(earnings to price ratio)預測力最低。而將所有評價法一同列入考慮時，則發現並沒有任何一種評價法能明顯主宰其他不同的評價法，各種評價方法在預測未來股市表現是互補的。 本篇論文進一步探討剩餘所得模型評價法對台灣50成分股的交易策略，發現以剩餘所得模型估算出的內含價值為標準來進行交易，能得到正報酬。而考慮會計保守原則的模型報酬率能顯著高於沒有將會計保守原則列入考慮的模型。 / We provide an empirical assessment of the residual income valuation model bases on analysts’ forecast data in Taiwan stock market. In this framework, we compare the performance of alternative estimates of intrinsic value with traditional valuation estimates for the component stocks of TSEC Taiwan 50 Index. According to our results, intrinsic value-to-price ratio is a reliable predictor of market returns over short-to-mid period and book-to-price ratios is a reliable predictor over long horizons. Unlike the two ratios, earnings-to-price ratio has little predictive power for returns in Taiwan stock market. Furthermore, intrinsic value-to-price ratio does not dominate traditional valuation but provide another perspective of stock valuation, and we can have a better forecast of future return of Taiwan stock market with consideration of all valuation estimates.

本研究以台灣證券交易所編製之修正股價平均數為研究對象，衡量股價平均數之理論隱含價值，並加以預測。文中假設股票市價與真實價值間靜態均衡無法成立，改以連續收斂型態的動態調整過程，才能對於此種現象加以描述，並假設股價平均數之市價與模型評估值為共整合關係，利用V/P比率來預測股價平均數報酬率，且將投資大眾經常使用之變數（例如E/P、B/P、利率等等）加以比較，所得出之結論如下： (1) V/P比率一階自我相關係數較低，顯示V/P偏離平均值時，較其他比率返回平均數速度快，較能反映市場的走勢與變動。 (2) 短期下並無任一財務比率可以對於股價平均數走勢加以預測，但長期下（未來一年之後），V/P 比率具有相當顯著的預測能力。 (3) 將E/P與B/P納入迴歸式，V/P 比率在未來一至八季期間，仍具有顯著預測能力，可見V/P比率即使與E/P或B/P比率有某種程度的相關，並不影響到V/P 比率的預測能力。 (4) 將總體經濟變數納入迴歸式中，V/P 比率預測能力在短期中會受到些許影響，但經過一年之後，V/P 比率仍然具有相當顯著的預測能力。 (5) 若以過去公司每股盈餘、淨值、股東權益報酬率等財務相關歷史資料，作為未來公司盈餘收益以及成長的預測，會使得V/P 比率受到影響（在短期時預測能力大為降低），但就長期而言（未來第五季之後），此項指標仍然具有預測能力，對於股價平均數水準之評估，仍有一定程度的參考作用。 (6) 分別選取15%、13%、11%、9%及7%等固定折現率，依序求出修正股價平均數的V/P比率，檢定結果與隨時間變動折現率所計算之比率數值相比較，並沒有產生相當明顯的變化。雖然V/P比率的預測能力隨著折現率的下降而減弱，但其變化的趨勢並無絕對穩定的關係，對於「長期下」的預測能力，並不會產生極大的影響。 綜合以上結論，本研究發現：利用Ohlson（1990）剩餘所得模型（residual income model）來估算台灣證券交易所編製之修正股價平均數水準，較易以一般市場上獲取的會計資訊來加以衡量，也較能反映股市基本面價值。即使短期內V/P比率預測能力並不十分明顯，但長期下（一年後）採用V/P比率此項指標，仍能預測未來股價平均數之走勢，且與其他變數比較而言，此預測能力呈現一較穩定之關係。由於國內相關研究甚少直接對股市股價指數做直接的衡量與評估，因此，實務上可以將此估算方法作為一種參考指標，並以此分析未來股價指數水準在長期下之走勢與變動。 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 2 第三節 研究架構 5 第四節 研究流程 6 第二章 文獻探討 7 第一節 國外部分 7 第二節 國內部分 10 第三章 研究方法與設計 13 第一節 研究設計 13 第二節 剩餘所得模型 15 第三節 資料收集與整理 18 第四節 研究方法與實證模式 25 第四章 實證結果與分析 30 第一節 修正股價平均數之檢視 30 第二節 基本面比率對於股價平均數報酬率之預測 32 第三節 V/P衡量方法之優劣比較 36 第五章 結論與建議 50 第一節 研究結論 50 第二節 研究限制與建議 52 參考文獻 54 英文部分 54 中文部分 56