本研究探討盈餘品質、風險因子與權益資金成本之關係，主要研究盈餘品質是否會因為其他風險因子而降低對權益資金成本的影響。本研究之盈餘品質採用四種不同的衡量方式，先探討三種衡量盈餘品質的方式與風險因子對權益資金成本的影響，再將三種衡量盈餘品質的方式計算出一個綜合分數，探討綜合分數與風險因子對權益資金成本的影響，並將變數標準化來排序所有影響權益資金成本的因素。
實證結果顯示異常應計項目及盈餘品質綜合分數在其他風險因子納入模型後，仍然是權益資金成本的顯著影響因素。三種盈餘品質衡量方式與風險因子進行標準化後，對權益資金成本的影響順序，依序為淨值市值比、負債市值比、非系統風險、企業規模、股票週轉率、動能效果、系統性風險、異常應計項目及負債淨值比。而綜合分數與風險因子標準化之排序結果為負債市值比、非系統性風險、企業規模、股票週轉率、動能效果、淨值市值比、系統性風險、負債淨值比及綜合分數。統計上，即使考量了各種風險因子，盈餘品質仍是權益資金成本顯著的影響因子。 / This study investigates the relation among earnings quality, risk factors and cost of equity, especially, the existence of the effect of earnings quality on cost of equity while risk factors are considered, and the impact order of determinants of cost of equity.
Fur measures of earnings quality are examined in the study of determinants of cost equity. We investigate how three individual measures of earnings quality and risk factors affect cost of equity. Then, we use the common factor score of these three individual measures of earnings quality as a composite of earnings quality to examine the impact of earnings quality and risk factors on cost of equity. Furthermore, we standardize variables to order the effects of determinants of cost of equity.
The empirical result shows that both the absolute value of abnormal accruals and the composite factor score of earnings quality have positive effect on cost of equity. With three individual measures of earnings quality and risk factors as determinants of cost of equity, the effects in order the ratio of book value of equity to market value of equity, are the ratio of debt to market value of equity, unsystematic risk, firm size, shares turnover, momentum effect, systematic risk, absolute value of abnormal accruals and the ratio of debt to book value of equity. While with the composite common factor score and risk factors as determinants of cost of equity, the effect in order are the ratio of debt to market value of equity, unsystematic risk, firm size, shares turnover, momentum effect, the ratio of book value of equity to market value of equity, systematic risk, the ratio of debt to book value of equity and common factor. As a conclusion, the earnings quality is statistically a significant determinant of cost of equity after considering a variety of risk factors.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0098353034 |
| Creators | 闕韻容, Chueh, Yun Jung |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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