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會計基礎評價模型之實證研究--考慮線性資訊動態 / An Empirical Study of the Accounting Based Valuation-- With Linear Information Dynamics

本研究以Ohlson (1995) model為發展基礎,並將盈餘定義為(1)剩餘淨利及(2)盈餘水準,分別就此二種不同定義下的盈餘,以年度盈餘時間序列來測試其是否符合線性資訊動態假設,及針對各模式對股權價值估計與預測之結果做比較,探討何種評價方法或模式對於估計真實價值、解釋價格及預測報酬之效果較佳。
研究結果發現,我國上市公司之剩餘淨利及盈餘水準時間序列皆符合線性資訊動態假說。剩餘淨利線性資訊動態模型較能正確預估次一期的盈餘。相較於單獨以帳面價值來估計股價,考慮線性資訊動態模型所建立之各評價模型所預測之估計股價皆未能正確預測權益價值及解釋權益價值之波動。在投資策略方面,因剩餘淨利模型之投資績效最為穩定,在該模型之投資策略下,V/P比率愈低(高)之投資組合獲得之平均股票報酬愈低(高),代表股價愈是被低估的投資組合可賺取更多之投資報酬,這說明剩餘淨利模型預測次期投資報酬之能力最佳,投資人可以其做為建立投資策略的參考。 / Based on Ohlson (1995) model, this study specifies earnings variables as both residual income and earnings levels to test the linear information dynamic (LID) models per se and the ability of competing valuation models to value the contemporaneous stock prices. A comparison of future stock return predicting capability of competing models is also conducted.
By using both residual income time series and earnings levels time series for examining the issue on the firms listed on the Taiwan Stock Exchange (TSE), the empirical results support Ohlson’s information dynamics. However, when estimated as a time series, the linear information models using either residual income or earnings levels variables provide value estimates no better than book value does alone. From the investment strategy aspect, the superior predictive ability of the residual income valuation model with respect to future stock returns demonstrates that high (low) V/P ratios gets high (low) investment returns. It implies that the underpriced portfolio makes high investment returns. Accordingly, the residual income valuation is good for estimating returns on the following year and is therefore a valuable investment reference..

Identiferoai:union.ndltd.org:CHENGCHI/G0893530242
Creators洪佩嫆, Hong, peiyung
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language中文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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