輔仁大學
學術資源網

記錄編號5712
狀態NC093FJU00385026
助教查核
索書號
學校名稱輔仁大學
系所名稱會計學系
舊系所名稱
學號492715138
研究生(中)賴梨雯
研究生(英)Li-Wen Lai
論文名稱(中)應計數品質、盈餘品質與股票報酬之關連性研究
論文名稱(英)The quality of accruals, earnings quality and stock returns
其他題名
指導教授(中)薛敏正博士
指導教授(英)Min-Jeng Shiue
校內全文開放日期不公開
校外全文開放日期不公開
全文不開放理由
電子全文送交國圖.同意
國圖全文開放日期.2006.05.16
檔案說明電子全文
電子全文01
學位類別碩士
畢業學年度94
出版年
語文別中文
關鍵字(中)應計數品質 盈餘品質 股票報酬 應計項目 應計項目組成之波動 裁決性應計數之波動
關鍵字(英)quality of accruals earnings quality stock returns accruals variability of accrual components variability of discretionary accruals taiwan
摘要(中)摘 要 論文題目:應計數品質、盈餘品質與股票報酬之關連性研究 校(院)系所組別:輔仁大學會計學系碩士在職專班 研 究 生:賴梨雯 指導教授:薛敏正博士 論文頁數: 84 關 鍵 詞:應計數品質、盈餘品質、股票報酬、應計項目、應計項目組成之波動、裁決性應計數之波動 論文摘要內容: 本研究旨在探討應計數品質、盈餘品質及股票報酬之關連性。其中應計數品質的衡量係參酌Sloan(1996)及Chan et al.(2006)應計項目及應計項目組成之定義,並參考Leuz, Nanda and Wysocki(2003)以應計項目組成之波動性補捉應計數品質;先計算個別應計項目變動之相對標準差,再採因素分析法萃取出應計數品質之綜合指標。有關盈餘品質衡量方面,分別參照Leuz, Nanda and Wysocki(2003)有關盈餘平穩化之主張及Dechow, Sloan and Sweeney(1995)提出之橫斷面Modified Jones模式計算出之裁決性應計數(取?對值)等三項盈餘品質之代理變數。研究對象為民國88年至民國92年之臺灣上市公司。 研究結果發現,折舊與攤銷總數佔總應計數之最大宗,但折舊與攤銷總數之標準差平均數約僅佔期初總資產0.60%,且其標準差變異程度僅0.77%,遠低於其他應計項目組成份子標準差之變異程度,表示其在各公司間差異程度不大,與Sloan(1996)研究發現流動應計項目相較總應計項目具增額資訊內涵相似。 在單變量分析方面,各應計項目組成之波動、應計數品質綜合指標與股票報酬間呈顯著負相關;盈餘品質代理變數與股票報酬亦呈顯著負向關係。另於應計項目組成波動與股票報酬之關連性分析發現,應收帳款及票據變動標準差、流動資產變動標準差、流動負債變動標準差、存貨變動數標準差、其它流動負債變動數標準差、應付帳款變動數標準差與股票報酬間關係皆呈顯著反向關係,但其它流動資產變動數標準差及折舊與攤提費用標準差與股票報酬之關係呈顯著正向關係。在探討裁決性應計數波動及非裁決性應計數波動對股票報酬之資訊內涵上,裁決性應計數波動及非裁決性應計數波動顯示與股票報酬皆呈顯著反向關係。亦即非裁決性應計數波動對股票報酬之資訊內涵上亦具顯著的資訊內涵。在探討應計數品質與股票報酬之關連性分析上,確實不同程度之應計數品質綜合指標中,股票報酬確實會受到應計品質程度高低的影響,二者呈顯著正相關。 多變量迴歸分析方面,從應計數品質、盈餘品質與股票報酬三者之關連性中發現,僅觀察應計數品質與股票報酬之關連性時,市場會對應計數品質綜合指標低者給予正面之評價。進一步測試應計數品質、盈餘品質與股票報酬之關連性時顯示,當應計數及其組成波動的變異性愈低,亦即其盈餘愈平穩者,則盈餘品質愈高,相對伴隨而來的股票報酬愈高。這些結果與Schipper and Vincent(2003)及Chan et al.(2006)之發現相呼應。
摘要(英)Title of Thesis: The quality of accruals, earnings quality and stock returns Name of Student: Li-Wen Lai Advisor: Min-Jeng Shiue Total Pages: 84 Month/Year: 03/2006 Key Words: quality of accruals, earnings quality, stock returns, accruals, variability of accrual components, variability of discretionary accruals Abstract: This research examines the relation among the quality of accruals, earnings quality and stock returns. We follow the approaches suggested by Sloan (1996) and Chan et al. (2006) to measure accruals and earnings quality. Samples are collected from Taiwan Listed firms between 1999 and 2003. We find that depreciation and amortization are the largest amounts of total accruals, but it displays little variability across firms. It shows that the mean and the standard deviation of the variability of depreciation and amortization account for only about 0.60% and 0.77% of prior period total assets respecitively. Besides, in a comparison with total accruals, current accruals have more information relatively. These findings are similar to the prior research (eg., Sloan 1996). The empirical evidences also show that accruals (the difference between accounting earnings and cash flows) and the variability of their components which included the variability in accounts receivable, inventories, other current assets, accounts payable, other current liabilities and depreciation and amortization, are reliably and negatively associated with stock returns. Earning quality parameters are negatively associated with stock returns. In addition, we find that both the variability of discretionary accruals and nondiscretionary accruals are negatively correlated with stock returns. In multivariate regression analyses respect, we find a negative and significant relation between the quality of accruals and stock returns. As accurals and the variablity of their components are smooth, they are accompanied with high earning quality and the quality of accruals, which suggest higher stock returns. These findings are consistent with the arguments provdied by Schipper and Vincent (2003) and Chan et al.( 2006).
論文目次目 錄 頁次 表  次 viii 圖  次 viii 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究問題 3 第三節 研究架構 4 第二章 文獻探討 6 第一節 盈餘品質與應計數品質之意涵及衡量方法 6 第二節 盈餘品質及應計數品質與股票報酬之關係 14 第三章 研究方法 19 第一節 研究假說 19 第二節 變數衡量方式與模型建立 22 第三節 資料來源與樣本選取 35 第四章 實證結果與分析 37 第一節 敘述統計 37 第二節 單變量分析 41 第三節 迴歸分析 56 第五章 結論與建議 74 第一節 研究結論 74 第二節 研究限制 77 第三節 研究建議 78 參考文獻 79 表  次 表 4- 1 敘述性統計表 39 表 4- 2 相關分析表(Pearson積差相關係數) 42 表 4- 3流動應計數及盈餘變動數間與股票報酬之關係表 46 表 4- 4 應計數組成項目波動與股票報酬之關係表 50 表 4- 5應計數品質綜合指標與股票報酬之關係表 55 表 4- 6 應計數品質、盈餘品質與股票報酬(未考慮交叉作用)之迴歸分析表 58 表 4- 7 應計數品質、盈餘品質與股票報酬(考慮交叉作用)之迴歸分析表 61 表 4- 8 自變數之變異數膨脹因素表 64 表 4- 9 股票報酬對應計數品質與盈餘品質(未考慮交叉作用)之迴歸分析表 67 表 4- 10 股票報酬對應計數品質與盈餘品質(考慮交叉作用)之迴歸分析表 69 表 4- 11 股票報酬對應計數品質與盈餘品質之迴歸分析表 73 圖  次 圖 1 研 究 架 構 圖 5
參考文獻參考文獻 一、中文部分 王勇勝,民92,「內部關係人交易與盈餘品質之關連性暨市場反應效率性研究」,國立台灣大學會計研究所未出版之碩士論文。 沈淳惠,民86,「盈餘品質指標資訊價值之研究-類神經網路之研究途徑」,國立政治大學資訊管理研究所未出版之碩士論文。 陳榮昌,民91,「台灣股票報酬之結構分析」,國立中山大學財務管理學系碩士在職專班未出版之碩士論文。 張俊仁,民91,「盈餘管理型態與長期股價報酬之關係」,私立淡江 大學會計學研究所未出版碩士論文。 馮志卿,民88,「營運活動現金流量、應計項目、業外損益之盈餘持續性及市場效率研究」,國立台灣大學會計研究所未出版之碩士論文。 許仁綜,民88,「盈餘品質、股利改變與分析師預測之關連性研究—以台灣股票市場為例」,私立靜宜大學企業管理學系未出版之碩士論文。 溫政斌,民90,「台灣上市公司暫時性盈餘屬之研究」,私立中原大學會計學系未出版之碩士論文。 趙正源,民93,「應計項目組成與股票報酬之關連性」,私立輔仁 大學會計學研究所未出版碩士論文。 二、英文部分 Ahmed, A. , B. Billings, R. Morton, and M. Stanford-Harris. 2002. The role of accounting conservatism in mitigating bondholder-shareholder conflicts over dividend policy and in reducing debt costs. The Accounting Review 77 (October): 867-890. Ball, R. and P. Brown. 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research (Autumn): 159-178. Barnea, A., J. Ronen, and S. Sadan. 1976. Classificatory smoothing of income with extraordinary items. The Accounting Review (January): 110-122. Bartov, E., F. Gul, and J. Tsui. 2000. Discretionary-accruals models and audit qualifications. Journal of Accounting and Economics 30 (3): 421-452. Becker, C., M. DeFond, J. Jiambalvo, and K. Subramanyam. 1998. The effect of audit quality on earnings management. Contemporary Accounting Research 15 (1): 1-24. Bernard, V., and T. Stober. 1989. The nature and amount of information reflected in cash flows and accruals. The Accounting Review 64 (October): 624-652. Bradshaw, M., S. Richardson, and R. Sloan. 2001. Do analysts and auditors use information in accruals? Journal of Accounting Research 39 (1): 45-74. Bushman, R., J. Piotroski, and A. Smith. 2004. What determines corporate transparency? Journal of Accounting Research 42 (May): 207-252. Canadian Institute of Chartered Accountants. CICA Handbook (Toronto. ON: CICA. 1989) Chan, L., N. Jegadeesh, and J. Lakonishok. 1996. Momentum strategies. Journal of finance 51: 1681-1713. Chan, K., L. Chan, N. Jegadeesh, and J. Lakonishok. 2006. Earnings quality and stock returns. The Journal of Business (forthcoming). DeAngelo, L. 1986. Accounting numbers as market valuation substitutes: A study of management buyouts of public stockholders. The Accounting Review 61 (3): 400-420. Dechow, P. 1994. Accounting earnings and cash flows as measures of firm performance: The role of accounting accruals. Journal of Accounting and Economics 18 (July): 3-42. _______, and I. Dichev. 2002. The quality of accruals and earnings:The role of accrual estimation errors. The Accounting Review 77 (Supplement): 35-59. _______, R. Sloan, and A. Sweeney. 1995. Detecting earnings management. The Accounting Review 70 (April): 193-225. ___________________________, 1996. Causes and consequences of earnings manipulation:An analysis of firms subject to enforcement actions by the SEC.”, Contemporary Accounting Research 13 (spring): 1-36. Foster, G., C. Olsen, and T. Shevlin. 1977. Earnings releases, anomalies, and the behavior of security returns. The Accounting Review 59 (January): 574-603. Francis, J., R. LaFond, P. Olsson, and K. Schipper. 2003. Earnings quality and the pricing effects of earnings patterns (forthcoming). Frankel, R., M. Johnson, and K. Nelson. 2002. The relation between auditors’ fee for nonaudit services and earnings management. The Accounting Review 77: 71-105. Healy, P. M. 1985. The effect of bonus schemes on accounting decision. Journal of Accounting and Economics 7 (April): 85-107. Hribar, P., and D. Collins. 2002. Errors in estimating accruals:Implications for empirical research. Journal of Accounting Research 40: 105-134. Jones, C.J. 1991. Earnings management during import relief investigation. Journal of Accounting Research 29: 193-228. Klein, A. 2002. Audit committee, board of director characteristics, and earnings management. Journal of Accounting and Economics 33 (3): 375-400. Krishnan, G. 2003. Does big 6 auditor industry expertise constrain earnings management. Accounting Horizons 17 (Supplement): 1-16. Leuz, C., D. Nanda, and P. Wysocki. 2003. Earnings management and investor protection:An international comparison. Journal of Financial Economics 69: 505-527. Lev, B., and S. Thiagarajan. 1993. Fundamental information analysis. Journal of Accounting Research (Autumn): 190-215. Lipe, R. 1990. The relation between stock returns and accounting earnings given alternative information. The Accounting Review 65 (1): 49-71. Peasnell, K. V. 1998. Earnings manipulation using asset sales:An international study of countries allowing noncurrent asset revaluation.Journal of Business Finance and Accounting 25: 1319-1324. Penman, S. 2001. Financial Statement Analysis & Security Valuation, New York, NY: McGraw-Hill/Irwin. Schipper, K., and L. Vincent. 2003. Earnings quality. Accounting Horizons (Supplement): 97-110. Skinner D. J. 1993 The investment opportunity set and accounting procedure choice. Journal of Accounting & Economics 16: 391-405 Sloan R. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71 (July): 289-315. Subramanyam, K R. 1996. The pricing of discretionary accruals. Journal of Accounting & Economics 22 (August-December): 249-282 Warfield, T., J. Wild, and K. Wild. 1995. Managerial ownership, accounting choices. and informativeness of earnings. Journal of Accounting and Economics 20: 61-92. Watts, R., and J. Zimmerman. 1978. Towards a positive theory of the determination of accounting standards. The Accounting Review 53: 112-134. Xie, H. 2001. The mispricing of abnormal accruals. The Accounting Review 76 (July): 357-373.
論文頁數84
附註
全文點閱次數
資料建置時間
轉檔日期
全文檔存取記錄
異動記錄M admin Y2008.M7.D3 23:17 61.59.161.35