标题: 权益法长投之投资净收益:盈余持续性与股市反应
作者: 李淑华
简雪芳
蔡彦卿
Institute of Business and Management
经营管理研究所
关键字: 权益法投资净收益;理性定价;盈余持续性;Investment Incomes from Equity Method;Rational Pricing;Persistence of Earnings
公开日期: 2014
摘要: 本文以我国转投资方式发展所有权结构扩张组织规模特性,结合我国特殊财务报告环境以母公司财务报表为主之实务运用,以盈余持续性观点,探讨母公司财务报表之权益法认列投资净收益与营业净利之持续性差异;且检验股市对于这两项盈余要素是否理性定价。实证结果显示,母公司财务报表的权益法认列投资净收益之持续性与营业净利之持续性相近,权益法认列投资净收益为企业营业净利之延伸;投资人对于损益表中权益法认列投资净收益之评价系数低于营业净利之评价系数,但两者不存在显着统计差异;且股市不能瞭解权益法认列投资净收益与营业净利之高盈余持续性特质,对于两盈余要素之持续性无法理性定价,若对权益法认列投资净收益(营业净利)进行套利投资策略,可赚取年超额报酬率约为9.04%(14.26%)。另外,我国母公司财报(个体财报)之权益法投资净收益可提供合并财报外之增额资讯;且若与Herrmann et al.(2001)测试日本公司(单独财报)之实证结果比较,显示我国母公司财报之权益法认列投资净收益与日本子公司盈余变动两者均非暂时性盈余,然投资人对于两盈余要素均无法理性定价,该比较对于我国当前导入IFRS提供难得之实证证据。
Expanding organization size through pyramidal and cross-holding structures are common practices for Taiwanese firms. We examine the persistence of and the market reaction to the earnings of investment incomes accounted for under equity method under this special organization structure. Our empirical findings suggest that the persistence of earnings of investment incomes accounted for under equity method and the persistence of incomes from operations are of similar magnitudes. It implies that investment incomes accounted for under equity method should be more properly classified as operations activities. The valuation coefficient of the net operating incomes is higher than the valuation coefficient of the investment incomes from investments accounted for under equity method, but the difference between the two coefficients are insignificant. Stock prices are found to under-price operating incomes (reaction ratio: 55%) as well as the investment incomes accounted for under equity method (reaction ratio: 68%). The stock market is not able to rationally price the persistence of the operating incomes and the investment incomes accounted for under equity method. A zero-cost hedging portfolio, which is constructed based on the magnitude of investment incomes accounted for using equity method (incomes from operations), yields 9.04% (14.26%) of abnormal returns per annum. In addition, this study also shows that investment incomes accounted for under equity method presented in the stand alone financial statements provides incremental information over earnings presented in the consolidated financial stat ements. A comparison of this study with Herrmann et al. (2001) shows that both of the investment incomes accounted for under equity method for Taiwanese firms and the incomes of subsidiaries for Japanese firms are not transitory and both earnings components are not rationally priced. These results provide important empirical findings for the adoption of IFRS in Taiwan.
URI: http://hdl.handle.net/11536/132376
期刊: 管理与系统
Journal of Management and Systems
Volume: 21
Issue: 3
起始页: 483
结束页: 516
显示于类别:Journal of Management and System


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