權益法長投之投資淨收益：盈餘持續性與股市反應

Abstract

本文以我國轉投資方式發展所有權結構擴張組織規模特性，結合我國特殊財務報告環境以母公司財務報表為主之實務運用，以盈餘持續性觀點，探討母公司財務報表之權益法認列投資淨收益與營業淨利之持續性差異；且檢驗股市對於這兩項盈餘要素是否理性定價。實證結果顯示，母公司財務報表的權益法認列投資淨收益之持續性與營業淨利之持續性相近，權益法認列投資淨收益為企業營業淨利之延伸；投資人對於損益表中權益法認列投資淨收益之評價係數低於營業淨利之評價係數，但兩者不存在顯著統計差異；且股市不能瞭解權益法認列投資淨收益與營業淨利之高盈餘持續性特質，對於兩盈餘要素之持續性無法理性定價，若對權益法認列投資淨收益（營業淨利）進行套利投資策略，可賺取年超額報酬率約為9.04%（14.26%）。另外，我國母公司財報（個體財報）之權益法投資淨收益可提供合併財報外之增額資訊；且若與Herrmann et al.（2001）測試日本公司（單獨財報）之實證結果比較，顯示我國母公司財報之權益法認列投資淨收益與日本子公司盈餘變動兩者均非暫時性盈餘，然投資人對於兩盈餘要素均無法理性定價，該比較對於我國當前導入IFRS提供難得之實證證據。

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.