标题: | 不同累计期间产业盈余与股票报酬关系之研究 The relationships between earnings and stock returns in different industries over different time intervals |
作者: | 洪铭为 Hon, Ming-Wei 许和钧 Her-Jiun Sheu 管理科学系所 |
关键字: | 盈余;股票报酬;累计期间;earning;stock return |
公开日期: | 1996 |
摘要: | 本研究的主旨在探讨不同的累计期间下,个别产业会计盈余与股票报酬的 关系。国外的研究者Easton,Harris及Ohlson(1992)发现在期间为一年时 ,盈余与股票报酬的关系薄弱,但当盈余的累计期间增长,盈余与股票报 酬的相关性就会增加。这种情形可能导因于不同企业在盈余的认列过程中 ,选择不同的会计方法,使得在较短期间下,盈余本身的衡量受人为因素 影响。另外经济事件产生的影响,会计上可能在数段期间分摊认列,但效 率市场中股票价格会于较短期间内反应,若加长盈余的累计时间应可增加 盈余对股票报酬的关系或是解释能力。然而,国内林永松(民82)发现,就 整体上市公司而言,累计期间增长时,盈余对股票报酬在解释能力的增加 上并不稳定。由于个别产业有独立的经营方式与环境,以整体上市公司为 研究对象,将使这些产业特性消失,因此本研究希望以产业别研究盈余与 股票报酬的关系,试图提供进一步的资讯与解释。本研究搜集民国八十年 到八十四年的资料,以‘盈余水准/期初股价’为盈余代理变数,使用回 归模式与无母数Theil法检定横断面与累计期间下盈余与股票报酬的关系 ,并计算盈余对股票报酬的解释力。经由实证结果,本研究获致如下的结 论:(一)、单年度下盈余与股票报酬的关系于研究期间内,不同的产业在 盈余累计期间为一年的时候,其盈余与股票报酬的关系是非常不稳定的。 没有一个产业在每年的横断面分析均呈现稳定的显着关系,其中造纸、钢 铁与营建业在年资料的检定中甚至呈现每年都不显着的情形。(二)、累计 期间增长时,盈余对股票报酬的关系在研究期间内,原来在累计期间一年 时盈余与股票报酬间所显出的不稳定关系,在累计期间增长后,其关系变 得较稳定,多数的产业都呈现关系显着的状态。其中食品、塑胶、纺织、 电机、电器电缆、橡胶与电子业在累计二年到累计五年的情形下,均呈现 显着的关系。(三)、盈余对股票报酬的判定系数并无明显随着累计期间增 长而增加的现象。从本研究的实证结果,我们只可推论在某些产业中,累 计期间的加长会使盈余与股票报酬的关系变得较稳定,但盈余对股票报酬 的解释能力则无明显证据显示会随累计期间增加而增加。 The purpose of this study is to reach the following objectives:1. Use the non-parametric statistical method to test the cross-section relationships between earnings and stock returns in different industries. And make a comparation between the result of this study and the result of previous research.2. Test the earning-return relationships when the length of time interval over which earnings and returns are accumulated is longer, and investigate whether the explanatory power of earnng for stock return is higher.The sample collected in this study consists of 133 companies (1991-1995 ) meeting the sample- selecting criteria .This study uses parametric and nonparametric univarate regression methods to test the relationship between business earning and stock return over different length of time interval(one year to five years).The empirical results are as follows:1. From the cross section data analysis, the relationship between earning and stock return is very weak and unstable in each industry.2. When the length of time interval is longer, the earning-return relationships are more stable in most industries, just like food, plastic, textile, electrical machinery, electric appliances , wire, rubber and electronics industries.3. The explanatory power of earnings for stock returns doesn't in-crease obviously as the length of time interval increase. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#NT850457040 http://hdl.handle.net/11536/62202 |
显示于类别: | Thesis |