經濟附加價值資訊內涵之研究--以台灣上市公司為例

Abstract

依財務資訊理論的演進，可以將財務報表資訊分為來自營運現金流量（Cash Flows from Operation）、稅後盈餘（Earnings）、剩餘利潤（Residual Income）以及經濟附加價值（EVA）。本研究主旨為探討EVA之資訊內涵(information contents)，以台灣所有上市公司為研究對象取樣86家，民國82年至86年為研究期間，分別針對86家樣本公司、並依產業別、公司規模以及系統風險值，使用資訊係數模式（Information coefficient method）以及迴歸分析（Regression analysis）兩種方法，以探討EVA與傳統財務資訊的資訊內涵差異。 在資訊係數模式（Information coefficient method）之實證結果顯示，以台灣86家上市公司為樣本的實證結果中，EVA指標明顯優於其他各財務指標變數。依公司規模為區別的實證分析結果部分，大公司組部分，EVA績效明顯優於其他財務指標，依系統風險值為區別的實證分析結果部分，高風險組別EVA指標明顯優於其他財務指標。在迴歸模式（Regression method）之實證結果方面，RI對股價報酬的解釋能力高於EVA，異於資訊係數模式（Information coefficient method）之實證結果。

Economic Value Added (EVA) has become one of the hottest financial ideas in recent years. It is argued that EVA is a better measure of an operation's true profitability than CFO(Cash from operation), Earnings, and RI(Residual income), etc. The purpose of this thesis is to examine the information content of EVA. We propose that the information content carried by EVA is richer and purer than that carried by CFO, Earnings, and RI. 86 companies listed in the Taiwan Stock Exchange are used as research sample. The studying periods are from 1993 to 1997. The sample is further divided into several subgroups by their sizes and industries. The regular regression analysis is first applied to examine the explanatory power of each of the variables to the concurrent stock returns. Then the Information Coefficient Method is used to examine the information content of each of the variables. Results from the information coefficient analysis strongly support the view that the EVA indeed carries more information content than that of CFO, Earnings, and RI. For the overall and every subgroups, the EVA outperforms other measures in predicting the performance of stock returns. However, the results from the regression analysis show somewhat weaker evidence.