應計項目和未來股價報酬關聯性之探討

Abstract

本研究探討關於應計項目異常現象之兩種不同假說：投資/成長假說與持續性假說。應計項目中所包含的投資/成長資訊或持續性資訊可能會有橫斷面的差異，視公司之經營模式而定，這項事實使得應計項目異常有不同的橫斷面意涵。我發現當用應計項目與員工人數成長之共變關係來衡量應計項目中所包含之基礎投資資訊時，應計項目異常之程度會隨其單向增加。在應計項目與員工人數成長具共變性的產業/公司中，應計項目對於未來股價報酬之預測能力很強。在應計項目與員工人數成長關係微弱的產業/公司中，應計項目對於未來股價報酬之預測能力非常弱。 相反地，從橫斷面分析所得之結果與持續性論點雖然方向相符惟其結果並不顯著。從盈餘的角度來看，關於下一期盈餘成長之證據無法做明確結論，然而關於長期盈餘成長之證據則支持了投資/成長論點，而不支持持續性論點。整體來看，本研究的結論為：這些結果支持了應計項目異常現象可以歸因於應計項目中所包含的基礎投資資訊之觀點。

The study researches on two competing hypotheses for the accrual anomaly: investment/growth and persistence. Both investment/growth and persistence information in accruals are likely to vary cross-sectionally, depending on a firm’s industry characteristics, a fact that generates different cross-sectional implications for the accrual anomaly. This study find that the magnitude of the accrual anomaly monotonically increases with the investment information contained in accruals, as measured by the co-variation between accruals and employee growth. In industries/firms in which accruals co-vary with employee growth, accruals show strong predictive power for future stock returns. In industries/firms in which accruals show little correlations with employee growth, the accrual anomaly is much weaker. From the earnings perspective, the evidence on one-year-ahead earnings growth is inconclusive, but the results on longer-term earnings growth support the investment argument but not the persistence argument. Collectively, I conclude that these results support the view that the accrual anomaly is attributable to the fundamental investment information contained in accruals.