財務報表資訊攸關性之研究─考慮規模效果

Abstract

本文研究台灣地區1986年至2005年間，盈餘與帳面價值攸關性的變化。本文主要包含兩種實證分析方法。第一種分析方法是由Collins, Maydew, and Weiss (1997)所提出，用來檢視盈餘與帳面價值是否具有攸關性。研究發現，盈餘與帳面價值攸關性在過去二十年來是逐年顯著上升。此外，盈餘的增額解釋能力逐年上升，但並沒有證據顯示帳面價值的增額解釋能力逐年上升或下降。 第二種方法是由Brown, Lo, and Lys (1999)所提出，處理規模效果後，再來檢視其價值攸關性。這個部分包含了兩種方法。首先，根據代理變數法，盈餘與帳面價值攸關性會逐年上升，且盈餘與帳面價值個別的攸關性也會逐年上升。第二，根據平減法，並無證據顯示盈餘與帳面價值攸關性會逐年上升。

This study investigates the change in the value-relevance of earnings and book values in equity valuation from 1986 to 2005 in Taiwan. This study consists of two major empirical analyses. The first one is based on the valuation model proposed by Collins, Maydew, and Weiss (1997) to study whether earnings and book values are value-relevant. We find that the combined value-relevance of earnings and book value has increased over the last 20 years. Besides, the incremental value- relevance of earning has increased over time while there is no evidence to show whether the incremental value- relevance of book value has increased or not. The second empirical analysis, which is based on the valuation model proposed by Brown, Lo, and Lys (1999) deals with the scale problem. There are two methods in this analysis. First, according to the method of coefficients of variation, the combined value-relevance of earnings and book value has increased over time. The relevance of earning and the relevance of book value have increased over time. Second, according to the price-deflated method, there is no evidence to show whether the combined value-relevance of earnings and book value has increased over time.