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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 葉疏 | |
| dc.contributor.author | Te-Yuan Lien | en |
| dc.contributor.author | 連德元 | zh_TW |
| dc.date.accessioned | 2021-06-07T18:03:46Z | - |
| dc.date.copyright | 2012-08-10 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-30 | |
| dc.identifier.citation | 一、 中文部分
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'The quality of accruals and earnings: the role of accrual estimation errors: discussion.' Accounting Review: 61-69. Merton, R. C. and S. S. o. Management (1987). 'A simple model of capital market equilibrium with incomplete information.' Mikhail, M., B. R. Walther, et al. (2004). 'Earnings surprises and the cost of equity capital.' Ogden, J. P. (2003). 'The calendar structure of risk and expected returns on stocks and bonds.' Journal of financial economics 70(1): 29-67. Ogneva, M. (2008). 'Accrual quality and expected returns: The importance of controlling for cash flow shocks.' Poterba, J. M. and S. J. Weisbenner (1998). 'Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns', National Bureau of Economic Research. Reinganum, M. R. (1983). 'The anomalous stock market behavior of small firms in January:: Empirical tests for tax-loss selling effects.' Journal of financial economics 12(1): 89-104. Ritter, J. R. and N. Chopra (1989). 'Portfolio rebalancing and the turn-of-the-year effect.' Journal of Finance: 149-166. Roll, R. (1983). 'On computing mean returns and the small firm premium.' Journal of financial economics 12(3): 371-386. Sias, R. W. and L. T. Starks (1997). 'Return autocorrelation and institutional investors.' Journal of financial economics 46(1): 103-131. Tinic, S. M. and R. R. West (1984). 'Risk and return: Janaury vs. the rest of the year.' Journal of financial economics 13(4): 561-574. Tong and Wilson H. S. (1992). 'An Analysis of the January Effect of the United State, Taiwan and South Korean Stock Market'，Asia Pacific Journal of Management，Vol.9，pp.189-207 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16172 | - |
| dc.description.abstract | 過往的研究已證實資訊風險為資金成本的影響因素，而應計品質是由財務報表資訊所衍生出的衡量指標，常被用來做為財務報表資訊風險的代理變數。Mashruwala and Mashruwala (2011)的研究發現應計品質所產生的資訊風險溢酬僅發生於每年一月份，其他月份並無應計品質溢酬現象，認為應計品質所產生的溢酬現象是因為暫時性的錯誤定價所造成，並非實際反應財務報表資訊風險。
本研究參考Mashruwala and Mashruwala (2011), 衡量台灣資本市場2000年至2010年的應計品質與資金成本之關連，採用Modified Dechow-Dichev Model計算應計品質指標，並以Fama-French三因子模型計算異常報酬率，探究台灣資本市場應計品質所代表的資訊風險溢酬之季節分布情形，進一步探討應計品質是否會影響企業所需負擔的資金成本、應計品質是否能做為財務報表所隱含資訊風險的代理變數。 實證結果發現以年度為計算基礎時，應計品質溢酬現象(應計品質較差的企業須負擔較高的資金成本)並不存在。若以季別區分，應計品質溢酬現象僅存在於第一季，第二季與第三季應計品質溢酬顯著負值。衡量應計品質與企業規模的關連，發現計品質溢酬現象對中小規模企業影響較顯著。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-07T18:03:46Z (GMT). No. of bitstreams: 1 ntu-101-R99722025-1.pdf: 431774 bytes, checksum: 7e5be151ab79c79fb98e839ae6e5669b (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 第一章 緒論 1
第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構 3 第二章 文獻探討 5 第一節 資金成本與資訊風險 5 第二節 資訊風險與應計品質評價 8 第三節 資本市場的季節特性 14 第三章 研究方法與樣本選擇 19 第一節 研究假說 19 第二節 應計品質之衡量 20 第三節 異常報酬之衡量 22 第四節 樣本選取與分組 24 第四章 實證結果分析 27 第一節 敘述性統計 27 第二節 應計品質的季節性影響差異 29 第三節 應計品質風險溢酬與企業規模 37 第五章 研究結論與建議 46 第一節 研究結論 46 第二節 研究限制與建議 48 參考文獻 50 | |
| dc.language.iso | zh-TW | |
| dc.subject | 企業規模 | zh_TW |
| dc.subject | 應計品質 | zh_TW |
| dc.subject | 資金成本 | zh_TW |
| dc.subject | Fama-French 三因子模型 | zh_TW |
| dc.subject | 盈餘品質 | zh_TW |
| dc.subject | firm size | en |
| dc.subject | accrual quality | en |
| dc.subject | cost of capital | en |
| dc.subject | Fama-French three-factor model | en |
| dc.subject | earning quality | en |
| dc.title | 以應計品質衡量資訊風險溢酬的季節性差異 | zh_TW |
| dc.title | Seasonal Differences in Information Risk Measured by Accrual Quality | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 廖芝嫻,王瑄 | |
| dc.subject.keyword | 應計品質,資金成本,Fama-French 三因子模型,盈餘品質,企業規模, | zh_TW |
| dc.subject.keyword | accrual quality,cost of capital,Fama-French three-factor model,earning quality,firm size, | en |
| dc.relation.page | 54 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2012-07-31 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 會計學研究所 | zh_TW |
| 顯示於系所單位： | 會計學系 | |
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