會計基本資訊與股價關聯性之研究

Abstract

股價與財報所揭露基本訊息之關聯性一直都為財務領域熱門的研究主題，期望藉由找出股價之資訊內涵，進而幫助使用者、投資人進行決策。本文藉由迴歸分析檢視台灣證券市場近十年內，每股盈餘、每股淨值、每股股利與股價之關聯性，並探討各解釋變數對於解釋能力之改善程度、加入新解釋變數後，對各模型的增額解釋能力，瞭解台灣證券市場中，各財報資訊對於股價解釋能力之影響。 盈餘管理對於財報攸關性亦是近年來財務領域提起的熱門研究方向。在盈餘變異愈大，盈餘被操控機會愈大的前提下，本研究將總樣本中盈餘變異係數較小之樣本篩選出，並檢視此樣本中，會計訊息之財務攸關性及資訊不對稱問題是否明顯改善。此外，無形資產之認列與比重之上升，對於財務攸關性所造成之衝擊亦在海內外被廣泛討論。本文再依無形資產占總資產比重，將樣本中無形資產比重較小之公司篩選出並進行分析，探討在台灣證券市場中，無形資產對於會計基本面與股價關聯性之影響。 實證結果發現 1. 台灣證券市場近十年中，每股盈餘、每股淨值、每股股利與股價仍然存在明顯的正相關，且此關係隨著時間有更顯著之趨勢，自2000年自2009年，應變數對股價之解釋能力增加幅度明顯。2. 盈餘變異較小之樣本分析中，會計基本訊息與股價間維持正相關關係，且解釋能力有明顯改善，顯示盈餘變異較小之公司，其財報對於股價之攸關性，確實有明顯改善。3. 公司之無形資產占總資產比重較小有助於提升其會計基本訊息對於股價之解釋能力，結果與預期相符，無形資產之認列確實對於財報攸關性造成一定程度的衝擊。4. 股利之增額解釋能力最顯著，盈餘次之，每股淨值最弱。

The relationship between share price and earnings, book value and dividend is always one of the most popular topics among not only the academic but also the practical fields. Researchers tried to unveil the information contents from the stock prices. This empirical study adopt the Regression Model, did the analysis based on the sample from TWSE, and tried to find out the relationship between share price and disclosed accounting information within ten years. The earnings management and intangible assets are especially considered the two significant factors to impact financial relevance and prediction. This research filtered out the samples with less earning volatilities, and test if the companies with less earning volatility would show better financial relevance as expectations. Besides, we grouped the companies with less intangible asset percentage and analyze if less intangible asset could be attributed to better explanatory power. The empirical results supported our assumptions: 1. The share prices demonstrated the positive relationship with earnings, book value and dividend, respectively, during the recent ten years in TWSE. In addition, the positive relationships became more significant with the time passing by, and performed stronger explanatory powers. 2. The companies with less volatile earnings demonstrated better financial relevance between share price and fundamental information and vice versa. 3. For the companies with less intangible assets, the explanatory power of the accounting data to share price came out to be stronger, which was consistent with our expectation. 4. In terms of incremental explanatory power, dividend outperformed earnings and book value, sequentially.