以報酬為基礎衡量之盈餘品質

Abstract

Ecker et al.（2006）認為以往對於盈餘品質之衡量多是以會計資料為基礎來衡量，或是結合會計與報酬資料共同來衡量，然而這樣的盈餘品質衡量方式在樣本之選取上，往往會排除缺少連續性會計資料之公司，因而限制了樣本代表性，因此本文參照Ecker et al.（2006）發展出以報酬資料為基礎之指標（稱為e-loading）來衡量盈餘品質，其方法係在資產評價模型中加入盈餘品質因子（earning quality mimicking factor），而盈餘品質因子之係數即為e-loading，代表著公司對於當年度之盈餘品質所產生之報酬反應，其意義如同以β值來衡量公司對於市場風險所產生之報酬反應，因此可藉由e-loading大小來評價公司盈餘品質優劣程度。 本文即參照Ecker et al.（2006）之研究方法與架構，進行台灣市場之研究，探討Ecker et al.（2006）以e-loading來衡量美國市場之盈餘品質，是否適用於台灣市場，實證結果顯示除了市場參與者行為及盈餘品質決定因子外，e-loading與盈餘特性、公司存續年數及財務報表重編方面大致存在顯著關聯性，以報酬為基礎衡量之盈餘品質存在於台灣市場中。

Ecker et al.(2006) thinks prior researchers measure earnings quality by accounting data or both accounting and returns data, but the methods will restrict samples with continuous accounting data, and the chosen samples may not be representative. This paper refers to Ecker et al.(2006)’s returns-based method (the e-loading) to measure earnings quality. We add earning quality mimicking factor into the asset-pricing regression, and the coefficient of earning quality mimicking factor is called the e-loading. The meaning of the e-loading is the sensitivity of the firm's returns to earnings quality in a given period, that just like beta is a measure of the sensitivity of returns to market premium risk, so we can use e-loading to value earnings quality. This paper refers to the method mentioned in Ecker et al.(2006) to carry out a research in Taiwan’s capital market. The empirical results show that besides market participant behavior and innate determinants of earnings quality, the e-loadings have significant relation with earnings quality proxies, firm age, and financial report restatement, so a returns-based earnings quality, e-loading, exits in Taiwan’s capital market.