保守性會計下會計資訊與股票報酬之關聯性

Abstract

由於企業經營活動經常具有不確定性，為了使報表使用者能信任報表所提供的資訊，而有了穩健原則觀念的產生。穩健原則下，會計對價值變動的衡量可能低於市場之衡量，因而造成資產價值的低估，此稱為「保守性會計」。 在Feltham and Ohlson (1995、1996)的價模型認為，在保守性會計的原則下，除了盈餘外，營業資產的帳面價值和淨現值大於零的現金投資方案對公司價值有正向影響。公司價值會直接影響到股票價格（及股票報酬率），而影響公司價值之評價項目（營業資產、現金投資）也可能因此對股票報酬率有影響。 本文以在民國84至民國93年之上市（櫃）公司為研究對象，經由股票報酬迴歸模型之建立，分析營業資產的變動及現金投資的變動與股票報酬間之關係，檢視投資人是否能察覺保守性會計的影響而反映於股票報酬中。 研究結果發現，營業資產和現金投資變動對股票報酬並無正向的增額解釋能力。但將所有觀察值以會計保守程度分組進行分析時，則發現營業資產變動和現金投資額變動對股票報酬率均有正向影響，而且隨著保守程度的增加，其影響程度也隨著增加；另外，本研究發現當資產帳面價值高估（表較不保守）時，對股票報酬呈負影響。整體而言，本研究發現依保守程度分組分析時，較能觀察到保守性會計下會計資訊對股票報酬的影響。

Due to lots of uncertainties faced by companies, the concept of conservatism is developed to increase users’ confidence on financial statements. Under conservatism, the accounting estimate of change in assets value might be lower than the market’s assessment. Feltham and Ohlson’s model (1995, 1996) predicted that operating assets and cash investment have positive impact on goodwill under conservative accounting. Goodwill affects the firm’s market value and then the stock returns. Accordingly, we expect operating assets and cash investment may affect stock returns. Through analyzing change in operating assets and change in cash investment in the return model, we examine if investors can be aware of the effects of conservatism on accounting data and respond the information via stock returns. Our empirical results demonstrate that for the whole sample, there is no sufficient evidence that change in operating assets and change in cash investment have significant explanatory power for stock returns. However after we partition the sample into deciles based on the degree of conservatism, we find that the higher the degree of conservatism, the more significant the coefficients on the two variables and the sign of the coefficients are positive as we expect. Furthermore, we find the sign of the coefficients is negative when the assets are overstated (that is, accounting is aggressive instead of conservative). In short, we conclude that the relation between conservative accounting data and stock returns exists only when the sample is partitioned by conservatism.