The Response of Stock Prices to Permanent and Transitory Shocks to Accounting Earnings

股票價格對於會計盈餘永久性及暫時性衝擊的反應

劉嘉雯(Chia-Wen Liu) ； 王泰昌(Tay-Chang Wang)

《台灣管理學刊》 1卷1期 (2001/08) Pp. 35-54

https://doi.org/10.6295/TAMJ.2001.0101.03

摘要

研究的目的在於以股票價格的變動及股價盈餘差數（price-earnings spread，本益比的自然對數值）來研究股價對盈餘衝擊(earnings shock)的反應。首先假設盈餘的隨機過程(stochastic process)為一永久性部份(permanent component)與暫時性部份(transitory component)的總和，和許多文獻不同的是：永久性部份不一定需假設為隨機漫步(random walk)，此係一過於強烈的假設。利用如Modigliani & Miller(1961)及Miller & Rock(1985)的股票評價模型可以將一公司之盈餘與股價連結在一起。由於本研究假設永久性盈餘不一定是隨機漫步，在分解為永久性及暫時性部分時會有認定(identification)的問題，前述的理論關係可以幫助我們在為股價變動及股價盈餘差數設立二元時間序列模型時做認定。納入股價盈餘差數的理由在於股價及盈餘之間可能有共積的現象，因此可採用類似Engle and Granger(1987)中提及的誤差修正模型(error correction model, ECM)方法。本研究利用二元的移動平均模型(bivariate moving average model, BMAR)及二元自我相關模型(bivariate auto-regressive model, BVAR)配合著前述的理論關係將股價及盈餘的衝擊分解為永久性及暫時性的部份，透過變異數分解(variance decomposition)及脈衝反應分析(impulse response analysis)進一步瞭解股票價格及其變動與本益比對永久性及暫時性的盈餘衝擊的動態反應，有助於我們了解股價變動的影響因素及影響方式。本研究的結果指出投資人並無法區分盈餘中的永久性及暫時性部份，這可以解釋股票平均數復歸(mean-reverting)現象造成的可能原因為股票報酬率中有很大一部份的性質為暫時的。股價盈餘差數的變動主要源於盈餘暫時性的衝擊，這也顯示股價相對於盈餘在盈餘有暫時性的衝擊時會有較劇烈的反應。

關鍵字

永久性盈餘 ； 暫時性盈餘 ； 股票價格 ； 二元時間序列模式

並列摘要

The purpose of this research is to use stock return and price-earnings ratio to study the impacts of earnings shocks on stock prices. We assume that the stochastic process of earnings and stock price consist of a permanent and a transitory components. What distinguishes this paper from most accounting and finance research is that the permanent part of stock price or earnings need not be random walk. The stock valuation model in Miller and Modigliani (1961) and Miller and Rock (1985) helps link a company's earnings and stock price. Since we do not assume that the permanent part of earnings is random walk, there will be an identification problem with building a bivariate time series model, which can be handled by invoking the aforementioned theoretical relation. Through variance decomposition and impulse response analysis, we are able to see how stock return and price-earnings ratio dynamically respond to the permanent and temporary shocks to accounting earnings, which tells us how stock returns are determined. The results of the analysis show that a considerable part of the variation in stock returns can be explained by the transitory shocks to earnings, which suggests that the investors fail to distinguish between the permanent and transitory parts of earnings unmistakably. The mean-reverting behavior of stock returns can also be explained by the existence of a significant temporary component in the stock returns. The price-earnings ratios are mainly explained by the temporary shocks to earnings. This signifies that, induced by the temporary component of earnings, stock prices respond excessively to earnings.

並列關鍵字

Permanent earnings ； Transitory earnings ； Stock prices ； Bivariate time series model