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  • 學位論文

資產重估價與企業未來經營績效及市場反應間關聯性之實證研究

An Empirical Study : the Relationship between Asset Revaluations, Future Firm Performance and Capital Market Reaction

指導教授 : 葉疏
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摘要


過去關於資產重估價的研究,主要係側重於企業進行資產重估的動機,以及市場對於資產重估價的反應兩方面。其中市場反應相關研究方面,過去研究多以股價或股票報酬率等市場基礎做為檢定資產重估價資訊內涵的觀察值,惟市場基礎往往受到許多因素的干擾,以其與資產重估間的關係做為判定資產重估是否具資訊內涵的研究方式,似乎不若以未來企業經營績效之變動來代理「因市場預期企業經營績效改變而造成的股價波動」,並檢定其與資產重估間的關係,如此的研究方式來的直接。該一概念由Aboody (1999) 率先應用於資產重估增值資訊內涵的檢測上,並獲得支持該預期的實證結果。   我國現行規定下,資產重估價雖然並非全然為公允價值會計概念,而是偏向反映貨幣購買力的物價水準會計,然較之歷史成本亦應較接近企業帳面的公允價值,其中亦應含有若干資訊內涵。惟在此資產重估價時點、金額受限的環境下,其資訊內涵是否與國外企業相仿,乃至市場對其反應是否一致等問題,都仍待解答。本文參考Aboody (1999) 之研究架構,對於資產重估價、企業未來經營績效、市場反應三者間之關聯性進行研究,並探討債務契約成本是否將影響三者間的關係。   研究結果顯示,資產重估確實有其資訊內涵,與企業未來經營績效及股價間皆有顯著正向關係,然由於其認列缺乏即時性,因此未能對當期股票報酬率有顯著解釋力。此外,本研究亦發現,雖然企業面臨債務契約成本的高低並不會影響其資產重估與未來績效間的關係,但市場對於面臨高債務契約成本之企業,會下修其評價。

並列摘要


In Taiwan, prior researches on asset revaluations focused primarily on their motivation as well as on the association between asset revaluations and share prices and returns. For those researches on the association between asset revaluations and share prices and returns, the researchers usually take market-based indicators like “stock price” or “return” to examine the extent of information content of asset revaluations, but such market-based indicators could be influenced by many factors other than “the change of the expected performance.” From this viewpoint, market-based tests provide only indirect evidence about the extent of information content of asset revaluations, at least not as direct as examining the relationship between asset revaluations and future firm operating performances. This concept was first seen in Aboody et al. (1999) , with preliminarily supportive research results in the same article. Under ROC GAAP, the accounting procedure for asset revaluations is not entirely fair value accounting, but price level accounting. After the adjustment, the book value of the asset won't be exactly the same as its fair value, but still closer to it than before. Therefore, information content in asset revaluation number under ROC GAAP should still exist. With the constraints such as timing or magnitude of asset revaluations, will the information content differ from asset revaluations under current value accounting? Will the capital markets react the same way? These are all questions to be addressed. This article refers to the research design of Aboody et al. (1999) , examining the relationship between asset revaluations, future firm operating performances and capital market reactions, with an additional analysis to further examine if debt contract costs will influence the former relationship. The results indicate that asset revaluations are indeed informative, which are positively associated with realized future changes in firm operating performances and stock prices, but are not associated with returns because of the lack of timeliness of recognitions. Besides, although debt contract cost won’t influence the relationship between asset revaluations and future firm operating performances, capital market would lower the valuations of firms with high debt contract costs.

參考文獻


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