會計盈餘、分析師預測與代理成本對權益評價之影響

Accounting Earnings, Analysts's Forecasts of Earnings, and Agency Cost in Equity Valuation

林宜勉(Yi-Mien Lin) ； 王曉雯(Hsiao-Wen Wang)

《證券市場發展季刊》 16卷3期 (2004/10) Pp. 41-81

https://doi.org/10.6529/RSFM.2004.16(3).2

摘要

本文認為分析師之盈餘預測（指其它盈餘資訊）與剩餘利潤間應存在相互關係，因此本文以Ohlson（1995）的剩餘利潤評價模式為基礎，發展一聯立實證態線性資訊模式。除了剩餘利潤和其它盈餘資訊，本文亦考慮資產負債表上的重要非盈餘資訊，如代理成本和破產成本，以探討盈餘與非盈餘資訊對剩餘利潤和權益評價的影響效果，並進一步自衡量觀點來分析剩餘利潤的資訊內涵。研究結果為：（1）將其它盈餘資訊（分析師之盈餘預測）和非盈餘資訊（代理或破產成本）變數，引入動態線性資訊模式中，確實可增加剩餘利潤的解釋能力。（2）本文發展的聯立方程式估計法對同期股價解釋之預測力明顯優於傳統單獨迴歸估計法。（3）財務分析師之預測實已彙總各項公司相關的盈餘與非盈餘資訊，因而投資人在權益評價時，除了會參考損益表上的盈餘資訊與資產負債表上的相關資訊外，分析師預測資訊則更是投資人評定公司股價的關鍵因素。（4）在控制產業類別下，以衡量觀點為基礎之剩餘利潤（預測）具有資訊內涵。（5）在控制產業效果下，不同的剩餘利潤成份會傳遞不同的資訊內涵，即恆常剩餘利潤和暫時剩餘利潤對異常報酬有不同的影響，但此由衡量觀點出發的結論與傳統資訊觀點的看法分歧。

關鍵字

剩餘利潤評價模式 ； 動態線性資訊模式 ； 分析師盈餘預測 ； 代理成本 ； 破產成本

並列摘要

We argue that there should exist an interaction relationship between the residual income and the analysts' earnings forecasts, which motivates us to develop a simultaneous linear information model based on Ohlson (1995). Our model also considers other non-earnings variables such as agency and bankruptcy costs to examine the effect of these variables on residual income and equity valuation. Our conclusions are: (1) By incorporating the analysts' earnings forecasts, agency cost, and bankruptcy cost into the LIMs, the explanatory power for future residual income raises. (2) The predictive power and estimation efficiency of our simultaneous models in explaining contemporaneous stock prices are better than those of Dechow (1999). (3) When investors are doing valuation, they will refer to not only the earnings information but also the relevant information on the balance sheet; namely, the agency (bankruptcy) problem of firms. Especially, analysts' earnings forecasts playa central role in investors' decisions. (4) The residual income exists the information content based on the measurement perspective. (5) The permanent and transitory components of residual income provide the distinguishable information content.

並列關鍵字

Residual Income Valuation Model ； Dynamic Linear Information Model ； Analysts' Forecasts of Earnings ； Agency Cost ； Bankruptcy Cost

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