其他綜合淨利項目及股權交易溢折價之市場效率性探討

Market Efficiency Tests of Other Comprehensive Income Items and the Discount or Premium on Equity Transactions

王瑄(Hsuan Wang) ； 葉疏(Shu Yeh)

《證券市場發展季刊》 27卷3期 (2015/09) Pp. 1-30

https://doi.org/10.6529/RSFM.2015.27(3).1

摘要

本研究檢驗我國上市櫃公司股價是否適切反映兩類盈餘項目：（1）其他綜合淨利項目（2）股權交易溢折價。其他綜合淨利項目為會計準則中允許繞過損益表而直接認列於股東權益之損益項目，其資料可直接由股東權益變動表中取得；股權交易溢折價為企業股權交易價格與市價差額，此差額在目前會計準則下並未認列，故無法由財務報表中直接取得、較有可能被投資人忽視。本研究以我國1991年至2008年除金融服務業外之所有上市櫃公司為樣本，運用盈餘預測模型與評價模型聯合檢驗，發現其他綜合淨利不具盈餘預測能力，但有正向的價值攸關性；股權交易溢折價與未來盈餘具正向關連性，然於企業價值評估時被低估。本研究亦以建立避險投資組合之方式檢驗前述結果，發現投資人可以藉由買入股權交易溢折價相對於帳面價值比值高的公司，並賣出該比值低的公司股票之方式而獲致超額報酬；但無法藉由其他綜合淨利資訊建立避險投資組合獲得超額報酬。本研究之實證結果支持我國投資人能適切地對其他綜合淨利予以評價，但卻低估股權交易溢折價之評價。

關鍵字

其他綜合淨利 ； 淨剩餘關係式 ； 超淨剩餘關係式 ； 股權交易溢折價

並列摘要

This study addresses whether firms' share prices correctly reflect the valuation implications of two accounting measures, other comprehensive income and the discount or premium on equity transactions. Other comprehensive income, which bypasses income statements and enters directly into owners' equity, is observable from the financial statements, while the discount or premium on equity transactions, which arises from recognizing equity transactions at other than fair market value, is not readily observable and thus more likely to be mispriced. We estimate a pair of abnormal earnings forecasting and valuation equations, using a sample of Taiwan listed non-financial companies in 1991-2008. Findings show that other comprehensive income is irrelevant for forecasting abnormal comprehensive income, but is positively valued. However, findings indicate that the discount or premium on equity transactions is positively associated with future abnormal comprehensive income, but it appears to be undervalued. Hedge returns are insignificant when portfolios are formed based on other comprehensive income, but are significantly positive based on the discount or premium on equity transactions. Taken together, the findings are consistent with that investors correctly price other comprehensive income items but under-value the discount or premium on equity transactions.

並列關鍵字

Other Comprehensive Income ； Clean Surplus Relation ； Super Clean Surplus Relation ； Discount or Premium on Equity Transactions

參考文獻

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