資本市場實證研究

Essays on Capital Market Research

洪聖閔(Shengmin Hung)

指導教授 ： 王泰昌

國立臺灣大學/管理學院/會計學研究所/博士(2011年)

https://doi.org/10.6342/NTU.2011.10275

摘要

無資料

關鍵字

狀態空間模型 ； 可預測性 ； 盈餘品質 ； 資金成本

並列摘要

There are two essays in this dissertation. The fist essay discusses the predictability of aggregate returns and aggregate earnings. The accounting identity of Voulteenaho (2000, 2002) is used to identify the relation between book-to-market ratio, expected returns, and expected earnings. This identity is further incorporated into the estimation system suggested by van Binsbergen and Koijen (2010). The results show that both returns and earnings are predictable and are consistent with accounting identity proposed by Voulteenaho (2000, 2002). The second essay discusses the relation between earnings quality, earnings beta, and cost of equity. By revising the model of Lambert et al. (2007), we argue that high earnings quality will lower the earnings beta, which is the covariance between firm’s earnings news and market’s earnings news. Additionally, as a priced factor, lower earnings beta will cause a lower cost of equity. Empirically, we follow Da and Warachka (2009) to use analyst’s earnings forecast revision to measure the earnings news and construct the earnings beta. The empirical results show that firms with high earnings quality will have lower earnings beta and thereby lower cost of equity. The results also survive most of the robustness checks.

並列關鍵字

state space model ； predictability ； earnings quality ； cost of equity

參考文獻

Chapter 1

Ang A., and G. Bekaert, 2006, Stock return predictability: Is it here? Review of Financial Studies 20: 651-707.

van Binsbergen, J., and R. Koijen, 2010, Predictive regressions: A present-value approach, Journal of Finance 65: 1439-1471.

Ball, R., and P. Brown, 1968, An empirical evaluation of accounting income numbers, Journal of Accounting Research 6: 159-178.

Ball, R., G. Sadka, and R. Sadka, 2009, Aggregate earnings and asset Prices, Journal of Accounting Research 47: 1097-1133.