盈餘品質與資金成本之關聯性

Earnings Quality and the Cost of Capital

游采熒(Tsai-Ying Yu)

指導教授 ： 王泰昌 ； 劉嘉雯

國立臺灣大學/管理學院/會計學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.02932

摘要

盈餘是一項重要之財務資訊，當會計盈餘之資訊內涵與價值攸關性已受到普遍認定，本文希望探討市場參與者對此項財務資訊之品質是否重視，除了盈餘與帳面價值等財務資訊以外，隱藏於財務報表內之「盈餘品質」資訊是否能為投資人所擷取、解讀，並實際應用於評價過程當中。
本文參照Francis, LaFond, Olsson and Schipper等人之研究方法與架構，進行台灣市場之研究，探討Francis, LaFond, Olsson and Schipper（2005）於美國資本市場所發現之盈餘品質與資金成本之關聯是否亦存在於台灣地區。
Francis, LaFond, Olsson and Schipper（2005）以大樣本探討企業之盈餘品質與其資金成本間之關係，共就三個角度觀察企業之資金成本，分別為：借款成本、益本比與系統風險係數，前者代表舉債之資金成本；後兩者為股東權益資金成本，負債與股東權益資金成本共同決定企業之加權平均資金成本。以台灣地區上市、上櫃公司資料發現，盈餘品質與企業向外界募集資金時之資金成本間存在特定之關聯，盈餘品質較好之企業或年度，投資人所要求之報酬率愈低，可以較低之資金成本取得外部融資，反之，則必須承擔較高之資金成本。此關聯符合本文對理性投資人行為之預期。
本文對上述盈餘品質與資金成本間所存關聯之解釋與看法為，較高之資金成本反映出低品質之盈餘資訊使投資人投資該標的時面對較高之資訊風險，才進而提高要求報酬率，本文之實證結果呈現出盈餘品質指標與資金成本間之關聯，顯示資本市場確曾將本文之盈餘品質指標所代表之盈餘品質納入投資決策之考量中，但並不代表市場已對這些指標所代表之「盈餘品質」合理評價，而主要在於發現盈餘品質在資本市場上產生之資金成本效果。

關鍵字

盈餘品質 ； 資金成本

並列摘要

Earnings is one of the most important financial information. While the information content and value-relevance of accounting earnings are widely recognized, this paper wants to explore whether investors put as much emphasis on “quality” of earnings as they put on the amount of earnings.
This paper refers to the method mentioned in Francis, LaFond, Olsson and Schipper（2005）to carry out a research in Taiwan capital market. I found that the relation between earnings quality and cost of capital documented by Francis, LaFond, Olsson and Schipper（2005）in the U.S capital market also exists in Taiwan.
As Francis, LaFond, Olsson and Schipper（2005）, this paper provides large sample evidence on whether the equity and debt markets impound information about the quality of earnings with the financial and market data collected in Taiwan. I probe Taiwan enterprise cost of capital from three aspects: cost of debt, PE-ratio, and β obtained from one-factor CAPM. Totally seven metrics of earnings quality are derived from modified Jones model and the model suggested in Dechow and Dichiv(2002). The empirical results agree with Francis, LaFond, Olsson and Schipper(2005) and show the significant relation between earnings quality and costs of capital. Companies with higher earnings quality enjoy lower costs of capital.
The higher costs of capital born by lower-earnings-quality companies reflect the higher information risk facing their shareholders and debtors. The empirical relation between earnings quality and costs of capital suggests that the market does take the information of earnings quality revealed by the financial statements into consideration. However, we are still not sure whether the financial market has fully impound and fairly value the information of earnings quality.

並列關鍵字

earnings quality ； cost of capital

參考文獻

Collins, D., E. Maydew and I. Weiss. 1997. Changes in the relevance of earnings and book values over the past forty years. Journal of Accounting and Economics 11: 143-181.

Dechow, P. and I. Dichev. 2002. The quality of accruals and earnings: The role of accrual estimation errors. Forthcoming, The Accounting Review.

Dechow, P., R. Sloan and A. Sweeney. 1995. Detecting earnings management. The Accounting Review 70 (2): 193-225.

Dechow, P., R. Sloan and A. Sweeney. 1996. Causes and consequences of earnings manipulation: an analysis of firms subject to enforcement actions by the SEC. Contemporary Accounting Research, 13 (1): 1-36.

Francis, Jennifer; LaFond, Ryan; Olsson, Per; Schipper, Katherine. 2005. The Market Pricing of Accruals Quality. Journal of Accounting and Economics, 39 (2): 295-327.