Lintnerian線性會計評價模型之再檢視

Rethinking the Lintnerian Linear Accounting Valuation Model

呂淑禎(Shu-Chen Lu)

指導教授 ： 鍾彩焱

元智大學/管理學院/會計學系/碩士(2009年)

摘要

Ohlson(1995)評價模型已成為現今會計評價模型中最普遍且廣為使用之模型，但其模型中幾乎沒有對公司的股利行為作任何假設。其後Callen 及 Morel(2000)運用Lintner(1956)的股利模型到Ohlson(1995)的評價模型，發展出新的會計評價模型(此後稱CM模型)。Bauer 和Bhattacharyya (2007)認為Lintner(1956)的股利行為不適合用來描述公司的股利政策，因此提出新的股利模型來表達公司的股利政策。本研究利用Bauer 和Bhattacharyya (2007)所提出的股利模型結合Ohlson(1995)所提出的假設而發展出新的會計評價模型，並測試Ohlson(1995)和 CM以及我們所提出的會計評價模型。
本研究先使用單根檢定以及差分後的單根檢定，再使用Engle 和Granger (1987) 的共整測試方法。樣本期間為1973年到2006年，共1564個公司年度。實證結果發現，在5%的信賴水準之下，變數在經過一階差分後都為定態，各模型也存在長期均衡的關係。其中新模型的共整比率高達100%，較Callen 及 Morel(2000)以及Ohlson(1995)的會計評價模型高，顯示新模型除了存在長期均衡關係外較其他模型適合來描述公司的價值。

關鍵字

Ohlson模型 ； Lintner模型 ； 單根檢定 ； 共整合

並列摘要

Ohlson (1995) model is the most pervasively and widely adopted model in the valuation models. But Ohlson does not set any constrain for the dividend behavior. Callen and Morel (2000) apply Lintner(1956) dividend model to the Ohlson (1995) model and develop the Lintnerian linear accounting valuation model (henceforth, CM model). Bauer and Bhattacharyya (2007) suggest that Lintner's dividend model does not suit to describe the behavior of dividend policies of firms and establish an alternative dividend policy process. This study applies Bauer and Bhattacharyyas’ (2007) dividend model to the Ohlson (1995) model and develops another accounting valuation model and tests Ohlson (1995) model, CM model, and our model.
In this study, we use unit root test and the same unit root test after the order difference process. And then test the Engle and Granger (1987) cointegration method. Based on a sample of 1564 firm years completed panel data from 1973 year to 2006 year, we find that all of the test variables are stationary after the first order difference process at the 0.05 level and all of our test models have long-run equilibrium relation. Besides, our model’s cointegration ratio is almost 100 percent and is higher than others. Thus, our model is more suitable than others to describe the firm’s equity value.

並列關鍵字

Ohlson Model ； Lintner Model ； ADF test ； Engle and Granger test

參考文獻

Ahmed, A. S., R. M. Morton, and T. F. Schaefer, 2000.“Accounting Conservatism and the Valuation of Accounting Numbers: Evidence on the Feltham-Ohlson (1996) Model.”Journal of Accounting, Auditing & Finance, Forthcoming.

Bauer, L., and N. Bhattacharyya, 2007. “Rethinking Lintner: An Alternative Dynamic Model of Dividends,” Working paper, University of Newfoundland, and University of Alaska Anchorage.

Berkowitz, J. and L. Giorgianni, 1997.“Long-Horizon Exchange Rate predictability?” International Monetary Fund Working Paper, 97/6.

Bond, M. T., and M. Mougoue, 1991.“Corporate Dividend policy and the partial adjustment Model,” Journal of Economics and Business 43, 165-177.

Callen, J. L., and M. Morel, 2000.“A Lintnerian Linear Accounting Valuation Model,”Journal of Accounting, Auditing & Finance 15, 301-314.