會計評價模型的實證研究

An Empirical Investigation of the Accounting Valuation Models

賴純慧(Chun-Huei Lai)

指導教授 ： 李詩政

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2011年)

摘要

Ohlson (1995)與Feltham and Ohlson (1995, 1996)都是屬於剩餘所得模型的一種，其提供了嚴謹的架構去探討會計資訊對公司市場價值的影響。在不考慮其他資訊的情況下，Ohlson (1995)利用公司的帳面價值、剩餘所得去衡量公司的價值。而Feltham and Ohlson (1995)則多納入了營運資產、金融資產與營運獲利用以考慮超額獲利的成長與會計保守性對公司價值的影響。Feltham and Ohlson (1996)則是利用NPV的概念來解釋公司價值與會計資訊的關係，並多考量了折舊效果對公司價值的影響。根據價值攸關性的原則，此篇研究目的在於探討三個模型中，何者對公司價值最具有解釋能力。而為了解決變數非定態的問題，此篇研究使用共整合方法來檢測模型。而實證結果顯示Feltham and Ohlson (1995)的表現最佳。為了避免假性迴歸，此篇研究更利用Gallant, Rossi, and Tauchen (1992)的方法將非定態變數轉換成定態變數，用於檢測模型的解釋能力，而迴歸結果顯示Feltham and Ohlson (1995)的表現與共整合結果一致。因此由實證結果可知三個模型中Feltham and Ohlson (1995)的會計資訊對公司價值最具有攸關性。

關鍵字

剩餘所得模型 ； 共整合

並列摘要

Ohlson (1995) and Feltham and Ohlson (1995, 1996) are residual income models. These models provide a rigorous structure to examine the market value by current accounting data. Ignoring other information, Ohlson (1995) uses the book value and residual income to explain the firm’s value. Feltham and Ohlson (1995) increases operating assets, financial assets and operating earnings to consider the growth of abnormal earnings and accounting conservatism. Feltham and Ohlson (1996) uses NPV concept to explain the relationship between the firm’s value and accounting information and considers the effect of the depreciation policy. Based on the value relevance of accounting number, this research wants to compare the three models. To solve the nonstationarity problem, this research uses cointegration approach to examine these models. The result reports that the performance of Feltham and Ohlson (1995) is the best than Ohlson (1995) and Feltham and Ohlson (1996). To avoid the spurious regression, this research uses the method of Gallant, Rossi, and Tauchen (1992) to covert nonstationary variables to stationarity and examines the explained ability of models. And the result is consistent with the cointegration approach. The result of this research suggests the accounting information of Feltham and Ohlson (1995) is the most relevant of the firm’s value.

並列關鍵字

residual income model ； cointegration ； Ohlson (1995) ； Feltham and Ohlson (1995) ； Feltham and Ohlson (1996)

參考文獻

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