Ohlson Model 中其它資訊價值攸關性之實證訮究

An Investigation of the Value Relevance of Other Information in Ohlson Model

張乃仁(Nai-Ren Chang)

指導教授 ： 李詩政

元智大學/管理學院/會計學系/碩士(2008年)

摘要

Ohlson(1995)發展會計評價模型，推導出股價可由當期財務報表之帳面價值 異常盈餘與其它資訊進行評估。然而，Ohlson 模型並未明確定義其它資訊為何， 故我們將以實證研究探討其它資訊的攸關性且檢驗在過去文獻中所提到的其它 資訊中何者是最重要的。這篇研究，我們發現實證結果中無論是從最小平方法或 是Panel模式的觀點來看，分析師預測的解釋能力相對高於其它資訊代理變數， 它最能有效提昇模型的解釋能力。這個實證結果和之前的文獻係一致的，顯示分 析師預測能提昇市場價值的攸關性，此外，實證調查結果指出大部份的其它資訊 能更佳反映出公司的市場價值。

關鍵字

Ohlson模型 ； 其它資訊 ； Panel資料固定效果 ； 隨機效果

並列摘要

Ohlson (1995) developed an equity valuation model, in which the market value
of equity is considered as a function of Book value, accounting earnings, and
unspecified other information. The unspecified nature of the other information in this
model precludes direct empirical validation of the model’s information dynamics. Our
study discusses synthetically backward-looking value relevance of other information
and exam which candidate in the literature is all-important. We find both in the OLS
and panel data model that the R-square of analysts forecast is significantly higher than
all other information candidates. The result is consistent with the predictions of prior
study (Dechow et al., 1999; Ohlson, 2001) show that the value relevance of analysts
forecast on the market value. Moreover, the empirical investigation of other
information also reflects the market’s perception of the effect of firm’s value better.

並列關鍵字

Ohlson Model ； Other information ； Panel data ； Fixed effect ； Random effect

參考文獻

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Aaker, D. A., 1996, New York: Free Press, Building Strong Brands.

Aaker, D. A., and R. Jacobson, 1994, The Financial Information Content of Perceived

Quality, Journal of Marketing Research 31, 191–201.

Aboody, D.,1996, Market valuation of employee stock options, Journal of Accounting