非線性模式與會計穩健下的盈餘持續性

Earnings persistence in nonlinear models and accounting conservatism

鄭哲惠(Che-Hui Cheng)

指導教授 ： 薛富井 ； 吳博欽

國立臺北大學/商學院/會計學系/博士(2009年)

摘要

本文探討盈餘持續性(earnings persistence)的相關議題，第一：以非線性的時間序列模式(STAR與STARX模型)估計個別公司的盈餘持續性。本模型可解決共線性，以及反映公司盈餘序列的波動與不規則趨勢。因此，改進預期盈餘的評估績效。最重要的是，STAR與STARX模型可映盈餘結構的轉換，使盈餘持續性在不同區間，其遞延效果不同。第二：檢視會計穩健與盈餘持續性的關係。實證結果顯示，公司的盈餘穩健性愈高，盈餘持續性愈低且盈餘回復速度較快。然而，當會計政策較偏向中立者時，盈餘持續性較高且盈餘回復速度較慢。此外，應計項目組成在穩健會計所扮演的角色亦獲得支持，且當應計項目組成的穩健性趨於中立性時，應計項目資訊確實較現金流量表現出較高的盈餘持續性，而隨著穩健程度提升，此關係則會有反轉的現象。最後，目前財務會計準則觀念性架構不再包括穩健原則，而本文的實證結果即可佐證目前準則制定的方向。

關鍵字

盈餘持續性 ； 平滑轉換模型 ； 穩健會計 ； 應計項目組成 ； 現金流量組成

並列摘要

This dissertation explores earnings perisitence issues. First, this paper employs nonlinear STAR and STARX models to evaluate earnings persistence effects at firm-level. The models can resolve the collinearity problem between predictors; reflect firms’ volatile or irregular earnings streams, likely derived from long-run investment, and provide more useful information in improving forecasting performance. Most importantly, they can describe differential earnings persistence effects between different regimes, less verified in previous studies. Our empirical results crucially support these arguments. Second, this paper examines the relationship between accounting conservatism and earnings persistence from the point of view in valuation relevance. The empirical tests generally support our hypothesis that accounting conservatism is negatively related to earnings persistence and positively related to mean reversion. Moreover, we investigate whether earnings persistence can reflect the information about accounting conservatism in the accrual and cash flow components. The empirical results show that accounting conservatism brings about substantial improvements in accrual components, and is negatively related to earnings persistence. An important implication is that, The Boards was successful in meeting its stated goal of not including conservatism, then it would increase valuation relevance. This outcome is consistent with the objects of the joint FASB/IASB projects.

並列關鍵字

earnings persistence effect ； smooth transition model ； conservatism ； accrual component of earnings ； cash flow component of earnings

參考文獻

吳博欽、申志偉、潘聖潔 (2009)，“匯率的非線性調整、套利與經濟價值可預測性”, 人文及社會科學集刊, Vol. 21, 101-142.

潘聖潔、黃永昇、吳博欽 (2011)，“現金流量風險值之估計”, 管理與系統, Vol.18, No.2.

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