- 學位論文
CFROI® 與EVA® 對股票報酬關聯性之研究
On The Relationship between CFROI®, EVA® and Stock Returns
摘要
一套有效的績效評估方法不僅能協助投資人制定買賣決策，亦可用來衡量公司價值，進而幫助經理人擬定改善績效指標的方針，創造公司價值或避免公司價值的流失。而與公司價值變動最攸關的會計資訊為盈餘，故傳統上亦發展出一套以盈餘為主的績效衡量指標，唯此類傳統指標完全忽略權益資金成本及公司風險（Ehrbar, [27]） ，針對此點，近年來逐漸發展出異於傳統的評價方法來評估公司的真正價值，以「現金流量投資報酬率」（CFROI®）及「經濟附加價值」（EVA®）最受到廣泛討論與注意（Madden, [34]、Stewart, [42]），唯相關的比較與討論仍少，本研究即根據上述論點，探討CFROI、EVA及其他衡量指標在臺灣股市中對股票報酬的解釋能力，以說明資金成本觀念在績效衡量指標及市場評價之重要性。實證結果發現以EBEI及CFROI對股票報酬的解釋能力為較優，其次為EVA、RI及CFO。而在考慮資金成本的方法中，CFROI明顯較EVA更具資訊內涵，當公司管理者及投資大眾以盈餘評估企業經營績效的同時，CFROI較EVA更適合作為績效衡量的參考指標，在依公司特性進行的敏感性分析中，CFROI仍明顯優於EVA，與上述結果一致。
並列摘要
An effective performance evaluate method could not only help investors making investment decisions but also help managers make management decisions to improve the value of firm. The most relevant accounting information with the change of firm’s value are earnings, so traditionally there exist a performance evaluate method based on earnings. However, this method neglected the cost of capital and firm risk (Ehrbar, [27]), the results are not satisfied. By this reason, there are new evaluation methods like CFROI® and EVA® were developed (Madden, [34], Stewart, [42]). The studies about the comparison of these methods are still rare. For the purposes to explore the importance of cost of capital on performance evaluation, we tested the explain ability of CFROI®, EVA®, and other evaluation index to the Taiwan stock market. Our empirical results show that the EBEI and CFROI® have the highest relationship with stock performance. In the methods, which considered the cost of capital, the CFORI® better than the EVA® as a performance evaluation index significantly. The sensitive analysis also shows the same results.