The Influences of a Stock Market's Environmental Factors on Returns/Earnings Association

股市環境因素影響報酬與盈餘關聯性之研究

朱立倫(Eric Li-Luan Chu)

《臺大管理論叢》 8卷1期 (1997/08) Pp. 129-156

https://doi.org/10.6226/NTURM1997.8.1.129

摘要

本研究針對會計盈餘與市場報酬率之關聯性，是否受到證券市場環境變化之影響，加以探討。其目的在於解釋台灣證券市場之會計資訊於不同時間，因環境因素之改變而具有不同的資訊內涵。
本研究計算台灣地區民國71年至81年度之市場年報酬率與會計盈餘之關係，發現盈餘與市場報酬率之關係，雖然如理論預期般地每年皆具有統計之正相關，但其相關之程度會受到許多市場環境因素變化之影響。本研究發現年度盈餘與市場報酬率之相關程度與股市波動程度呈負相關，盈餘反應係數與市場規模、利率、股價變異程度與交易金額等呈正相關。本研究同時也發現，營業所得之反應係數會隨市場規模之擴大與經驗之累積而增加。此項結果也間接支持了會計品質有逐年提昇之趨勢。反之，非營利所得，在股市波動劇烈，周轉率較高，交易金額較大時，扮演著重要之角色。此項結果亦支持了非營業所得於經濟景氣較差，市場風險較高時，扮演著重要角色。
本研究之結果，不唯說明了經濟因素與會計品質為影響會計資訊內涵之主要變數，亦提供未來研究控制與解釋會計資訊內涵研究之基礎。

關鍵字

影響 ； 環境因素 ； 報酬 ； 盈餘 ； 關聯性

並列摘要

This paper discusses the possible reasons of changes in returns/earnings association for different periods in Taiwan. The fast boom in economy and rapid growth in accounting environment are argued as the explanations. Annual returns/earnings regression for the period from 1982 to 1992, a period with significant changes in market's factors, are examined. The results show that stock returns are positively associated with accounting earnings for every year. Both operating and non-operating incomes provide information to the market. However, returns/earnings association varies from year to year possibly due to changes of several market factors. The R^2s and F values of yearly returns/earnings regression are negatively related to the variance of stock market. The R^2s and F values also decrease when the market trades heavily. Earnings response coefficients increase with market size, interest rate, market variance and trading volume. The study also presents that coefficient of operating income is sensitive to market size and calendar year. This phenomenon suggests that accounting quality may have been improved gradually. The coefficient of non-operating income is positively related to the market variance, stock market growth, trading volume and turnover rate. Yet it is negatively associated with economic growth rate. These results also imply that non-operating income plays an important role during heavy trading or risky years. Conversely, non-operating income is less important as the economy booms.
The study concludes that accounting information quality has been gradually improved in the past decade. The role of operating income becomes more important as the market maturing. The study also suggests that returns/earnings association in Taiwan is sensitive to the economic growth and market risk.

並列關鍵字

Influence ； Environmental Factors ； Returns ； Earnings ； Association