子公司增額盈餘與台灣上市櫃公司股價報酬相關性之研究

Relationship between Incremental Subsidiary Earnings and Stock Returns for Taiwan’s Publicly Listed Companies

徐新花(Hsin-Hua Hsu)

指導教授 ： 胡為善

中原大學/商學院/會計研究所/碩士(2004年)

https://doi.org/10.6840/cycu200400466

摘要

本研究之主旨係探討子公司增額盈餘與台灣母公司股價之關聯性，藉由合併財務報表中子公司之財務資訊與母公司財務報表所提供之資訊內涵，由盈餘組成成份分析與股價之關聯性研究。本文研究結果如下所述：
1. 本研究發現母公司盈餘與子公司盈餘相較之下，母公司盈餘對於預期次年度合併盈餘的解釋能力仍大於子公司盈餘資訊，顯示台灣的集團企業多數仍須仰賴母公司貢獻其盈餘。
2. 本研究也發現子公司的盈餘變動與次年之股票報酬率間呈顯著正相關，顯示當期之股票價格並未完全反應當期的子公司增額盈餘的變動。且子公司增額盈餘對股價的預測關聯性優於母公司盈餘。此結果與合併財務報表所提供與價值相關的資訊，優於僅母公司財務報表所提供的資訊相符。
3. 本研究對於子公司增額盈餘與長期股票報酬間之實證結果顯示子公司增額盈餘與未來股票報酬間的關係並未持續超過次一年，在第二年或第三年之後的股票報酬皆無達到顯著水準。
4. 據子公司增額盈餘所建立零投資避險組合，在組成後的次一年產生年平均2.99%的異常報酬率，正避險組合異常報酬的形態與市場低估子公司增額盈餘的特點相符。而在避險組合組成後的第兩年及第三年，平均的異常報酬並不顯著，此點與上個結論一致，即異常報酬是不會持續超過一年，進ㄧ步強化當t+1年合併盈餘為人所知後，市場會完全修正未妥善訂價之t年子公司增額盈餘，而不會持續到t+2年或t+3年之結論。
　　彙總以上結論，表示我國較傾向市場未能妥善定價。此結果表示，在子公司增額盈餘公佈後，股票價格的反應會落後，但在次年即會修正，惟這種異常報酬並不會延續到延後一期及其後的期間。

關鍵字

子公司盈餘 ； 母公司盈餘 ； 合併報表

並列摘要

Abstract
This study explores the relationship between incremental subsidiary earnings and future rate of returns on stocks in Taiwan. By using the financial information from consolidated financial statements of the subsidiary company and that of the principal company, this work analyzes the relationship between the retained earnings and the stock price. The results are summarized as follows：
I. The findings indicate that the financial statements of parent-only company and subsidiary company earnings in Taiwan. The parent-only company earnings can provide more available information on forecasting next period’s earnings of the consolidated financial statements than that of the subsidiary company. This result suggests that the financial data of parent-only company is more useful than that of the consolidated companies.
II. The result shows that the security prices ddi not fully reflect the change of incremental subsidiary company earnings in the current period, and incremental subsidiary company’s earnings are superior to parent-only company’s earnings in forecasting security price for next year. This result confirms that the information provided by the financial statement of the parent and subsidiary companies are better than those of the parent-only companies.
III. The result also demonstrates that the subsidiary company’s incremental earnings of the current year does not have significant impacts on the stock price of the same company for next two and three years.
IV. The perfect-hedged portfolio was constructed on the basis of the incremental earnings of the subsidiary company. The average annual abnormal rate of return on this perfect-hedged portfolio is 2.99% for next year, which confirms the assumption that the average abnormal rate of return of the subsidiary company’s incremental earnings was underestimated by the stock market.
This study also finds that the average abnormal rate or returns on the perfect-hedged portfolio for the next two and three years are not significantly different from zero, which confirms the fact that abnormal rate of return in current year does not have any impact on the same company for the periods over next year.
In summary, this findings confirm that the stock market is mispriced. This study suggests that there is a one year lag of reported changes between stock price and the incremental earnings of the subsidiary company. However, the incremental earnings in current year will not have any impact on the stock prices for the years htereafter.

並列關鍵字

consolidate statement ； subsidiary earnings ； parent-only earning

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