盈餘之價值攸關性與預測現金流量能力

Value Relevance of Earnings and its Ability to Predict Future Cash Flows

劉郁芳(Yu-Fang Liu)

指導教授 ： 李淑華

國立臺北大學/商學院/會計學系/碩士(2011年)

摘要

近年會計文獻發現盈餘資訊對於股價之攸關性隨時間經過而下降，並發現盈餘資訊對於股價之價值攸關性有轉移至權益帳面價值資訊之趨勢。盈餘資訊之攸關性是否真的喪失？ Francis and Schipper（1999）主張當財務資訊內容涵括評價模型中所使用之變數或有助於預測評價模型使用之變數時，此會計資訊即具有價值攸關性。故本研究以民國79年至民國96年之國內上市公司為樣本，從盈餘資訊對於股價之價值攸關性及盈餘資訊預測未來營業現金流量之能力兩種角度分析，及探討其時間變化趨勢。本研究並進一步依會計準則發展歷程細分樣本期間為會計準則制定初期（民國79至民國88年）、會計準則積極修訂時期（民國89至民國93年）及歷史成本會計轉為公允價值會計時期（民國94至民國96年），以探討盈餘資訊對於股價之價值攸關性與盈餘資訊預測未來營業現金流量之能力於此三時期之變化趨勢。此外，本研究將樣本區分為正負盈餘次樣本，以檢視盈餘資訊對於股價之價值攸關性與盈餘資訊預測未來營業現金流量之能力是否因正負盈餘公司而有所不同。本研究之實證結果發現：
一、就盈餘資訊之價值攸關性而言：
（一）每股盈餘與每股權益帳面價值整體資訊對於股價之價值攸關性隨時間而顯著上升，每股盈餘資訊之增額價值攸關性隨時間而顯著上升，每股權益帳面價值資訊之增額價值攸關性則隨時間而顯著下降。
（二）就細分樣本期間之實證結果而言，每股盈餘與每股權益帳面價值整體資訊對於股價之價值攸關性於會計準則制定初期為顯著上升，其餘時期則為上升但不顯著；每股盈餘資訊之增額價值攸關性於細分之三時期變化趨勢分別為顯著上升、下降但不顯著及上升但不顯著；每股權益帳面價值資訊之增額攸關性於細分之三時期變化趨勢則分別為顯著下降、上升但不顯著及下降但不顯著，即每股盈餘及每股權益帳面價值資訊之價值攸關性變動趨勢於會計準則制定初期與不區分樣本期間（全部樣本期間）之趨勢相同。
（三）正負盈餘樣本每股盈餘資訊及每股權益帳面價值資訊對於股價之增額價值攸關性隨時間變化之趨勢不同，且正盈餘樣本每股盈餘資訊及每股權益帳面價值資訊之增額價值攸關性變化趨勢與全部樣本之結果相似。
二、就盈餘資訊預測未來營業現金流量之能力而言：
（一）控制當期營業現金流量之影響後，當期盈餘資訊對於預測下一年營業現金流量存在增額解釋力，即當期盈餘有助於預測下一年營業現金流量。
（二）當期盈餘預測下一年營業現金流量之預測能力隨時間而上升，但未達顯著水準；相反的，營業現金流量資訊則呈現下降之趨勢但不顯著。
（三）本研究並進一步發現當期盈餘資訊預測未來一年營業現金流量之預測能力變化趨勢於細分之三時期分別為顯著下降、上升但不顯著及下降但不顯著之趨勢。此外，在正負盈餘樣本中，當期盈餘資訊皆有助於預測未來一年營業現金流量，且其預測能力亦皆呈上升之趨勢但不顯著。

關鍵字

盈餘 ； 價值攸關性 ； 預測現金流量

並列摘要

Recent Accounting Researches indicate that value relevance of earnings has deteriorated over time, and it has been replaced by increasing value relevance of book value. Has earnings lost its relevance? Francis and Schipper（1999）state “financial information is value relevant if it contains the variables used in a valuation model or assists in predicting those variables”. According to this statement, we investigate the relevance of earnings from two points of view for samples of Taiwan Stock Exchange from 1980 through 2007. First, we examine the relationship between current earnings and stock prices based on the study of Collins, Maydew and Weiss（1997）. Second, we investigate the relationship between current earnings and future operating cash flows using the regression model of Kim and Kross（2005）. Besides, we investigated the relevance of earnings in three periods: (1) the period of preliminary setting accounting standards（from 1980 to 1999）, (2) the period of positively renewing accounting standards（from 1980 to 2004）, (3) the period of fair value accounting（from 2005 to 2007）. Furthermore, we classified our samples into two subgroups, one with positive earnings and the other with negative earnings, in order to examine whether the firms with positive or negative earnings have different impact on the relevance of earnings.
For the relationship between earnings and price, our findings include the follwing:
(1) Value relevance of earnings and book values has increased significantly over the period from 1980 to 2007. The incremental relevance of earnings has increased significantly, while the incremental relevance of book values significantly decreased.
(2) The trend of incremental relevance of earning and book values in the period of preliminary setting accounting standards is the same as in our total sample period.
(3) For the results of subgroups, we find the trends of incremental relevance of earning and book values are different between positive and negative earnings group. However, for the positive earnigs group, the trends of incremental relevance of earning and book values are similar with total samples.
For the relationship between current earnings and future operating cash flows, our findings include the follwing:
(1) Earnings significantly assist in predicting future operating cash flows.
(2) The ability of earings to predict future operating cash flows has insignificantly increased over time. On the contrary, the ability of current operating has insignificantly decreased over time.
(3) For the ability of earnings to predict future operating cash flows, we find it significantly decreased in the period of preliminary setting accounting standards, insignificantly increased in the period of positively renewing accounting standards, and then insignificantly decreased in the period of fair value accounting. For the results of subgroups, both positive and negative earnings significantly assist in predicting future operating cash flows, and their abilities to predict future operating cash flows have insignificantly decreased over time.

並列關鍵字

Earnings ； Value Relevance ； Predict Future Cash Flows

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