應計項目與價值－成長型股異常現象關聯性之驗證

Examination of the Relation between Accrual and Value-Glamour Anomalies

吳貞和(CHEN-HO WU) ； 洪振虔(CHEN-CHIEN HUNG) ； 張俊文(JUN-WEN CHANG)

《輔仁管理評論》 26卷2期 (2019/05) Pp. 1-41

摘要

應計項目與價值－成長型股兩異常現象，主要分屬會計與財務領域，至今都還是尚待探究的議題。本研究將市價淨值比解構為市場錯誤評價、會計保守程度與投資機會等三項組成，發現其與Lewellen & Resutek（2016）將應計項目解構為投資相關與非交易相關應計項目的組成間存在著連結，據此進一步檢驗兩異常現象之關聯，並驗證錯誤評價與風險對此異常現象之解釋。研究結果發現，市場錯誤評價是市價淨值比的主要成分，而市價淨值比異常現象涵蓋了應計項目異常現象，市場錯誤評價與風險兩者都是其對未來報酬率具有預測能力的成因。

關鍵字

應計項目 ； 價值－成長股 ； 錯誤評價 ； 市價淨值比

並列摘要

Accruals and value-glamour anomalies, mainly classified into the field of accounting and finance, respectively, are ongoing debating issues till now. We decompose market-to-book ratio into three parts, including mispricing, accounting conservatism, and investment opportunities, and it is found that there is a link between investment-related and nontransaction accruals, which are divided from total accruals by Lewellen and Resutek (2016). This study tests the correlation between the two anomalies, and further verifies the mispricing and risk explanations of this anomaly. The results show that the market mispricing is the main component of the market-to-book ratio and the accruals anomaly is the glamour stock phenomenon in disguise. Mispricing and risk both are the reasons why accruals and market-to-book ratio can predict future stock return.

並列關鍵字

Accruals ； value-glamour stocks ； mispricing ； market-to-book ratio

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