Title

現金變化:盈餘持續性和股市反應

Translated Titles

Change in cash:Persistence of Earning and Market Pricing

DOI

10.6342/NTU.2015.00309

Authors

陳書雋

Key Words

現金變化 ; 持續性 ; 市場效率 ; 定價意涵 ; change in cash ; persistence ; market efficiency ; pricing implication

PublicationName

臺灣大學會計學研究所學位論文

Volume or Term/Year and Month of Publication

2015年

Academic Degree Category

碩士

Advisor

葉疏

Content Language

繁體中文

Chinese Abstract

本研究拆解盈餘中的現金組成要素,並分析其持續性特徵以及定價意涵,並特別著重現金變化此一要素。公司會因為營運基本需求改變而使得現金變化到達某一最佳水準。另一方面,來自於代理問題的次佳現金變化造成經理人的作為會侵蝕股東的最大財富。本研究預期不論是次佳的現金增加或減少將預告較低的次期盈餘,而實證結果符合此預期。事實上,當不考慮應計數及歸屬於股東及債權人之分配時,本研究發現次佳的現金增加(減少)時具有最低(高)的盈餘持續性。在市場效率測試中,本研究發現市場並不會嚴重處罰(符合理性定價)有次佳現金減少的公司,然而,本研究發現並足以支持市場會過度反應未經授權的現金增加此一盈餘意涵之自負假說。

English Abstract

This paper decomposes the cash component of earnings and analyzes persistence characteristic and pricing implications of various subcomponents, with particular attention to changes in cash. Changes in underlying fundamentals might dictate changes in cash to new optimal levels. Alternatively, suboptimal changes in cash might result from agency costs allowing managers’ actions to diverge from the best interests of shareholders. We predict and find that both suboptimal increases and decreases in cash bode poorly for future earnings. In fact, we find that suboptimal increases (decreases) in cash have less (greater) persistence than any the earnings components we study, not including accruals and net distributions to both shareholders and debt holders. Market efficiency tests indicate that the market do not severely punishes firms with suboptimal decreases in cash, but we find evidence to support the hubris hypothesis that the market overreacts to the earnings implications of unwarranted increases in cash.

Topic Category 管理學院 > 會計學研究所
社會科學 > 財金及會計學
Reference
  1. 方偉廉,「子公司負債與母公司財務風險、股權市值及系統風險之關聯性:合併財務報表資訊價值之探討」,國立台灣大學會計研究所未出版博士論文,民國 97 年。
    連結:
  2. 李淑華、蔡彥卿,「合併財務報表規範、盈餘組成份子持續性及股市理性定價之研究」,證券市場發展季刊,第二十三卷第三期,民國100 年,153-198 頁。
    連結:
  3. 李淑華、簡雪芬、蔡彥卿,「權益法長投之投資淨收益:盈餘持續性與股市反應」,管理與系統,第二十一卷第三期,民國103年,483-516頁
    連結:
  4. 金成隆、鄭丁旺,「持續性與非持續盈餘反應係數」,會計評論,第三十一期,民國 88 年,19-42 頁。
    連結:
  5. 林維珩、盧鎮瑋,「股價對強制性財務預測反應之效率性研究」,會計評論,第四十一期,民國 94 年,53-75 頁。
    連結:
  6. 林維珩、簡俱揚、張福星、盧鎮瑋,「合併財務報表編製實務變革對股價效率性之影響」,2008會計理論與實務研討會論文集,台中:中華會計教育學會暨國立中興大學會計學系,民國 97 年。
    連結:
  7. 曹壽民、紀信義、劉正良,「股市對創新活動的評價是否具有效率性?從研發效率與內部人交易 論析」,會計評論,第四十五期,民國 96 年,27-55頁。
    連結:
  8. 張仲岳,「損益表的分類與獲利能力的預測」,當代會計,第二卷第一期,民國 90 年,1-16 頁。
    連結:
  9. 張仲岳、張君玉,「負盈餘資訊內涵-以負盈餘持續性觀之」,2003 會計理論與實務研討會論文集,台南:中華會計教育學會暨國立成功大學會計學系,民國 92 年。
    連結:
  10. 劉順仁,財務報表就像一本故事書,台北:時報文化出版企業股份有限公司,民國 94 年。
    連結:
  11. ACHARYA, V. A.; H. ALMEIDA; AND M. CAMPELLO. “Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies.” Journal of Financial Intermediation 16 (2007): 515-54.
    連結:
  12. BATES, T. W.; K. M. KAHLE; AND R.M. STULZ. “Why Do U.S. Firms Hold So Much More Cash Than They Used To?” Journal of Finance 64 (2009): 1985-2021.
    連結:
  13. BALL, R. and BROWN, P., “An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research, Vol. 6, No. 2, 1968, pp. 159-178.
    連結:
  14. BARKER, R.,“Reporting Financial Performance,” Accounting Horizons, Vol. 18, No. 2, 2004, pp. 157-172
    連結:
  15. COHEN, D.A.; A. DEY; AND T. Z. LYS. “Real and Accrual-Based Earnings Management in the Pre- and Post-Sarbanes-Oxley Periods.” The Accounting Review 83 (2008): 757-87.
    連結:
  16. DECHOW, P. M. “Accounting Earnings and Cash Flows as Measures of Firm Performance: The Role of Accounting Accruals.” Journal of Accounting and Economics 18 (1994): 3-42.
    連結:
  17. DECHOW, P. M.; S. A. RICHARDSON; AND R. G. SLOAN. “The Persistence and Pricing of the Cash Component of Earnings.” Journal of Accounting Research 46 (2008): 537-66.
    連結:
  18. DITTMAR, A., AND J. MAHRT-SMITH. “Corporate Governance and the Value and Cash Holdings.” Journal of Financial Economics 83 (2007): 599-634.
    連結:
  19. DUCHIN, R. “Cash Holdings and Corporate Diversification.” Journal of Finance 65 (2010); 955-92.
    連結:
  20. FAMA, E. F., AND K. R. FRENCH. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1993): 3-56.
    連結:
  21. FAMA, E. F., AND J. D. MACBETH. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy 81 (1973): 607-36.
    連結:
  22. FERGUSON, M.F., AND R. L. SHOCKLEY. “Equilibrium ‘Anomalies’.” Journal of Finance 58 (2003): 2549-80.
    連結:
  23. FOLEY, C. F.; J. C. HARTZEELL; S. TITMAN; AND G. TWITE. “Why Do Firms Hold So Much Cash? A Tax-Based Explanation.” Journal of Financial Economics 86 (2007): 579-607.
    連結:
  24. FRESARD, L. “Financial Strength and Product Market Behavior: Financial Strength and Product Market Behavior: The Real Effects of Corporate Cash Holdings.” Journal of Finance 65 (2010): 1097-122.
    連結:
  25. FRESARD, L., AND C. SALVA. “The Value of Excess Cash and Corporate Governance: Evidence from U.S. Cross-Listings.” Journal of Financial Economics 98 (2010): 359-84.
    連結:
  26. GUNNY, K. A. “The Relation Between Earnings Management Using Real Activities Manipulation and Future Performance: Evidence from Meeting Earnings Benchmarks.” Contemporary Accounting Research 27 (2010): 855-88.
    連結:
  27. HAN, S., AND J. QIU. “Corporate Precautionary Cash Holdings.” Journal of Corporate Finance 13 (2007): 43-57.
    連結:
  28. HARFORD, J.;S. A. MANSI; AND W. F. MAXWELL. “Corporate Governance and Firm Cash Holdings in the U.S.” Journal of Financial Economics 87 (2008): 535-55.
    連結:
  29. HARRIS, R. S., AND F. C. MARSTON. “Value Versus Growth Stocks: Book-to-Market, Growth, and Beta.” Financial Analyst Journal 50 (1994); 18-24.
    連結:
  30. HOLLIE, D.; C. NICHOLS; AND Q. ZHAO. “Effects of Cash Flow Statement Reclassifications Pursuant to the SEC’s One-Time Allowance.” Journal of Accounting and Public Policy 30 (2011): 570-88.
    連結:
  31. JENSEN, M. C. “Agency Costs of Free Cash Flow, Corporate Finance and Takeovers.” American Economic Review 76 (1986): 323-29.
    連結:
  32. JENSEN, M.C., AND W. H. MECKLING. “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure.” Journal of Financial Economics 4 (1976): 305-60.
    連結:
  33. OLER, D., AND M. PICCONI. “Implications of Insufficient and Excess Cash for Future Performance.” Contemporary Accounting Research 31 (2014): 253–83.
    連結:
  34. RAMAKRISHNAN, R. T. S. and Thomas, J K., “Valuation of Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings,” Journal of Accounting, Auditing and Finance, Vol. 13, No. 3, (1998):301-36.
    連結:
  35. Sloan, R. G.,“Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?” The Accounting Review, Vol. 71, No. 3, 1996, pp. 289-315
    連結:
  36. SWAMINATHAN, S. AND WEINTROP, J., “The Information Content of Earnings, Revenues and Expenses”. Journal of Accounting Research, Vol. 29, No. 2, 1991, pp. 418-427.
    連結:
  37. THOMAS, W. B., “A Test of the Market’s Mispricing of Domestic and Foreign Earnings,” Journal of Accounting and Economics, Vol. 28, No. 3, 2000, pp. 243-267.
    連結:
  38. XIE, H., “The Mispricing of Abnormal Accruals,” The Accounting Review, Vol. 76, No. 3, 2001, pp. 357- 373.
    連結:
  39. ZANG, A. Y. “Evidence on the Trade-Off Between Real Activities Manipulation and Accrual-Based Earnings Management.” The Accounting Review 77 (2012): 675–703.
    連結:
  40. ZHANG, R. “Cash Flow Management, Incentives, and Market Pricing.” Working paper, Peking University, 2006.
    連結:
  41. ZHANG, R. “Cash Flow Management in the Chinese Stock Market: An Empirical Assessment with Comparison to the U.S. Market.” Frontiers of Business Research in China 3 (2009): 301–22.
    連結:
  42. 張仲岳,「盈餘持續性與股價之關聯性研究」,1998 會計新環境國際研討會論文集,台北:東吳大學,民國 87年。
  43. 張福星,「合併財務報表與母公司財務報表盈餘組成成份相對資訊之研究」,國立政治大學會計 學研究所未出版博士論文,民國86 年。
  44. 曾惠瑾,「7 號公報合併財務報表及 5 號公報長期股權投資會計處理準則常見問題與企業因應之 道」, 資誠通訊,第 188 期,民國 95 年,5-8頁。
  45. 游淑婷,「應計項目評價分析--區分正負盈餘樣本」,國立中山大學財務管理學系未出版碩士論 文,民國 95 年。
  46. FAIRFIELD, P., R. SWEENY, and T. YOHN. “Accounting Classification and the Predictive Content of Earnings”, Accounting Review, 71(1996): 337-355.