負盈餘之資訊內涵─以銷貨報酬率觀點

The Information Content of Negative Earnings- from Return on Sales

許齡丰(LING-FENG HSU)

指導教授 ： 李淑華

國立臺北大學/商學院/會計學系/碩士(2010年)

摘要

隨著近年來報導損失之公司越來越多，損失公司之盈餘資訊是否具有資訊內涵-也逐漸成為討論的議題。Hayn (1995)之實證結果顯示，若加入損失樣本，將使盈餘與股價間之關聯性降低。Collins, Pincus and Xie (1999)之實證結果指出，基本盈餘評價模型在評估損失公司時須加入權益帳面價值變數才不致產生偏誤。而Jenkins (2003)之研究結果則顯示以銷貨為基礎之未來盈餘(SAFE)要素與公司股價呈現正相關，且可用以評價損失公司。
本論文分為兩階段，第一階段彙整我國1991年至2008年之上市櫃公司(含已下市櫃公司)之報導盈餘，以瞭解我國公司損失之概況，發現我國報導損失之公司有逐年增加之趨勢，且公司報導連續損失之期間越長時，損失迴轉為獲利之機率會越低。從損失發生頻率上亦發現公司之損失可持續一段期間。
第二階段以1991年至2008年我國上市櫃公司(含已下市櫃公司)作為研究對象，探討市場對損失公司之評價，第一部分先以基本盈餘評價模型檢驗獲利公司與損失公司是否存在不同之盈餘資訊內涵；第二部分接著參考Jenkins (2003)提出以銷貨為基礎預測未來盈餘之模型，將當期盈餘區分為以銷貨為基礎之盈餘要素與剩餘盈餘要素，據此建立本研究以銷貨為基礎之盈餘評價模型，並檢視基本盈餘評價模型與以銷貨為基礎之盈餘評價模型何者較適用於損失公司之評價；最後考慮市場對損失公司繼續經營之疑慮，因此在以銷貨為基礎之盈餘評價模型中加入存活機率與破產機率之評估，以檢驗市場在評估損失公司時，是否會考量公司之存活(破產)情況。本研究之實證結果彙總如下：
1. 市場主要以報導盈餘對獲利公司進行評價，而對損失公司多以權益帳面價值作為評價之依據，顯示獲利公司與損失公司具有不同之盈餘資訊內涵。
2. 以銷貨為基礎所評估之盈餘要素對損失公司具有資訊內涵，且損失公司較適合採用以銷貨為基礎之盈餘評價模型作為評價模式，本研究結果顯示損益表資訊對報導損失之公司仍然具有資訊內涵。。
3. 在評價以銷貨為基礎之盈餘時，投資人會考量公司之未來存活情況；投資人在評價權益帳面價值時，亦會考慮其破產機率，亦顯示我國損失公司之權益帳面價值為清算價值之代理變數。

關鍵字

損失公司、負盈餘、盈餘資訊內涵、銷貨收入、評價

並列摘要

In recent years, an increasing number of companies reporting losses, the information content of negative earnings become a topic for discussion. Hayn (1995) finds that, sample including only loss firms would make the relation between earnings and security return become very weak. Collins, Pincus and Xie (1999) indicates that, book value variable should be added to basic earning valuation model should be added book value variable to correct the negative price-earnings relation. Jenkins (2003) shows that, the relation between sales-based earnings factor and price is positive and significant and can be used in the valuation of loss firms.
Therefore this study discusses two issues on loss firms in Taiwan. First, I compile the trend, frequency and duration of loss firms to understand extent of the losses in Taiwan’s list frim for the years between 1991 to 2008. We find that firms with reported losses become more frequent in recent years. The longer the loss history is , the lower probability the current loss will become profit in the following year. From the frequency of losses, we also find that losses can persist for a long time for some of the listed firms in Taiwan.
Second, I examine the earnings information content in loss firms in Taiwan from 1981 through 2008. In the first part, I use “basic-earnings valuation model” to study the difference of the information content of earnings between loss firms and profit firms. In the second part, in order to understand the information content in sale-based earnings, I use “sales-based earnings valuation model”, which is developed by Jenkins (2003), to evaluate loss firms. I then compare which model is suitabe for valuation of loss firms, the “basic-earnings valuation model” or the “sales-based earnings valuation model”. In the final part of the thesis, I add survival (bankruptcy) probability to test the market’s ability to assess the loss firms’ survival (bankruptcy). The empirical results are summarized as follows:
1. Market uses reported earnings to assess profit firms, and it uses equity book value to evaluate loss firms. This result implies that profit firms and loss firms have different information content in earnings.
2. Sales-based earnings factor contains information content for loss firms. And sales-based earnings valuation model is more suitable for loss firms then for profit firms. This means that income statement information still has information content for loss firms.
3. In assessing sales-based earnings, investors would consider loss firms' survival probability. Also, in assessing equity’s book value, investors would consider the probability of bankruptcy.

並列關鍵字

loss firms, negative earnings, information content, sales, valuation

參考文獻

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