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題 名 | 持續與非持續盈餘反應係數之研究=Examining Earnings Response Coefficients of Permanent and Transitory Earnings Components |
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作 者 | 金成隆; 鄭丁旺; | 書刊名 | 會計評論 |
卷 期 | 31 1999.07[民88.07] |
頁 次 | 頁19-42 |
分類號 | 494.76 |
關鍵詞 | 持續性; 非持續性與傳統盈餘反應係數; 無母數雲狀迴歸加法性模型; Permanent; Transitory; Traditional eamings response coefficient; Non-parametric regression; Spline additive model; |
語 文 | 中文(Chinese) |
中文摘要 | 損益表中之盈餘,實係由各持續性互異之組成分子所彙總而成。本文旨在探討 持續與非持續盈餘反應係數之相關問題,包括:(1)二者之盈餘反應係數是否相同? (2) 系統 性風險等各種影響傳統盈餘反應係數的各種因素,對於盈餘中,持絨度不同之各組成分子的 盈餘反應係數之影響是否互異?(3) 傳統盈餘反應係數、 持續性盈餘反應係數與非持續性盈 餘反應係數三者之開係為何? 以及 (4) 探討持續、非持續盈餘與股價之關聯性時, 如何緩 和模式認定錯誤所產生之不利影響。 研究結果發現:1 持續性盈餘反應係數大於非持續性盈 餘反應係數,(2) 系統性風險對於持續性盈餘反應係數與非持續性盈餘反應係數之影響互異 ,(3) 傳統盈餘反應係數介於持續性盈餘反應係數與非持續性盈餘反應係數之間,且為此二 者的加權平均數。而此加權平均數係指未預期持續性盈餘之變異佔公司盈餘總變異之比率, (4) 使用無母數迴歸似可緩和模式認定誤差之現象,進而提高盈餘對股價之解釋力、解釋另 一盈餘 / 報酬關聯性偏低的原因。 |
英文摘要 | This paper studies the differential effects of permanent and transitory earnings components on Taiwan Stock Exchange companies' security returns. It also explores three related research questions: (1) do earnings response coefficients of permanent and transitory components of earnings (hereafter PERC and TERC) vary with interest rate and systematic risk coefficient, (2) what are the relationships among traditional ERC ' PERC and TERC, and (3) with significant difference in ERC's between the two earnings components and non-linearity of earnings-return relationship, how do we alleviate the adversary effect of model specification error on measuring earnings-returns relationships? Our findings indicate the followings: (1) PERC is significantly greater than TERC. Also, the systematic risk coefficient has differential effect on PERC and TERC, (2) traditional ERC is a weighted average of PERC and TERC, and is thus greater than (or equal to) TREC but less than (or equal to) PERC, where the weights are the ratios of the variances of PERC and TERC, respectively, (3) non-parametric spline additive regression model could reduce specification error and enhance the power for tests of earnings-returns relationships. |
本系統中英文摘要資訊取自各篇刊載內容。