博碩士論文 100430018 詳細資訊




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姓名 劉泰癸(Liu Taikuei)  查詢紙本館藏   畢業系所 會計研究所
論文名稱 會計資訊對系統風險之增額預測能力
(The incremental ability to forecast systematic risk by accounting information)
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摘要(中) 過去有關預測系統性風險的研究,最常見的議題不外乎是用何種預測模式對何種產業或經濟個體有較佳的預測性,抑或是系統性風險與會計變數之間的關聯性。然而,無論是使用實際β去預測未來系統性風險,或是利用會計資訊去預測系統性風險。每種預測模式都含有對預測有用之資訊,因此,本研究利用市場模式與會計估計方法所組合而成的混合基礎模型,並以1976至2010年美國上市公司為研究樣本,去探討會計資訊是否對於預測系統性風險具有增額效果。實證結果顯示,多數會計變數在未受到總體經濟變動狀況下,與系統性風險之間的關聯性與預期方向相同,與先前文獻一致。而在混合基礎模型以及單變量迴歸檢定下,發現的確可單獨藉由具有潛在影響力的會計資訊去預測系統性風險,但若要透過會計資訊的輔助提高預測力,會計資訊增額輔助效果則是相較有限的。
摘要(英) In the past, a common issue with systematic risk prediction is which method better predicts systematic risk in industry and economic identity, or the relevance between systematic risk and accounting variables. However, both market-based forecasts and accounting information each contain some useful information for the prediction of systematic risk. Hence, this paper uses a composite forecast model, which combines both methods to investigate the additional effect on predicting systematic risk by accounting information with listed companies in United States from 1976 to 2010. The study shows most variables’ expectation signs would not change under general economic conditions, consistent with previous research. Under the examination of composite forecasts model and univariate regression, we can predict systematic risk by potential accounting information. However, the incremental forecasting effect of accounting information is limited.
關鍵字(中) ★ 系統性風險
★ 預測模式
★ 會計資訊
關鍵字(英) ★ Systematic risk
★ Forecast model
★ Accounting information
論文目次 目錄
摘要 ................................i
Abstract ...............................................ii
誌謝....................................................iii
目錄 ....................................................iv
圖目錄 ...................................................v
表目錄 ...... ............................................vi
第一章 緒論 .............................................1
1-1 研究動機 ...........................................1
1-2 研究目的 ...........................................2
1-3 研究架構 ...........................................2
第二章 文獻探討 ..........................................4
2-1 β值決定因素.........................................4
2-2 β值預測模式.........................................5
第三章 研究方法 ..........................................7
3-1 市場基礎預測模型(Market-based Forecasts)............7
3-2 會計基礎預測模型(Accounting-based Forecasts) .......8
3-3 混合基礎模型(Composite Forecast Model)及樣本與資料..11
第四章 實證結果與分析 ....................................13
4-1 敘述性統計.........................................13
4-2 β值與會計變數關聯性.................................16
4-3 β值預測結果........................................21
第五章 結論與建議 .......................................26
5-1 結論..............................................26
5-2 後續研究建議 .......................................26
參考文獻 .................................................28
參考文獻 [中文部分]
[1]Eugene F. Brigham,Joel F. Houston著,現代財務管理,姜堯民譯,九版,華泰文化,台北,民國九十三年。
[英文部分]
[1] Beaver, W. H., P. Kettler, and M. Scholes, 1970. The Association Between Market
Determined and Accounting Determined Risk Measures. Accounting Review, 45(4): 654-682.
[2] Breen, W.J. and E.M. Lerner, 1973. Corporate financial strategies and market measures of risk and return. The Journal of Finance, 28(2): 339-351.
[3] Bollerslev, T., R. F. Engle, and J. M. Wooldridge, 1988. A capital asset pricing model with time varying covariance. Journal of Political Economy, 96: 116-131.
[4] Brimble, M. and A. Hodgson, 2007. Assessing the risk relevance of accounting variables in diverse economic conditions. Managerial Finance, 33(8): 553-573.
[5] DeJong, D. and D. Collins, 1985. Explanations for the instability of equity beta: Risk-free rate changes and leverage effects. Journal of Financial and Quantitative Analysis, 20(1): 73-94.
[6] Elgers, P. T., 1980. Accounting Based Risk Prediction: A Re-examination. Accounting Review, (July 1980), 389-408.
[7] Eskew, R. K., 1979, The Forecasting Ability of Accounting Risk Measure: Some Additional Evidence. Accounting Review, (January 1979): 107-118.
[8] Fama, E. F. and K. R. French, 1992. The cross-section of expected stock returns. Journal of Finance, 47: 427-465.
[9] Hamada, R. S., 1972. The effects of the firm capital structure on the systematic risk of common stock. Journal of Finance, 24(May): 435-452.
[10] Hill, N.C. and B.K. Stone, 1980. Accounting betas, systematic operating risk, and financial leverage: A risk-composition approach to the determinants of systematic risk. Journal of Financial and Quantitative Analysis, 15(3): 595-637.
[11]Hong, G. and S. Sarkar, 2007. Equity Systematic Risk (Beta) and Its Determinants. Contemporary Accounting Research, 24(2): 423-466.
[12]Lee, C.F., et al, 1986, On Accounting-based, Market-based and Composited-based Beta Prediction: Methods and Implications, The Financial Review 21(1): 51-68.
[13]Lev, B., 1974. On the association between operating leverage and risk. Journal of Financial and Quantitative Analysis, 9(4): 627-641.
[14] Logue, D.E. and L.J. Merville, 1972. Financial policy and market expectations. Financial Management 1(1): 37-44.
[15]Mandelker, G. and S. G. Rhee, 1984. The impact of the degrees of operating and financial leverage on systematic risk of common stock. Journal of Financial and Quantitative Analysis, 19(1): 45-57.
[16]Melicher, R. W., 1974. Financial factors which influence beta variations within a homogeneous industry environment. Journal of Financial and Quantitative Analysis, 9(2): 231-241.
[17]Myers, S. C., 1977. The relation between real and financial measure of risk and return, Forthcoming in J. Bicksler and I. Friend, eds., Studies in Risk and Return (Cambridge:Ballinger Publishing Company).
[18]Thompson, D., 1976. Sources of systematic risk to common stocks. Journal of Business, 49(2): 173-188.
[19]Sharp, W., 1964. Capital Asset Price: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19:425-442.
[20]Turnbull, S.M., 1977. Market value and systematic risk. The Journal of Finance, 32(4): 1125-1142.
指導教授 郭南廷 審核日期 2013-7-8
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