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姓名 劉奕孜(Yi-Tzu Liu)  查詢紙本館藏   畢業系所 企業管理學系
論文名稱 從企業生命週期探討應計項目異常現象
(Accrual Anomaly over Firm Life Cycle)
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摘要(中) 本研究探討公司所處的生命週期是否會影響應計項目的持續度與應計項目異常現象,實證結果發現:(1)成長、衰退期公司之應計項目持續度較現金流量持續度低;成熟期公司之應計項目持續度較現金流量持續度高。(2)投資人無法正確反應在不同生命週期下,應計項目與現金流量對下一期盈餘的影響。(3)由於股市無法正確評估企業生命週期對盈餘持續性之影響,因此在不同生命週期下,基於應計項目異常現象所發展的投資組合策略,將可獲得超額報酬;且基於生命週期與應計項目異常現象所獲得的投資組合報酬,會大於只基於應計項目異常現象所獲得的報酬。
摘要(英) This paper explores the persistence of accruals and accrual anomaly over a firm’s life cycle. Our empirical results show that: (1) the persistence of the accrual component of earnings is lower than that of cash flows for growing and declining firms and is greater for mature firms (2) stock market fails to properly reflect the impact of accruals and cash flows on the future earnings over different stages of life cycles. (3) The trading strategies based on different firm life cycles and accrual anomaly generate abnormal positive one-year-ahead returns. Finally, we find that the returns acquired based on both life cycle and accrual anomaly will exceed that based on accrual anomaly only.
關鍵字(中) ★ 市場效率
★ 生命週期
★ 應計項目異常現象
關鍵字(英) ★ firm life cycle
★ accrual anomaly
★ market efficiency
論文目次 中文摘要………………………………………………………… i
英文摘要………………………………………………………… ii
目錄……………………………………………………………… iii
表目錄…………………………………………………………… iv
壹、緒論………………………………………………………… 1
貳、文獻探討…………………………………………………… 4
2.1 應計項目與財務報表異常現象的文獻…………… 4
2.2 企業生命週期的文獻……………………………… 5
參、研究假說………………………………………………… 7
3.1 企業生命週期對盈餘持續度的影響……………… 7
3.2 股市對企業生命週期之盈餘持續度的反應……… 10
3.3 套利投資組合策略………………………………… 11
肆、研究方法………………………………………………… 12
4.1 樣本選取…………………………………………… 12
4.2 變數衡量…………………………………………… 13
4.2.1 財務報表資訊變數……………………………… 13
4.2.2 生命週期定義…………………………………… 14
4.2.3 股票異常報酬之衡量…………………………… 16
4.3 研究設計…………………………………………… 17
4.3.1 假說一模型……………………………………… 17
4.3.2 假說二模型……………………………………… 18
4.3.3 假說三模型……………………………………… 20
伍、實證結果………………………………………………… 21
5.1 變數敘述統計……………………………………… 21
5.2 係數分析…………………………………………… 23
5.2.1 盈餘持續性檢定………………………………… 23
5.2.2 市場效率性檢定………………………………… 25
5.2.3 套利投資組合策略……………………………… 26
陸、敏感性分析……………………………………………… 28
6.1 以不同方法區分生命週期階段…………………… 28
6.2 控制平減因子……………………………………… 31
柒、結論……………………………………………………… 34
參考文獻……………………………………………………… 35
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指導教授 曹壽民(Shou-min Tsao) 審核日期 2007-7-6
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