我國上市公司獲利能力指標與股價變動之研究

• Main Author: 楊炎杰
• Other Authors: 郭弘卿
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/04724419925399507391

碩士 === 國立政治大學 === 會計研究所 === 85 === 　　The purpose of this study aims to investigate how investors apply profitability measures in their investment decisions. For example, does an investor prefer accounting rate of return or returns on investment or other specific profitability measure to evaluate the change in firm''s value? This is the main research question of this study. Chen (1992), Chiau (1995) and others demonstrated that accounting earnings is an useful information but its usefulness is quite unstable. Therefore, a profitability measure other than accounting earnings may be the one causing the unstable results. In order to obtain a generalized empirical result, this study compares classic (for example, Ball and Brown, 1968) to ERC (Earnings Response Coefficient) models (Collins and Kothari, 1989). The results of this study can be used for explaining which profitability measure is more sueful in Taiwan stock market. In addition, the results can provide a relotive explanation whether ERC model is an appropriate one or not. 　　The samples selected from listed companies in Taiwan stock market between 1991 to 1995 during which Taiwan stock market enjoyed a stable market environment. This character fits the requirements of hypotheses. In addition, in order to properly describe price characteristics, this study applies a statistical classificatory method to classify all samples into three. groups underlying the properties of CAR (Cumulative Abnormal Returns). 　　The empirical findings can be summarized as follows. 　　‧Each defined profitability measure, including accounting earnings, can significantly explain the variability of stock returns. In addition, there exists significant correlation among defined profitability measures. 　　‧The classification of samples underlying CAR does increase the explanatory power of profitability/return relationship. In particular, the larger and smaller CAR samples exhibit better profitability/return relationship than medium group does. 　　‧No matter whether classic or ERC model is applied, the empirical results are similar each other. Thus, the ERC model may not be a generalized model in Taiwan stock market. It requires more research to develop a generalized empirical model for substtuting ERC model referring the special characters of Taiwan stock market. The theory of economics of informational asymmetry may be the one.