Does Stock Market Misprice Growth in Long-term Net Operating Assets?

股市對長期淨營業資產之成長是否能理性反應？

10.6160/2010.06.08

李淑華(Shu-Hua Lee)；柯伯昇(Po-Sheng Ko)；方偉廉(Wei-Lian Fang)；李文智(Wen-Chih Lee)

應計異象 ； 理性投資決策 ； 淨營業資產 ； 理性定價 ； 過度反應 ； accrual anomaly ； rational investment decision ； net operating assets ； rational pricing ； over reaction

中山管理評論

18卷2期（2010 / 06 / 01）

563 - 588

英文

Fairfield et al. （2003）認為公司當年度淨營運資產增加，將會使次年度的資產報酬率下降，其原因為（1）邊際報酬遞減以及（2）保守原則。該論文也發現股市對下列兩項財務資訊均過度反應：應計項目與長期淨營業資產的成長。本論文則認為若公司投資決策比較合乎理性投資的假設，則公司新計畫的預期投資報酬率應該會高於其資金成本率，所以平均而言，今年度資產報酬率低於資金成本率的公司若增加淨營業資產，則次年度的資產報酬率應該會上升；反之，今年度資產報酬率高於資金成本率的公司若增加淨營業資產，則次年度的資產報酬率是否增加就無法定論，因為新投資的預期報酬率不一定比舊投資的報酬率高。另本文亦討論FWY所提之穩健會計論點：該文認為公司增加營運資產，次年績效將會降低是因為穩健會計，但本文認為穩健會計將使投資計畫初期無法資本化支出較多，因此未來年度相對績效反而將增加，這似乎也與FWY之預期相反。本文之實證結果支持我們的兩項不同論點。

Fairfield et al. (2003) propose that the reasons why firms investing more in net operating assets at current year will experience lower one-year ahead ROA arise from both diminishing marginal returns on investment (Stigler, 1963) and conservative accounting (Penman, 2001). They also reveal that investors appear to equivalently overprice accruals and growth in long-term net operating assets. Their evidence shows that firms with a growth in long-term net operating assets would be, on average, less profitable in the following year.However, we argue that rational firms should invest in long-term net operating assets when the internal rates of returns of the new projects are higher than the required rate of returns. For firms with current ROA lower than the required rate of returns, their future ROA should be, on average, increasing if they increase investments. For firms with current ROA higher than the required rate of returns, the future ROA could be increasing or decreasing, since the result depends on the relative levels of the current ROA and the internal rate of returns of the new projects. Empirical evidence is more consistent with our rational investment argument.The evidence is also inconsistent with FWY's argument regarding conservative accounting bias. When firms increases operating asset, conservative accounting bias means that expenditures should be expensed when incurred, not to defer them into the future. This could result in a higher one-year-ahead ROA, unless these expenditures persist into the next year. Since most projects involve some form of start-up costs, we believe that, under possible conservative accounting, the accounting treatment for the second year of the asset life would be less conservative than that of the first year. So, the second year ROA will not be, on average, decreasing as FWY expected.

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