新績效衡量指標與股票報酬關聯性之研究

The Relationship between New Performance Measurements and Stock Returns

10.6295/TAMJ.2005.0501.04

呂麒麟(Chi-Lin Lu)；陳玉欣(Yu-Hsin Chen)

現金流量投資報酬率 ； 經濟附加價值 ； 績效衡量指標 ； CFROI(superscript ®) ； EVA(superscript ®) ； Performance evaluation index

台灣管理學刊

5卷1期（2005 / 02 / 01）

101 - 122

繁體中文

一套有效的績效評估方法不僅能協助投資人制定買賣決策，亦可用來衡量公司價值，進而可以幫助經理人擬定改善公司績效決策，創造公司價值或避免公司價值的流失。而與公司價值變動最攸關的會計資訊為盈餘，故傳統上亦發展出一套以盈餘為主的績效衡量指標，唯此類傳統指標完全忽略權益資金成本及公司風險(Ehrbar, 1998)，針對此點，近年來逐漸發展出異於傳統的評價方法來評估公司的真正價值，以「現金流量投資報酬率」(CFROI(上标 ®))及「經濟附加價值」(EVA(上标 ®))最受到廣泛討論與注意(Madden, 1998; Stewart, 1991)。唯相關的比較與討論仍少，本研究即根據上述論點，探討CFROI、EVA及其他績效衡量指標在臺灣股市中對股票報酬的解釋能力，以說明資金成本觀念在績效衡量指標及市場評價之重要性。實證結果發現以EBEI及CFROI對股票報酬的解釋能力為較優，其次為EVA、RI及CFO。而在考慮資金成本的方法中，CFROI明顯較EVA更具資訊內涵，當公司管理者及投資大眾以盈餘評估企業經營績效的同時，CFROI較EVA更適合作為績效衡量的參考指標，在依公司特性進行的敏感性分析中，CFROI仍明顯優於EVA，與上述結果一致。

An effective performance evaluation method can not only help investors make investment decisions but also help managers make management decisions to improve the value of firm. The most relevant accounting information to the change of firm's value is earnings. Therefore, the traditional method of performance evaluation is mostly based on earnings. However, this method does not take into account the cost of capital and firm risk (Ehrbar, 1998). For this reason, new evaluation methods like CFROI(superscript ®), EVA(superscript ®) are developed (Madden, 1998, Stewart, 1991) to overcome these drawbacks. Prior literature on the comparison of these methods remains rare. For the purpose of exploring the importance of cost of capital on performance evaluation, we tested the explanatory ability of CFROI(superscript ®), EVA(superscript ®), and other evaluation index on the Taiwan stock market. Our empirical results show that the EBEI and CFROI(superscript ®) can explain better the stock performance. In the methods that consider the cost of capital, CFORI(superscript ®) is significantly better than EVA(superscript ®) as a performance evaluation index. The sensitive analysis also shows the same results.

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