The Effect of Systematic Risk on Equity Valuation: An Extended Application of the Ohlson Equity Valuation Model

系統性風險對於股權評價之影響－Ohlson模式之延伸應用

10.7118/JHSS.200806.0069

吳博欽(Po-Chin Wu)；汪倩人(Chien-Jen Wang)

不確定性 ； Ohlson股權評價模型 ； 非會計資訊 ； 系統性風險 ； uncertainty ； Ohlson equity valuation model ； non-accounting information ； systematic risk

人文暨社會科學期刊

4卷1期（2008 / 06 / 01）

69 - 81

英文

本研究著重在原始Ohlson股權評價模型「未定義非會計資訊」之問題上，嘗試以代表「系統性風險」的因素作爲「未定義非會計資訊」之替代變數，實證分析不確定性因素對於股權價值之影響，以及此修正後之Ohlson股權評價模型的預測績效。使用美國和台灣市場作爲樣本，取樣期間自1996年第二季至2006年第四季。實證結果顯示，「系統性風險」因素對於股權評價具有重要之影響，且修正後Ohlson股權評價模型比原始Ohlson股權評價模型展現較優之預測力。此外，「帳面價值」和「異常盈餘」在美國及台灣兩個股市對於權益皆有顯著正向的影響。在以「系統性風險」所代表之非會計資訊方面，對台灣股市之影響程度超過美國股市，其中物價波動、匯率波動和實質面之經濟成長波動對台灣公司股價具有顯著的影響，而利率波動在兩市場則呈現顯著相反的影響。

This research focuses on the problem of ”undefined non-accounting information” from the original Ohlson equity valuation model. Systematic risk is here regarded as the proxy variable in undefined non-accounting information for improving forecasting performance and observing the effect of systematic risk on stock prices. When U.S. and Taiwan stock markets are used as empirical samples spanning the period from Q2 1996 to Q4 2006, the results indicate that the revised Ohlson model displays better forecasting performance than the original model. The impacts of book value and abnormal earnings on equity value are significantly positive in both U.S. and Taiwan markets. For non-accounting information captured by systematic risk, both different effects and a greater impact on Taiwanese firms are shown. Commodity prices, exchange rates and real economic growth volatilities cause significant effects only in Taiwan; moreover, the interest rate volatility shows a significant but opposite effect in the two markets.

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