應計項目組成之波動、盈餘品質與股票報酬

The Variation of Accrual Components, Earnings Quality and Stock Returns

10.29871/JNTCB.200901.0001

賴梨雯(Le-Wen Lai)；薛敏正(Min-Jeng Shiue)

應計數 ； 盈餘品質 ； 股票報酬 ； 應計項目組成之波動 ； Accruals ； earnings quality ； stock returns ； the variation of accrual components

北商學報

15期（2009 / 01 / 01）

1 - 21

繁體中文

本研究旨在探討應計項目組成之波動和盈餘品質與證券報酬間之關聯。以1999年至2003年間之臺灣上市公司為樣本，而應計數品質的衡量係參酌Sloan (1996)及Chan et al. (2006)有關應計項目及應計項目組成之定義，並參考Leuz, Nanda and Wysocki (2003)以應計項目組成之波動性捕捉應計數品質。盈餘品質衡量方面，則分別參照Leuz, Nanda and Wysocki (2003)有關盈餘平穩化之主張及Dechow, Sloan and Sweeney (1995)提出之橫斷面修正後Jones模式計算出之裁決性應計數（取絕對值）等三項盈餘品質之代理變數。研究結果發現，僅觀察應計數品質與股票報酬之關連性時，市場會對應計數品質綜合指標低者給予正面之評價。進一步測試應計數品質、盈餘品質與股票報酬之關連性時發現，當應計數及其組成波動的變異性愈低，亦即其盈餘愈平穩者，其盈餘品質愈高，相對伴隨而來的股票報酬愈高。

The purpose of this research is to examine the relation among the quality of accruals, earnings quality and stock returns. We follow the approaches suggested by Sloan (1996) and Chan et al. (2006) to measure accruals and earnings quality. Samples are collected from Taiwan Listed firms between 1999 and 2003.We find a negative and significant relation between the quality of accruals and stock returns. As accurals and the variablity of their components are smooth, they are accompanied with high earning quality and the quality of accruals, which suggest higher stock returns.

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