An Application of the Residual Income Valuation Model to Track the Variation of Stock Prices of Insurance Companies

剩餘盈餘評價模型於追蹤保險公司股價變化的應用

10.30003/JRM.201005.0002

詹芳書(Linus Fang-Shu Chan)；郭維裕(Wei-Yu Kuo)；蔡政憲(Cheng-Hsien Tsai)

剩餘盈餘 ； 真實價值 ； 異常盈餘 ； Residual Income ； Intrinsic Value ； Abnormal Earnings

風險管理學報

12卷1期（2010 / 05 / 01）

33 - 51

英文

我們利用財務比率來建構一個簡單的迴歸模型以追蹤保險公司股價的變化。除了股價/淨值比與本益比之外，我們加入一個新的解釋變數，股價／真實價值比來解釋保險公司股價的變化。真實價值的估計是依據Ohlson（1995）提出的剩餘盈餘評價模型，藉由引入異常淨盈餘的觀念來估計公司的真實價值。研究結果發現反映未來異常盈餘的公司真實價值，略高於公司的淨值，且此結果不因不同的折現因子而有差異；另一方面，股價／真實價值比在解釋保險公司股價變化上並未提供更多的解釋能力，此結果可歸因於保險公司常透過準備金科目來調整異常盈餘所致。

In this paper, a simple regression model was constructed to track the variation of insurance company stock prices. Ohlson's residual income valuation model (1995) was used to create a new financial ratio P/V (price to intrinsic value) to be compared with P/B (price to book value) and P/E (price to earning) ratios. Ohlson's model helped to incorporate the clean surplus relationship to estimate the intrinsic value of insurance firms. It was found that the Ohlson's estimation has a minor improvement of book value under abnormal earning forecasting for finite future periods and does not have an obvious difference under the various discount factors. The regression model with high R-square results from the stable increment of book value and estimation of intrinsic value V.

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