股票價格對於會計盈餘永久性及暫時性衝擊的反應

The purpose of this research project is to
use stock return and price-earnings spread to
study the impacts of earnings shocks on stock
prices.
We first assume that the stochastic process
of earnings and stock price consist of a
permanent and a transitory components. What
distinguishes this project from most
accounting and finance research is that the
permanent part of stock price or earnings need
not be random walk, which is unduly strong
for the sake of specifying a return generating
process. The stock valuation model in Modigliani & Miller (1961) and Miller &
Rock (1985) help to link a company’s
earnings and stock price. Since we do not
assume that the permanent part of earnings is
random walk, there will be an identification
problem with building a bivariate time series
model, which can be handled by invoking the
above-mentioned theoretical relation. We
then proceed by estimating both the bivariate
moving average and the autoregressive
models via the theoretical relation. Through
variance decomposition and impulse response
analysis, we are able to see how stock return
and price-earnings spread dynamically
respond to the permanent and temporary
shocks to accounting earnings, which tells us
how stock returns are determined. The results
of the analysis show that investors fail to
distinguish between the permanent and
transitory parts of earnings unmistakably. The
mean-reverting behavior of stock returns can
also be explained by the existence of a
significant temporary component in the stock
returns. The price-earnings spreads are mostly
explained by the temporary shocks to earnings.
This means that, induced by the temporary
component of earnings, stock prices respond
excessively to earnings.