葉疏Yeh, Shu臺灣大學:會計學研究所王瑄Wang, HsuanHsuanWang2010-05-052018-06-292010-05-052018-06-292008U0001-2107200809582600http://ntur.lib.ntu.edu.tw//handle/246246/179899Nissim and Penman (2006) 及Ohlson (2006)指出現行一般公認會計原則規範下之盈餘，同時融合資產負債表和損益表之觀點，會降低盈餘衡量企業價值之攸關性。例如，企業提列資產減損損失係基於資產負債表觀點，而提列減損損失不但會降低當期盈餘，也會造成未來折舊費用減少而使次年度盈餘提高。本研究之目的係檢驗投資人是否瞭解企業提列資產減損將使次年度折舊費用減少，而使市場不在次年度對此部分盈餘增加數予以反應。本研究以2002-2006年美國提列資產減損之企業為樣本，以股價與盈餘之迴歸分析檢驗因提列減損損失降低之折舊費用金額與次期股價報酬之關係，發現兩者呈現顯著之正向關連性；另以企業認列之減損損失或因提列減損而降低之折舊費用究金額高低分組，買入金額高的群組並賣出金額低的群組，研究發現此避險組合可以賺取超額報酬。前述迴歸分析與避險組合結果顯示投資人可能無法正確瞭解後續年度盈餘會因為提列減損而增加之現象。然而本研究另以不影響次期盈餘之商譽減損損失提列作為對照樣本，亦發現企業於提列商譽減損損失次年度會有超額報酬，故無法排除市場於企業提列資產減損損失當年度可能有過度低估企業價值；而於次年度發現企業實際盈餘並未持續惡化，因此將股價向上修正之可能性。整體來說，本研究結果顯示投資人無法無偏頗地估計提列資產減損後之盈餘。為避免投資人誤判企業之價值，會計準則制訂機關可考慮採用單純損益表觀點衡量會計盈餘 (Ohlson, 2006)。Nissim and Penman (2006), and Ohlson (2006) notice that extant GAAP mixes both balance sheet and income statement perspectives in measuring earnings and thus will decrease accounting earnings’ usefulness in securities valuation. For example, asset write-offs are recognized under balance sheet perspective, and they not only decrease current earnings, but will also increase the future earnings due to the reduction in subsequent depreciation expenses accompanied by the asset write-offs. The purpose of this study is to address whether investors understand the implications of decreased depreciation expense due to write-downs recognition, and hence the market will not react to the increase in reported earnings in the following year. The sample includes all U.S.A firms in Compustat database that recognized write-offs in their financial reports during the period of 2002-2006. The security return - earnings change regression results indicate that the decreases in depreciation expense accompanied by the write-down recognition is positively related to security return in the next year. The hedge return results also support the findings of regression analysis. As expected, hedge returns are significantly different from zero when based upon write-down amount or the decreased depreciation expense. This is consistent with that investors do not anticipate correctly the earnings increase after write-downs period. However, this study also examines the future security returns for a sample of firms reported goodwill write-down which has no effect on the subsequent earnings, and finds the amount of goodwill write-offs is positively correlated with security return in the next year. It means that the possibility of reversal of overreaction in the year of write-down cannot be ruled out. Overall, the results are consistent with that investors cannot assess the implication of asset write-offs for future earnings in an unbiased way. To avoid the misevaluation by investors, the accounting standard boards might want to consider adopting the pure income statement approach in earnings measurement (Ohlson, 2006).口試委員會審定書 i謝 ii文摘要 iv文摘要 v一章 研究動機及目的 1二章 文獻探討 9一節 盈餘在評估企業價值時扮演之角色 9二節 美國財務會計準則公報中對資產減損之規範 12三節 企業提列資產減損之資訊內涵之相關文獻 14四節 資產減損之報導方式爭議 18五節 市場效率性及資產減損對於企業價值評價之影響 21六節 市場效率性相關研究 22三章 實證設計和樣本選取 24一節 假說推導 24二節 實證設計 33四章 實證結果 38一節 提列資產減損與否之企業特性差異 38二節 提列減損與否與次期營業績效之關連性 40三節 提列減損造成之折舊費用降低數，與次期營業績效之關連性 41四節 投資人對於提列減損企業之價值評估 42五節 市場效率性測試-形成避險投資組合 45六節 分析師對資產減損金額與次期盈餘關連性之認知 45五章 敏感性測試 48一節 提列減損後盈餘增加數係實質經營績效改善，故投資人給予此類企業股票較高之評價 48二節 股價報酬之其他衡量方法 50三節 樣本偏誤之可能性（提列減損後經營績效未改善之公司直接倒閉） 51四節 其他減損-商譽減損損失在投資人評價中扮演之角色 51六章 結論 53考文獻 55application/pdf458948 bytesapplication/pdfen-US資產減損市場效率性資產負債表觀點損益表觀點盈餘衡量asset write-downsbalance sheet perspectiveincome statement perspectiveearnings measurementhttp://ntur.lib.ntu.edu.tw/bitstream/246246/179899/1/ntu-97-D91722007-1.pdf