王泰昌2006-07-262018-06-292006-07-262018-06-291999http://ntur.lib.ntu.edu.tw//handle/246246/18366本研究的目的在於以股票價格的 變動及股價盈餘差數（price-earnings spread ，本益比的自然對數值）來研究 股價對盈餘衝擊(earnings shock)的反應。首先假設盈餘的隨機過程 (stochastic process)為一永久性部份 (permanent component)與暫時性部份 (transitory component)的總和，和許多 文獻不同的是：永久性部份不一定需假 設為隨機漫步(random walk)，此係一過 於強烈的假設。利用如Modigliani & Miller(1961) 及Miller & Rock (1985) 的股票評價模型可以將一公司之盈餘 與股價連結在一起。由於本研究假設永 久性盈餘不一定是隨機漫步，在分解為 永久性及暫時性部分時會有認定 (identification)的問題，前述的理論關 係可以幫助我們在為股價變動及股價 盈餘差數設立二元時間序列模型時做 認定。納入股價盈餘差數的理由在於股 價及盈餘之間可能有共積的現象，因此 可採用類似Engle and Granger (1987)中提及的誤差修正模型(error correction model, ECM) 方法。本研究利用二元的移動平均模型(bivariate moving average model, BMAR)及二元自我相關模型(bivariate auto-regressive model, BVAR) 配合著前述 的理論關係將股價及盈餘的衝擊分解 為永久性及暫時性的部份，透過變異數 分解 (variance decomposition) 及脈衝 反應分析 (impulse response analysis) 進一步瞭解股票價格及其變動與本益 比對永久性及暫時性的盈餘衝擊的動 態反應，有助於我們了解股價變動的影 響因素及影響方式。本研究的結果指出 投資人並無法區分盈餘中的永久性及 暫時性部份，這可以解釋股票平均數復 歸 (mean-reverting) 現象造成的可能原 因為股票報酬率中有很大一部份的性 質為暫時的。股價盈餘差數的變動主要 源於盈餘暫時性的衝擊，這也顯示股價 相對於盈餘在盈餘有暫時性的衝擊時 會有較劇烈的反應。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.application/pdf136481 bytesapplication/pdfzh-TW國立臺灣大學會計學系暨研究所永久性盈餘暫時性盈餘股票價格二元時間序列模型permanent earningstransitory earningsstock pricesbivariate time series modelotherhttp://ntur.lib.ntu.edu.tw/bitstream/246246/18366/1/882416H002010.pdf