指導教授：王衍智臺灣大學：商學研究所莫教民Mo, Chiao-MinChiao-MinMo2014-11-282018-06-292014-11-282018-06-292014http://ntur.lib.ntu.edu.tw//handle/246246/262809本文研究股價報酬和盈餘操弄（earnings management，包含應計盈餘操弄 (accrual-based earnings management)和實質盈餘操弄 (real earnings management)）之間的關係。研究方法為收集美國所有上市公司在1987年到2012年的資料，然後從文獻選擇兩個指標偵測應計盈餘操弄、三個指標偵測實質盈餘操弄，接著使用Fama and MacBeth (1973)回歸測試這五個指標是否可以預測股價報酬。最後我們也比較股價報酬預測能力在沙賓法案 (Sarbanes-Oxley Act)前後是否有改變。 結果顯示1987年到2000年間應計盈餘操弄和實質盈餘操弄都可以有效預測美國上市公司的股價報酬，有較強跡象從事盈餘操弄的公司未來股價報酬顯著較低。不過此預測能力在2002年之後不再顯著，推測可能是因為在沙賓法案後，公司財報更加透明，而且投資人對盈餘操弄更加注意、對股票定價更加理性的緣故。 本文主要有三個貢獻。第一，本文是第一個研究美國所有上市公司的股價報酬和實質盈餘操弄的關係的文章。第二，本研究發現無論是應計盈餘操弄還是實質盈餘操弄對股價報酬的預測能力在沙賓法案（2002年）後都不再顯著。第三，本文發現公司刪減裁量費用對股價報酬無顯著影響。This paper examines the stock return predictability of both accrual-based earnings management and real earnings management. We collect whole U.S. listed companies during 1987 to 2012, and consider two measures to capture accrual-based earnings management and three measures to capture real earnings management. Then we conduct Fama and MacBeth (1973) regressions to test the stock return predictability of the five measures. Finally, we examine if the return predictive power differs in the pre- and post- Sarbanes Oxley Act periods Our empirical results suggest both accrual-based and real earnings management predict stock returns during 1987 to 2001. Firm-years with stronger tendency engaging in earnings management experience significantly lower future stock returns. However, the stock return predictability associated with earnings management disappears after 2002, which is probably because after Sarbanes-Oxley Act, financial reports become more transparent, and investors also pay more attention to earnings management and price stocks more rationally. We make three contributions to the literature. First, we complement existing literature by documenting the stock return predictability of real earnings management in the whole U.S. listed companies. Second, we find both the stock return predictability of accrual-based earnings management and real earnings management disappear after Sarbanes-Oxley Act. Third, we show that reducing discretionary expenses does not pose significantly negative influence on firms’ stock returns.謝辭 i 中文摘要 ii Abstract iii 1. Introduction 1 2. Literature Review 4 2.1. Accrual-Based Earnings Management Related Literature 4 2.2. Real Earnings Management Related Literature 5 3. Data and Methodologies 6 3.1. Sample Construction 7 3.2. Variable Definitions 8 3.3. Fama-MacBeth Regressions 14 3.4. Prediction of Empirical Results 15 4. Empirical Results 16 4.1. Firm-Years Characteristics 16 4.2. Estimation Models 17 4.3. Univariate Correlations 19 4.4. Fama-MacBeth Regressions 19 5. Conclusions 22 Appendix A. Variable Description 24 References 25450739 bytesapplication/pdf論文公開時間：2014/07/11論文使用權限：同意有償授權(權利金給回饋學校)應計盈餘操弄實質盈餘操弄股價報酬預測能力thesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/262809/1/ntu-103-R01741066-1.pdf