請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/40730
標題: Residual Income, Non-earnings Information, and Information Content
作者: Tsay, R.S.
林宜勉
Lin, Y.M.
Wang, H.W.
關鍵字: residual income valuation model
non-earnings information
permanent
earnings
growth opportunity
free cash flow
security returns
stock returns
agency costs
equity
valuation
determinants
prediction
equations
prices
期刊/報告no:: Journal of Forecasting, Volume 28, Issue 6, Page(s) 487-511.
摘要: We extend Ohlson's (1995) model and examine the relationship between returns and residual income that incorporate analysts earnings forecasts and other non-earnings information variables in the balance sheet, namely default probability and agency cost of a debt covenant contract. We further divide the sample based on bankruptcy (agency) costs, earnings components and growth opportunities of a firm to explore how these factors affect the returns-residual income link. We find that the relative predictive ability for contemporaneous price by considering other earnings and non-earnings information is better than that of models without non-earnings information. If the bankruptcy (agency) cost of a firm is higher, its information role in the firm's equity valuation becomes more important and the accuracy of price prediction is therefore higher. As for non-earnings information, if bankruptcy (agency) cost is lower. the information role becomes more relevant, and the earnings response coefficient is hence higher. Moreover, the decomposition of unexpected residual income into permanent and transitory components induces more information than that of the Unexpected residual income alone. The permanent component has a larger impact than the transitory component in explaining abnormal returns. The market and industry properties and growth opportunity also have incremental explanatory power in valuation. Copyright (C) 2008 John Wiley & Sons, Ltd.
URI: http://hdl.handle.net/11455/40730
ISSN: 0277-6693
文章連結: http://dx.doi.org/10.1002/for.1104
顯示於類別:企業管理學系所

文件中的檔案:
沒有與此文件相關的檔案。


在 DSpace 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。