Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/18784
標題: 智慧資本訊息與預期報酬訊息—變異數分解模型之應用
Intellectual Capital News and Expected Returns News-An Application of Variance Decomposition Model
作者: 張哲勳
Chang, Che-Hsun
關鍵字: Intellectual Capital News;智慧資本訊息;Stock Returns;Vector autoregressive model;Variance Decomposition;Underreaction;股票報酬;向量自我迴歸;變異數分解;反應不足
出版社: 會計學研究所
摘要: 
近年來由於企業的權益市價已大幅度地超出帳面價值,代表企業對智慧資本的投入已無法反映在資產負債表上,使得歷史性財務報表漸不具價值攸關性與資訊有效性,導致智慧資本與無形資產之議題盛行。因此,本文以Campbell (1991) 與Callen and Segal (2004) 的理論模型,以及Ohlson (1995) 之權益評價模式為基礎,將股票報酬 (超額股票報酬) 分解為智慧資本訊息與預期報酬訊息 (預期超額報酬訊息),推導出一含有智慧資本之股票報酬變異數分解模型。在實證研究上,係利用向量自我迴歸的方法,探討影響股票報酬 (超額股票報酬) 之因素,以及各訊息在影響股票報酬 (超額股票報酬) 時的相對重要性。其次,本文將智慧資本區分為已入帳智慧資本與未入帳智慧資本,將股票報酬分解為已入帳智慧資本訊息、未入帳智慧資本訊息與預期報酬訊息,並且分析其對股票報酬之影響,以及各訊息在影響股票報酬時的相對重要性。最後,本文更將驗證美國股票市場在獲知智慧資本訊息與預期報酬訊息 (預期超額報酬訊息) 時,對於未預期股票報酬 (未預期超額股票報酬) 之反應狀況。
實證結果發現,股票報酬的確受到智慧資本訊息所影響,而智慧資本訊息對股票報酬 (超額股票報酬) 的影響力大於預期報酬訊息 (預期超額報酬訊息)。其次,在進一步將智慧資本區分為已入帳智慧資本與未入帳智慧資本之後發現,已入帳智慧資本與未入帳智慧資本二者皆具有價值攸關性,股票報酬也的確受到已入帳智慧資本訊息與未入帳智慧資本訊息所影響,而且已入帳智慧資本訊息對股票報酬的影響力大於預期報酬訊息與未入帳智慧資本訊息。最後,美國股票市場對於智慧資本訊息、已入帳智慧資本訊息與未入帳智慧資本訊息普遍存在反應不足的現象,而當中對未入帳智慧資本訊息之反應不足情況較輕微,對智慧資本訊息之反應不足情況最為嚴重。

It is commonly observed that firms' market prices are well above their book values. This might suggest that the values of intellectual capital are not fully reflected in the balance sheet, and thus the financial reports seem to lose their value relevance and information effectiveness, leading to the popularity of issues relevant to intellectual capital. Therefore, I adapt the theory models proposed by Campbell (1991), Callen and Segal (2004), and equity valuation model by Ohlson (1995) in my research, decompose the stock returns/excess stock returns into intellectual capital news and expected returns news, and thus induce the variance decomposition model for intellectual capital news and expected returns news. I use the vector autoregression (VAR) to find what drives stock returns/excess stock returns, and identify the drivers of stock returns/excess stock returns. I further split intellectual capital into recorded and non-recorded intellectual capital, and ivestigate the value relevance of recorded intellectual capital news, non-recorded intellectual capital news and expected returns news. Finally, I explore how the US stock market reacts to the unexpected stock returns when considering intellectual capital news and expected returns news.
The results show that intellectual capital news is the main driver of stock returns and excess stock returns in the US stock market. Moreover, after decomposing intellectual capital into recorded intellectual capital and non-recorded intellectual capital, the recorded intellectual capital news is the dominating driver of stock returns/excess stock returns, and then the non-recorded intellectual capital news, the excepted returns news has least impact on stock returns/excess stock returns. Finally, I found that when only considering the respective influence of recorded intellectual capital news, non-recorded intellectual capital news and excepted returns news is not sufficient to fully explaining the changes in the US stock market prices.
URI: http://hdl.handle.net/11455/18784
Appears in Collections:會計學系所

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