筆記和歐洲相關論文
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5.投資原則:股票、定存、儲蓄、基金
論文識別碼 etd-0711108-233950
中文姓名 林奎元
英文姓名 Kuei-Yuan Lin
電子信箱 E-mail 資料不公開
系所名稱(中) 會計學系碩博士班
系所名稱(英) Accountancy
學年度 96
學期 2
學位 碩士
語文別 中文
論文種類 碩士論文
論文名稱(中) 應計項目異象─以北美和歐洲地區為例
論文名稱(英) The Accrual Anomaly─Evidence from North America and Europe
頁數 94
摘要(中) 本論文對於所考量之北美和歐洲地區10個國家的股票市場，檢測以美國股票市場之股價對於應計項目持續性過度反應為特徵之應計項目異象(Sloan 1996)，是一個僅存在於美國地區的現象還是一個普遍存在於北美和歐洲地區的現象。此外，本論文探究應計項目異象的發生是否和各國在會計和制度結構的差異性有關，並驗證應計項目異象之發生的兩項主要解釋─盈餘管理和進行套利之限制。
實證結果顯示，股價對於應計項目過度反應的現象普遍而言存在於北美和歐洲地區，不過集中發生於有著不成文法之法律傳統的國家。採用公司層級資料對個別國家之Mishkin檢定結果顯示，應計項目異象發生於四個國家─美國、加拿大、英國和荷蘭。採用國家層級資料，本論文證實應計項目異象較有可能發生於有著不成文法之法律傳統、外部股東權利較弱以及股權較為分散的國家。對於應計項目異象的兩項主要解釋的實證結果顯示，在加拿大，盈餘管理以及進行套利之限制解釋了應計項目異象的發生。
摘要(英) This paper considers stock markets in 10 countries to investigate whether the accrual anomaly (Sloan 1996), characterized by U.S. stock prices overweighting the role of accrual persistence, is a local manifestation of a global phenomenon. This paper explores whether the occurrence of the anomaly is related to country differences in accounting and institutional structures, and examines two main explanations for its occurrence.
This paper finds stock prices overweight accruals in general, with accruals overweighting occurring in countries with a common law relative to a code law tradition. Using firm-level data on a country-by-country basis, our paper documents the occurrence of the anomaly in four countries: the U.S., Canada, the U.K., and the Netherlands. Using country-level data, our paper confirms the anomaly is more likely to occur in countries having a common law tradition, and also in countries having weak shareholder rights and a lower concentration of share ownership. Additional analyses reveal that, in Canada, earnings management and barriers to arbitrage explain the occurrence of accrual anomaly.
論文目次 第一章 緒論 1
第一節 研究背景和研究動機 1
第二節 研究目的和研究方法 2
第三節 研究架構和研究結果概述 3
第二章 文獻回顧 7
第一節 探討應計項目異象之相關文獻 7
第二節 探討會計及制度結構之相關文獻 15
第三章 基本研究假設和樣本資料來源 20
第一節 基本研究假設 20
第二節 樣本資料來源和樣本資料選取期間 21
第四章 Mishkin檢定 22
第一節 變數定義 22
第二節 敘述性統計 22
第三節 實證模型設計 25
第四節 實證結果分析 27
第五章 跨國會計及制度結構特性與應計項目異象之迴歸分析 38
第一節 對於會計及制度結構特性的推論 38
第二節 變數定義 42
第三節 敘述性統計 43
第四節 實證模型設計和實證結果分析 46
第六章 異常報酬檢定 52
第一節 實證模型設計 52
第二節 實證結果分析 54
第七章 敏感性測試 60
第一節 變更營業現金流量定義之敏感性測試 60
第二節 變更報酬資料收集日之敏感性測試 67
第三節 將樣本期間分為兩段子期間之敏感性測試 73
第八章 應計項目異象之兩項主要解釋的異常報酬檢定 82
第一節 盈餘管理的異常報酬檢定和實證結果 82
第二節 進行套利之限制的異常報酬檢定和實證結果 83
第九章 彙總與結論 90
參考文獻 92
參考文獻 陳雅貞 1999, 台灣股票市場股價是否完全反應應計與現金流量項目對未來盈餘資訊之研究
黃仲賢 2003, 財務報表資訊與非財務報表資訊異常現象之探討: 以應計項目與非財務指標為例
陳碧瑩 2004, 會計異常現象與資訊不確定之關聯性研究
謝宗良 2005, 應計異象之研究─併購、現金增資及發行公司債之影響
許文瑜 2005, 盈餘組成要素持續性及市場反應之探討
李銘家 2006, 應計數可靠性與盈餘持續性及市場反應
劉奕孜 2007, 從企業生命週期探討應計項目異常現象
柯亭劭 2007, 應計項目異常現象與投資人持股行為
王晶琪 2007, 套利風險、交易成本、投資人精明度與應計異象之探究─以上市電子產業為例
Alford, A., J. Jones, R. Leftwich, and M. Zmijewski. 1993. The relative informativeness of accounting disclosures in different countries. Journal of Accounting Research 31 (Supplement): 183–223.
Ali, A., and L. Hwang. 2000. Country-specific factors related to financial reporting and the value relevance of accounting data. Journal of Accounting Research 38 (1): 1–21.
Ashbaugh, H., and M. Pincus. 2001. Domestic accounting standards, International Accounting Standards, and the predictability of earnings. Journal of Accounting Research 39 (3): 417–434.
Ball, R., S. P. Kothari, and A. Robin. 2000. The effect of institutional factors on properties of accounting earnings. Journal of Accounting and Economics 29 (1): 1–51.
Beneish, M., and M. Vargus. 2002. Insider trading, earnings quality, and accrual mispricing. The Accounting Review 77 (October): 755–791.
Bernard, V., and J. Thomas. 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 13: 305–340.
Bhattacharya, U., and H. Daouk. 2002. The world price of insider trading. Journal of Finance 57: 75–108.
Bhattacharya, U., H. Daouk., and M. Welker. 2003. The world price of earnings opacity. The Accounting Review 78: 641–678.
Bradshaw, M., S. Richardson, and R. Sloan. 2001. Do analysts and auditors use information in accruals? Journal of Accounting Research 39: 45–74.
Bushman, R., and A. Smith. 2001. Financial accounting information and corporate governance. Journal of Accounting and Economics 32: 237–333.
Bushman, R., and J. Piotroski. 2004. Financial reporting incentives for conservative accounting: The influence of legal and political institutions. Working paper, University of North Carolina.
Collins, D. W., and P. Hribar. 2000. Earnings-based and accrual-based market anomalies: One effect or two? Journal of Accounting and Economics 29: 101–124.
Coopers & Lybrand. 1993. International Accounting Summaries: A Guide for Interpretation and Comparison. 2nd Edition. New York, NY: Wiley.
Dechow, P., and C. Schrand. 2004. Earnings Quality. Charlottesville, VA: Research Foundation of CFA Institute.
Desai, H., S. Rajgopal, and M. Venkatachalam. 2004. Value-glamour and accruals mispricing: One anomaly or two? The Accounting Review 79: 355–385.
Fama, E., and J. MacBeth. 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 71 (May/ June): 607–636.
Fama, E. 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49: 283–306.
Holthausen, R. W. 2003. Testing the relative power of accounting standards versus incentives and other institutional features to influence the outcome of financial reporting in an international setting. Journal of Accounting and Economics 36: 271–283.
Hribar, P. and D. Collins. 2002. Errors in estimating accruals: Implications for empirical research. Journal of Accounting Research 40 (1): 105–134.
Hung, M. 2001. Accounting standards and value relevance of financial statements: An international analysis. Journal of Accounting and Economics 30: 401–420.
Jones, J. 1991. Earnings management during import relief investigations. Journal of Accounting Research 29 (2): 193–228.
Khan, M. 2005. Are accruals really mispriced? Evidence from tests of an intertemporal capital asset pricing model. Working paper, University of Toronto.
LaFond, R. 2005. Is the accrual anomaly a global anomaly? Working paper, Massachusetts Institute of Technology.
Land, J., and M. Lang. 2003. Empirical evidence on the evolution of international earnings. The Accounting Review 77: 115–133.
La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny. 1997. Legal determinants of external finance. Journal of Finance 52: 1131–1150.
La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny. 1998. Law and finance. Journal of Political Economy 106: 1113–1155.
Lee, C. 2001. Market efficiency and accounting research: A discussion of "Capital market research in accounting" by S. P. Kothari. Journal of Accounting & Economics 31 (1–3): 233–253.
Leuz, C., D. J. Nanda, and P. Wysocki. 2003. Earnings management and institutional factors: An international comparison. Journal of Financial Economics 69 (3): 505–527.
Mashruwala, C., S. Rajgopal, and T. Shevlin. 2006. Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs. Journal of Accounting and Economics 42 (1–2): 3–33.
Mishkin, F. 1983. A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models. Chicago, IL: University of Chicago Press.
Newey, W. K., and K. D. West. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (3): 703–708.
Pontiff, J. 2006. Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics 42 (1–2): 35–52.
Richardson, S., R. Sloan, M. Soliman, and I. Tuna. 2005. Accrual reliability, earnings persistence and stock prices. Journal of Accounting and Economics 39 (3): 437–485.
Sloan, R. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71: 289–315.
Warfield, T., J. Wild, and K. Wild. 1995. Managerial ownership, accounting choices, and informativeness of earnings. Journal of Accounting and Economics 20 (1): 61–91.
Xie, H. 2001. The mispricing of abnormal accruals. The Accounting Review 76 (3)357–373.
Zach, T. 2003. Inside the "accrual anomaly." Washington University in St. Louis.
關鍵字(中) 國際會計
異常應計項目
總應計項目
營業現金流量
應計項目異象
關鍵字(英) operating cash flows
accrual anomaly
total accruals
international accounting
abnormal accruals
口試委員 張福星 - 口試委員
陳耀宗 - 口試委員
王萬成 - 指導教授
論文檔案 etd-0711108-233950.pdf
本電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。
校園開放權限 校內外全部公開
國圖開放權限 立即開放 (Immedate access)
繳交日期 2008-07-11
來源:http://etdncku.lib.ncku.edu.tw/ETD-db/ETD-search-c/view_etd?URN=etd-0711108-233950
2.google資料庫
3.台灣碩博士論文資訊網
4.學習從模仿開始
5.投資原則:股票、定存、儲蓄、基金
論文識別碼 etd-0711108-233950
中文姓名 林奎元
英文姓名 Kuei-Yuan Lin
電子信箱 E-mail 資料不公開
系所名稱(中) 會計學系碩博士班
系所名稱(英) Accountancy
學年度 96
學期 2
學位 碩士
語文別 中文
論文種類 碩士論文
論文名稱(中) 應計項目異象─以北美和歐洲地區為例
論文名稱(英) The Accrual Anomaly─Evidence from North America and Europe
頁數 94
摘要(中) 本論文對於所考量之北美和歐洲地區10個國家的股票市場，檢測以美國股票市場之股價對於應計項目持續性過度反應為特徵之應計項目異象(Sloan 1996)，是一個僅存在於美國地區的現象還是一個普遍存在於北美和歐洲地區的現象。此外，本論文探究應計項目異象的發生是否和各國在會計和制度結構的差異性有關，並驗證應計項目異象之發生的兩項主要解釋─盈餘管理和進行套利之限制。
實證結果顯示，股價對於應計項目過度反應的現象普遍而言存在於北美和歐洲地區，不過集中發生於有著不成文法之法律傳統的國家。採用公司層級資料對個別國家之Mishkin檢定結果顯示，應計項目異象發生於四個國家─美國、加拿大、英國和荷蘭。採用國家層級資料，本論文證實應計項目異象較有可能發生於有著不成文法之法律傳統、外部股東權利較弱以及股權較為分散的國家。對於應計項目異象的兩項主要解釋的實證結果顯示，在加拿大，盈餘管理以及進行套利之限制解釋了應計項目異象的發生。
摘要(英) This paper considers stock markets in 10 countries to investigate whether the accrual anomaly (Sloan 1996), characterized by U.S. stock prices overweighting the role of accrual persistence, is a local manifestation of a global phenomenon. This paper explores whether the occurrence of the anomaly is related to country differences in accounting and institutional structures, and examines two main explanations for its occurrence.
This paper finds stock prices overweight accruals in general, with accruals overweighting occurring in countries with a common law relative to a code law tradition. Using firm-level data on a country-by-country basis, our paper documents the occurrence of the anomaly in four countries: the U.S., Canada, the U.K., and the Netherlands. Using country-level data, our paper confirms the anomaly is more likely to occur in countries having a common law tradition, and also in countries having weak shareholder rights and a lower concentration of share ownership. Additional analyses reveal that, in Canada, earnings management and barriers to arbitrage explain the occurrence of accrual anomaly.
論文目次 第一章 緒論 1
第一節 研究背景和研究動機 1
第二節 研究目的和研究方法 2
第三節 研究架構和研究結果概述 3
第二章 文獻回顧 7
第一節 探討應計項目異象之相關文獻 7
第二節 探討會計及制度結構之相關文獻 15
第三章 基本研究假設和樣本資料來源 20
第一節 基本研究假設 20
第二節 樣本資料來源和樣本資料選取期間 21
第四章 Mishkin檢定 22
第一節 變數定義 22
第二節 敘述性統計 22
第三節 實證模型設計 25
第四節 實證結果分析 27
第五章 跨國會計及制度結構特性與應計項目異象之迴歸分析 38
第一節 對於會計及制度結構特性的推論 38
第二節 變數定義 42
第三節 敘述性統計 43
第四節 實證模型設計和實證結果分析 46
第六章 異常報酬檢定 52
第一節 實證模型設計 52
第二節 實證結果分析 54
第七章 敏感性測試 60
第一節 變更營業現金流量定義之敏感性測試 60
第二節 變更報酬資料收集日之敏感性測試 67
第三節 將樣本期間分為兩段子期間之敏感性測試 73
第八章 應計項目異象之兩項主要解釋的異常報酬檢定 82
第一節 盈餘管理的異常報酬檢定和實證結果 82
第二節 進行套利之限制的異常報酬檢定和實證結果 83
第九章 彙總與結論 90
參考文獻 92
參考文獻 陳雅貞 1999, 台灣股票市場股價是否完全反應應計與現金流量項目對未來盈餘資訊之研究
黃仲賢 2003, 財務報表資訊與非財務報表資訊異常現象之探討: 以應計項目與非財務指標為例
陳碧瑩 2004, 會計異常現象與資訊不確定之關聯性研究
謝宗良 2005, 應計異象之研究─併購、現金增資及發行公司債之影響
許文瑜 2005, 盈餘組成要素持續性及市場反應之探討
李銘家 2006, 應計數可靠性與盈餘持續性及市場反應
劉奕孜 2007, 從企業生命週期探討應計項目異常現象
柯亭劭 2007, 應計項目異常現象與投資人持股行為
王晶琪 2007, 套利風險、交易成本、投資人精明度與應計異象之探究─以上市電子產業為例
Alford, A., J. Jones, R. Leftwich, and M. Zmijewski. 1993. The relative informativeness of accounting disclosures in different countries. Journal of Accounting Research 31 (Supplement): 183–223.
Ali, A., and L. Hwang. 2000. Country-specific factors related to financial reporting and the value relevance of accounting data. Journal of Accounting Research 38 (1): 1–21.
Ashbaugh, H., and M. Pincus. 2001. Domestic accounting standards, International Accounting Standards, and the predictability of earnings. Journal of Accounting Research 39 (3): 417–434.
Ball, R., S. P. Kothari, and A. Robin. 2000. The effect of institutional factors on properties of accounting earnings. Journal of Accounting and Economics 29 (1): 1–51.
Beneish, M., and M. Vargus. 2002. Insider trading, earnings quality, and accrual mispricing. The Accounting Review 77 (October): 755–791.
Bernard, V., and J. Thomas. 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 13: 305–340.
Bhattacharya, U., and H. Daouk. 2002. The world price of insider trading. Journal of Finance 57: 75–108.
Bhattacharya, U., H. Daouk., and M. Welker. 2003. The world price of earnings opacity. The Accounting Review 78: 641–678.
Bradshaw, M., S. Richardson, and R. Sloan. 2001. Do analysts and auditors use information in accruals? Journal of Accounting Research 39: 45–74.
Bushman, R., and A. Smith. 2001. Financial accounting information and corporate governance. Journal of Accounting and Economics 32: 237–333.
Bushman, R., and J. Piotroski. 2004. Financial reporting incentives for conservative accounting: The influence of legal and political institutions. Working paper, University of North Carolina.
Collins, D. W., and P. Hribar. 2000. Earnings-based and accrual-based market anomalies: One effect or two? Journal of Accounting and Economics 29: 101–124.
Coopers & Lybrand. 1993. International Accounting Summaries: A Guide for Interpretation and Comparison. 2nd Edition. New York, NY: Wiley.
Dechow, P., and C. Schrand. 2004. Earnings Quality. Charlottesville, VA: Research Foundation of CFA Institute.
Desai, H., S. Rajgopal, and M. Venkatachalam. 2004. Value-glamour and accruals mispricing: One anomaly or two? The Accounting Review 79: 355–385.
Fama, E., and J. MacBeth. 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 71 (May/ June): 607–636.
Fama, E. 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49: 283–306.
Holthausen, R. W. 2003. Testing the relative power of accounting standards versus incentives and other institutional features to influence the outcome of financial reporting in an international setting. Journal of Accounting and Economics 36: 271–283.
Hribar, P. and D. Collins. 2002. Errors in estimating accruals: Implications for empirical research. Journal of Accounting Research 40 (1): 105–134.
Hung, M. 2001. Accounting standards and value relevance of financial statements: An international analysis. Journal of Accounting and Economics 30: 401–420.
Jones, J. 1991. Earnings management during import relief investigations. Journal of Accounting Research 29 (2): 193–228.
Khan, M. 2005. Are accruals really mispriced? Evidence from tests of an intertemporal capital asset pricing model. Working paper, University of Toronto.
LaFond, R. 2005. Is the accrual anomaly a global anomaly? Working paper, Massachusetts Institute of Technology.
Land, J., and M. Lang. 2003. Empirical evidence on the evolution of international earnings. The Accounting Review 77: 115–133.
La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny. 1997. Legal determinants of external finance. Journal of Finance 52: 1131–1150.
La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny. 1998. Law and finance. Journal of Political Economy 106: 1113–1155.
Lee, C. 2001. Market efficiency and accounting research: A discussion of "Capital market research in accounting" by S. P. Kothari. Journal of Accounting & Economics 31 (1–3): 233–253.
Leuz, C., D. J. Nanda, and P. Wysocki. 2003. Earnings management and institutional factors: An international comparison. Journal of Financial Economics 69 (3): 505–527.
Mashruwala, C., S. Rajgopal, and T. Shevlin. 2006. Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs. Journal of Accounting and Economics 42 (1–2): 3–33.
Mishkin, F. 1983. A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models. Chicago, IL: University of Chicago Press.
Newey, W. K., and K. D. West. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (3): 703–708.
Pontiff, J. 2006. Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics 42 (1–2): 35–52.
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關鍵字(中) 國際會計
異常應計項目
總應計項目
營業現金流量
應計項目異象
關鍵字(英) operating cash flows
accrual anomaly
total accruals
international accounting
abnormal accruals
口試委員 張福星 - 口試委員
陳耀宗 - 口試委員
王萬成 - 指導教授
論文檔案 etd-0711108-233950.pdf
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繳交日期 2008-07-11
來源:http://etdncku.lib.ncku.edu.tw/ETD-db/ETD-search-c/view_etd?URN=etd-0711108-233950
