近来由於Stern

1、摘要近來由於Stern Stewart & Co.極力提倡經濟附加價值(EVA®)的概念後，EVA已陸續有公司採用，而學界也在進行相關研究。EVA為剩餘利潤（RI）的修正，其將會計數字所受到的扭曲(distortion)加以調整而後計算之。該公司宣稱經濟附加價值不但可做為內部管理用的績效衡量指標，亦可做為外部報導之財務衡量指標，其認為EVA是唯一與公司內在市場價值（intrinsic market value）直接相關的衡量指標，並且是驅使股價上漲的動力。本研究根據上述該公司之宣稱，主要探討在解釋當期股票報酬、預測未來股票報酬時，四個衡量指標：非常項目前利益(Earnings

2、 before Extraordinary Items, EBEI)，來自營運之現金流量(CFO)，剩餘利潤及經濟附加價值哪一個較為攸關，以及拆解成五要素(CFO、Accrual、ATInt、Capchg、Adj)後，各要素是否提供增額資訊內涵；並將公司依照不同特性區分後，檢視四指標攸關程度有無變化。實証結果彙總如下：（一） 解釋當期股票報酬模型：1. 攸關資訊內涵：其中以EBEI最優，其次依序為EVA、RI、CFO。2. 增額資訊內涵：其中以Accrual、CFO增額資訊內涵較大，其他三者增額資訊內涵較有限。（二） 預測未來股票報酬模型：1. 攸關資訊內涵：其中仍以EBEI最優，其次依序為E

3、VA、RI、CFO。2. 增額資訊內涵：其中以CFO提供最多增額資訊內涵，其他要素提供較有限的增額資訊內涵且在統計量上並不顯著。（三） 依公司特性區分：1. 高資本密集度組在有區分指標正負值方法時，EBEI、RI、EVA三者解釋能力相當，CFO最小。而低資本密集度組則和所有樣本的排序結果相同。2. 小值組在有區分指標正負值方法時，EBEI、RI、EVA三者解釋能力互有領先，CFO依然最小。而大值組則和所有樣本的排序結果相同。3. 小規模組RI超越EVA，但差異十分小，形成EBEI>RI>EVA>CFO的排序。而大規模組則和所有樣本的排序結果相同。4. 其他依照成長性、無形投資

4、比重、財務結構、獎酬制度區分特性時，其結果和所有樣本的排序結果相同。AbstractMore recently, due to the advocacy by the Stern Stewart & Company, economic value added (EVA®) has been increasingly used by firms and studied among academics. EVA, which is a variant of residual income, adjusts the distortions caused by accounting

5、numbers. Stern Stewart & Company claims that EVA can be used as an internal and external performance measure. It also claims that EVA is the only performance measure to tie directly to the intrinsic market value and that it is the fuel that drives the stock market value up.According to the claim

6、s cited above, this study provides empirical evidence on which of the four performance measures, EBEI, CFO, RI and EVA, has more relative information content in explaining contemporaneous stock return and forecasting future stock return. I also examine whether components of EVA provide incremental i

7、nformation content in explaining contemporaneous stock return and forecasting future stock return. Third, I divide all samples into different subgroups by specific features to examine whether the results differ from those of the pooled cross-sectional analysis. The empirical results are as follows:1

8、. Explaining contemporaneous stock return Relative information contentThe results show EBEI has the highest Adjusted R2 followed by EVA, RI and CFO. Incremental information contentAccrual and CFO provide more incremental information content among five components, while the others have limited increm

9、ental contribution.2. Forecasting future stock return Relative information contentThe ranking is the same as that of the contemporaneous stock return model. Incremental information contentCFO has the highest incremental information content among five components. The others provide limited incrementa

10、l contributions and are insignificant statistically.3. Subsample analysis The adjusted R2 of the EBEI model is similar to those of the RI and EVA models in the high capital intensive subset when the performance measure is divided into positive and negative values. The adjusted R2 of the EBEI model i

11、s similar to those of the RI and EVA models in the smallvalue subset when the performance measure is divided into positive and negative values. In the small firm size subset, the adjusted R2 of the EBEI model dominates that of the RI model, RI slightly outperforms EVA, and all three are better than

12、CFO. The ranking of the other subsets remains identical to that of the pooled cross-sectional analysis.目錄第一章 緒論第一節 研究動機 1第二節 研究目的 2第三節 研究架構 3第二章 文獻探討第一節 經濟價值與公司評價之探討 6第二節 經濟附加價值之探討10第三節 實証研究文獻探討16第三章 研究方法第一節 研究假說22第二節 研究變數之定義24第三節 資料分析方式28第四節 樣本選取與資料來源36第四章 實証分析Pooled Cross-Sectional Analysis第一節 敘述統計