股市訊息與會計訊息的價值攸關性比較――台灣上市公司之抽樣研究

Value Relevance of Market and Accounting Information Compared: a Research of Selected Listed-companies in Taiwan

本文根據剩餘所得評價模型，設定含有股票市價、每股盈餘、股東帳面淨值的三元向量誤差修正模型（VECM），以研究此三變數中有關股票真實價值的訊息含量，同時探討實證文獻中經常以市價代表真實價值作法是否合宜。研究變數之價值攸關性的研究工具包含長期因果關係（long-run causality）以及共同因數權重（common factor weight）二種分析法。根據三產業共十二家公司資料研究顯示，整體而言股東淨值比股票市價含有更高的股權價值訊息內涵，而盈餘之訊息內涵極少。此結果呼應了Lee（2001）對橫斷面價值攸關性文獻中，經常直接以市價代表價值之研究作法的批評。

This paper estimates a VECM to assess the value relevance of three variables modeled in the residual income valuation model: equity price, reported earnings, and book value. By learning whether price is more informative than earnings and book value, we can evaluate the adequacy of the common research practice in proxying for intrinsic value using market price. The two research tools used to quantify the information content of variables are the long-run causality and common-factor weight methods. Using data samples from twelve firms across three industries in Taiwan, this research shows that prices overall contain less amount of intrinsic value information compared to that in the book values, while the amount in reported earnings is minimal. This result is in support of the critique by Lee (2001) on proxying for stock value using market price in the literature.