自從Freeman and Tse（1992）、Hayn（1995）針對負盈餘公司的資訊內涵表明正負盈餘公司之間對盈餘組成的反應有所不同後，Chamber（1996）、Subramanyam and Wild（1996）、Lipe、Bryant and Widner（1998）等人陸續提出負盈餘現象與未來盈餘之間的關係。此外，Sloan（1996）提出市場對應計項目有高估情況產生，而Xie（2001）分析出高估的情況主要來自於可操縱盈餘組成。最近Nicholas Dopuch（2005）、Joos and Plesko（2002）進一步將負盈餘的樣本特性重新檢視，發現投資人面對負盈餘時的處理態度會依照事前預測迴轉的機率而影響其對該公司的評價，然而國內研究並未探討區分正負盈餘公司的應計項目評價。因此，興起本研究的動機。
本研究以民國75年至民國94年間具有完整財務資料的1391家臺灣上市公司為研究對象，採用Mishkin（1983）評價模型來估計異常應計項目，實證結果發現：第一，負盈餘公司盈餘反應係數不顯著，若區分為持續性負盈餘及可轉換性負盈餘，則投資人有高估可轉換負盈餘的現象。第二，投資人高估正盈餘公司（裁決性）應計項目，對於迴轉機率低的持續性盈餘資訊能夠正確評價。第三，正盈餘公司盈餘持續性大於負盈餘公司。最後，使用Logistic 迴歸分組結果來區分負盈餘迴轉機率，實證結果無法分辨預測模型與現金流量二分法之間的優劣。基於以上的結果，可深入瞭解臺灣證券市場對（裁決性）應計項目會如何反應與評價。

After Freeman and Tse (1992), and Hayn (1995) indicated that positive-and negative-earning companies have different responses toward earning compositions based on the negative-earning companies’ information content, Chamber (1996), Subramanyam and Wild (1996), Lipe, Bryant and Widner (1998) proposed the relationship between negative and future earning. In addition, Sloan (1996) suggested that accruals in the market have been over-valued. Xie (2001), however, pointed out that over-valued situation comes from manipulable earning compositions. Recently, Dopuch (2005), and Joos and Plesko (2002) reexamined the properties of negative-earning samples and found that investors’ attitude on negative earnings will depend on predicted reversal possibility for valuation of a company. However, Taiwan has no studies on accrual evaluations after differentiating positive and negative earning for companies.
This study adopts Mishkin (1983) evaluation model on abnormal accruals to analyze Taiwan 1391 listed company for the sample period from 1986 to 2005. The empirical results suggest that ERCs’ of negative-earning companies are not significant; if the companies are differentiated by persist negative earning and transitory negative earning, investors tend to overprice transitory negative earning. In addition, investors tend to overprice the (discretionary) accruals positive-earning companies, but make accurate evaluation toward persistent earning companies with low reversal possibility. This study also found that persistency of positive-earning companies is longer than negative-earnings. Finally, by using logistic regression to differentiate the possibility of negative-earning accruals, there is no significant difference between the logistic regression model and cash flow classification from the empirical test. Based on the findings, how Taiwan security market response and evaluate discretionary accruals can be further understood.

目錄
中文摘要…………………………………………………………………Ⅰ
英文摘要…………………………………………………………………Ⅱ誌謝………………………………………………………………………Ⅲ
目錄………………………………………………………………………Ⅳ
表目錄……………………………………………………………………Ⅵ
圖目錄……………………………………………………………………Ⅶ
模型目錄…………………………………………………………………Ⅶ


第一章 緒論 1
第一節 研究動機 1
第二節 研究目的與流程 3
第二章 文獻探討 5
第一節 負盈餘與股價的關聯 5
第二節 異常應計項目的衡量 14
第三節 市場對(裁決性)應計項目的評價 18
第三章 研究設計 24
第一節 研究架構與假說 24
第二節 變數衡量 28
第三節 實證模型 32
第四節 資料選取與樣本篩選過程 42
第四章 實證結果及分析 44
第一節 樣本描述與分析 44
第二節 相關性分析 46
第三節 實證結果與分析 47
第五章 結論及建議 71
第一節 研究結論 71
第二節 研究限制 72
第三節 後續研究建議 72
參考文獻 74
附錄 80

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