我國上市公司資本支出增額資訊內涵之研究

• Main Authors: 曹壽民, Tsaur, Shaw-Min
• Language: 中文
• Published: 國立政治大學
• Subjects: 盈餘; 資本支出; 股票報酬; 狀態空間模型; 資本支出反應係數; earnings; capital expenditure; stock returns; state space model; capital expenditure response coefficient
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22A2002000652%22.

本文旨在探討我國上市公司除了盈餘外，資本支出是否具有增額資訊內涵。研究內容分為兩個部份，第一部份在使用狀態空間樣型探討資本支出是否有助於預測未來盈餘；第二部份根據本文推導之模式探討資本支出資訊與股標報酬之關聯。〔分為年度研究與長期研究（兩年及三年）兩個部份〕。研究結果發現： 1.除了盈餘資訊外，資本支出無法幫助吾人預測未來盈餘。 2.無論係長期或年度研究，均呈現股價領先財務報表期間現象。在長期研究中，本文發現大公司之股價有post announcement drift現象。 3.盈餘、資本支出資訊（或財務報表資訊）對股價之解釋能力視股市係屬多空頭市場而定。多頭市場解釋能力較高。 4.長期研究財務報表對股價解釋能力高於年度研究。 5.盈餘水準、資本支出水準均具增額資訊內涵，不論長期或年度研究。 6.非預期土地投資與非預期廠房設備投資對股價均具解釋能力。 7.未預期資本支出反應係數之影響因素： (1)就成長機會而言： 股票市價╱權益比愈大之公司，營收成長率愈高之公司未預期資本支出反應係數愈大。 (2)就系統風險而言： β值愈大之公司，未預期資本支出反應係數愈大。 (3)就資本支出報酬率而言： 盈餘水準、盈餘持續度愈大之公司，未預期資本支出反應係數愈大；而自有資金比率愈低之公司，未預期資本支出反應係數愈大；小公司之資本支出反應係數較大；研發水準愈高之公司，未預期資本支出反應係數愈大。 (4)就資本支出受益年限而言： 本文以產業進入障礙為資本支出受益年限之替代變數。研究結果發現各行業之資本支出反應係數與產業進入障礙正相關。 (5)資本支出型態 規模成長型公司之資本支出反應係數大於汰舊換新型公司。 === This study aims to examine the incremental information content of capital expenditures of Taiwan listed companies. Taiwan listed companies generally have intensive capital expenditure rather then research and development costs in order to sustain the growth of their performance. Thus, this study suspects that the level of capital expenditures could help predict future earnings upon which capital expenditure could incrementally explain the earnings/return relationship. Empirically, this study first investigates the relationship between current capital expenditure and future earnings. Second, in order to select the optimal earnings/return windows, this study simulates the returns window for large and small firms over various long windows. Third, this study extends Collins and Kothari (1989) and Feltham and Ohlson (1995) to investigate whether the capital expenditure would contain an incremental information content in terms of earnings/return relationship. The findings of this study can be summarized as follows. 1.Besides earnings itself, the capital expenditure cannot well predict future earnings. 2.No matter what is temporal or cross sectional study, price leads the realization of earnings. In addition, the large firm sample group demonstrates the phenomenon of post-earnings drift. 3.The capital expenditure has more explanatory power to earnings/return relationship in the bull market than in the bear market. 4.Earnings and capital expenditure level have incremental information contents in terms of earnings/return relationship. 5.Both unexpected property and unexpected plant investments have explanatory power to the stock price. 6.The determinants of capital expenditure response coefficient, including growth opportunity, systematic risk, returns on capital expenditure, beneficial period of capital expenditure, and types of capital expenditure can increase the explanatory power of earnings/return relationship.