| Summary: | 碩士 === 國立政治大學 === 會計研究所 === 85 === Return models and price models were commonly employed by previous research. This paper makes a comparison between these models, on considering the specific circumstances of Taiwan stock market in which majority, always up to 90%, of the stockholders are short-term individual speculators. In view of long-run earnings formulation different from single period one, It also specifies earnings response coefficient factors including persistence, growth opportunity, and risk, as the independent variables.
The empirical results confirm that:
1. After considering the long-run effects of earnings response coefficient factors, the model including the ERC factors do dominate simple regression, despite the increase in variance.
2. This study also confirms that Earnings do contain information contents, and the significance is increasing over the years.
3 .Price models are better specified in that the estimated slope coefficients from price models, but not return models, are unbiased, and this results is consistent with economic intuition. However, return models have less serious econometric problems than price models.
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