Incorporating Efficiency Measurement into Valuation Model---An Empirical Research of Electronics Industry in Taiwan

• Main Authors: Chen-Ting Su, 蘇宸霆
• Other Authors: Dong-Shen Chang
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/18136061383565917859

碩士 === 國立中央大學 === 企業管理研究所 === 94 === Valuation is the procedure of transforming current and predictive information into firm’s value. Ohlson (1995) derived from the residual income model (RIM) to deduce that market price of a firm is the linear relation composed of book value, abnormal earning, and non-accounting information. Despite of being comprehensively adopted, the “non-accounting information” item has not been explicitly defined. Therefore, the research introduces the concept of efficiency measurement to revise the Ohlson model. The methodology of Data Envelopment Analysis (DEA) is applied to make efficiency ratings. And the sample set is the companies of Electronics industry in Taiwan with research window spans from Q1 1998 to Q3 2005, 31 quarters totally. Through the selecting criteria, 73 companies are qualified. Hence, panel data are used to analyze not only static but also dynamic regression. In static regression, fixed effects model is adopted. Book value, abnormal earning, and efficiency rating have statistic significance on market price; furthermore, book value and efficiency rating have positive relationship to market price. In dynamic regression, book value, abnormal earning, and efficiency rating all have statistic significance with positive relation on market price. Moreover, Lag 1 has the largest effect upon the current market price, and then declining year after year. Finally, the lag effects turn into negative until Lag 6.