A Returns-Based Representation of Earnings Quality

• Main Authors: Yu-Hsien Huang, 黃玉��
• Other Authors: Taychang Wang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/09285450932977785803

碩士 === 國立臺灣大學 === 會計學研究所 === 95 === Ecker et al.(2006) thinks prior researchers measure earnings quality by accounting data or both accounting and returns data, but the methods will restrict samples with continuous accounting data, and the chosen samples may not be representative. This paper refers to Ecker et al.(2006)’s returns-based method (the e-loading) to measure earnings quality. We add earning quality mimicking factor into the asset-pricing regression, and the coefficient of earning quality mimicking factor is called the e-loading. The meaning of the e-loading is the sensitivity of the firm''s returns to earnings quality in a given period, that just like beta is a measure of the sensitivity of returns to market premium risk, so we can use e-loading to value earnings quality. This paper refers to the method mentioned in Ecker et al.(2006) to carry out a research in Taiwan’s capital market. The empirical results show that besides market participant behavior and innate determinants of earnings quality, the e-loadings have significant relation with earnings quality proxies, firm age, and financial report restatement, so a returns-based earnings quality, e-loading, exits in Taiwan’s capital market.