| Summary: | 博士 === 國立成功大學 === 會計學系碩博士班 === 97 === In this study, we propose a modified residual income model that incorporates Tobin’s Q as a proxy for growth. Empirical results show that the proposed model outperforms other alternative models in predicting a firm’s value. By assuming that stocks are mispriced if they deviate from the estimated intrinsic values, we can then develop an arbitrage strategy that sells the overvalued stocks and buys the undervalued stocks. The arbitrage strategy based on the proposed model also outperforms the Ohlson’s residual income model (1995), the Campbell-Shiller’s valuation model (1995), and other contrarian strategies based on various accounting-fundamental-to-price ratios. We further trace the source of mispricing and conclude that, by controlling the growth variables, it can be attributed to a simple truth that investors are unable to distinguish discretionary accruals from reported earnings.
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