本研究以國內金融保險業為研究對象，自2006年至2008年止，檢測自財務會計準則第三十四號公報開始適用以來，淨利與綜合淨利的風險攸關性與價值攸關性。首先，本文將樣本分為兩群：外資持股比例較高、外資持股比例較低。經由過去的研究發現，外國機構投資人在台灣股市之投資，對於電子產業與金融保險業有特別的偏愛，近年來，外資進入國內金融體系的趨勢增加，特別是具有公股的金融機構因規模較大，尤為其關注之目標，因此形成各金融機構外資持股比例不一的情況。從敘述統計分析發現，在外資持股比例較高(低)的樣本裡，綜合淨利波動性的平均數大約是淨利波動性的1.64(1.18)倍。

接著檢驗在這兩群樣本裡，淨利與綜合淨利的波動性與風險因子的關聯性是否有所不同。研究結果發現在外資持股比例較高的樣本裡，淨利與綜合淨利的波動性皆與風險因子呈顯著正相關，代表淨利與綜合淨利皆能提供與總風險與系統風險有關的資訊。而在外資持股比例較低的樣本裡，淨利與綜合淨利的波動性只有與總風險成顯著正相關。

最後，本文使用Ohlson model來檢測淨利與綜合淨利的波動性與股價的關聯。研究結果指出，無論在外資持股較高或外資持股較低的樣本裡，淨利與綜合淨利的波動性皆未與股價有顯著的關聯。

We investigated the risk relevance and value relevance of the standard deviation of two performance measures: net income, comprehensive income for a sample of 45 listed firms of financial industries in Taiwan from 2006 to 2008.

First, we divided the sample into two groups: sample of higher foreign-investors holding, and sample of lower foreign-investors holding. In descriptive statistics, we found that for the average sample, the volatility of comprehensive income is more than 1.5 times that of net income in ample of higher foreign-investors holding; and more than 1.18 times that of net income in sample of lower foreign-investors holding.

Second, we tested the association between income volatilities and risk factors. The result suggested that two income volatilities both provide significant information for total risk in return and systematic risk in sample of higher foreign-investors holding. But the two income volatilities only provide significant information for total risk in sample of lower-foreign investors holding after controlling for industries and net assets growth rate.

Finally, we tested the association between income volatilities and share prices with Ohlson model. We found that there is no significant relation between two income volatilities and share prices both in sample of higher and lower foreign-investors holding after controlling for industries and net assets growth rate.

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中文部分

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