台灣上市上櫃公司自2013年起全面採用國際財務報導準則(IFRS)編製財務報告，本文旨在研究IFRS下剩餘利益評價模型(Residual Income Valuation Model, RIVM)於台灣股票市場評價之適用性。本研究爰用Hou et al. (2012)之盈餘預測模型，延伸加入管理者能力衡量變數與HHI指數，並運用Frankel and Lee (1998)提出之剩餘利益評價模型計算公司基本價值，檢驗買進上市公司基本價值與股價比較高之股票組合其投資績效及與元大台灣50之報酬比較。實證結果顯示，延伸模型對未來盈餘預測之解釋力提升，且管理者能力對於公司未來盈餘呈正向關係，並獲得剩餘利益評價模型在IFRS下仍適用於台股評價之證據。整體而言，公司基本價值與股價比亦有助預測投資績效，可供投資人作為選股決策之參考。

As listed companies have been required to prepare financial reports in accordance with IFRS starting from January 1, 2013, the purpose of the study is to assess the validity of Residual Income Valuation Model in the Taiwan stock market under IFRS. Following Hou et al. (2012), we use a cross-sectional earnings model to form earnings forecasts. And we try adding the managerial ability measure and Herfindahl-Hirschman Index (HHI) as additional earnings predictors to improve the predictive power. Then we use Residual Income Valuation Model proposed by Frankel and Lee (1998) to estimate the stock’s fundamental value and test empirically the performance of portfolios with higher value-to-price ratio. The results reveal that adding the managerial ability measure and HHI improves the overall explanatory power of the cross-sectional earnings prediction model and future earnings are significantly positively related to the managerial ability. Besides, the average realized returns of portfolios constructed with higher value-to-price ratio exhibit the better buy-and-hold returns than Yuanta/P-shares Taiwan Top 50 ETF (0050) in the long run. Therefore, we provide evidence that Residual Income Valuation Model is applicable to stock evaluation in the Taiwan stock market under IFRS. On the whole, our findings may serve as a guide for investors on investment decision-making.

中文文獻
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