股利折現模型、超常盈餘折現模型和自由現金流量折現模型對於台股適用性之實證研究

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姓名

李婉瑜(Wan-Yu Lee) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

股利折現模型、超常盈餘折現模型和自由現金流量折現模型對於台股適用性之實證研究
(Empirical Research on the Applicability of the Discounted Dividend Model, the Discounted Abnormal Earnings Model, and the Discounted Free Cash Flow Model in Taiwan Stock Market)

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至系統瀏覽論文 (2028-7-17以後開放)

摘要(中)

本研究旨在比較股利折現模型（DIV）、超常盈餘折現模型（AE）和自由現金流量模型（FCF）在估計股票真實價值方面的可靠性。本研究採用Hou et al.（2012）的橫斷面盈餘預測模型，估計未來一至三年的盈餘，藉以計算2013年至2022年台灣市值前五十大公司的真實價值，比較各個模型估計的精確性和解釋能力。
研究結果顯示，AE模型在精確性和解釋能力方面均優於DIV模型和FCF模型，其所預估的真實價值與實際股價之間的偏離程度最小，且能更好地解釋股價波動。進一步探討會計保守性和會計操縱原則的影響，實證結果表明，無論是否會受到影響，AE模型仍然保持較高的精確性和解釋能力，其估值結果最為可靠。此外，根據產業特性的不同，AE模型在電子產業中的精確性和解釋能力表現最佳，而在非電子產業中，DIV模型和AE模型的精確性相近，但AE模型仍然在解釋能力上優於其他模型。
綜合研究結果，本研究強調AE模型在預測公司真實價值方面的優勢，相較於DIV模型和FCF模型，其具有更高的精確性和解釋能力，為投資者和企業管理者在制定投資策略和評估股票價值時提供重要的參考依據。

摘要(英)

The aim of this study is to compare the reliability of the discounted dividend model (DIV), the discounted abnormal earnings model (AE), and the discounted free cash flow model (FCF) in estimating the intrinsic values of stocks. The study adopts the cross-sectional model developed by Hou et al. (2012) to forecast future earnings over a period of one to three years. These forecasts are then used to determine the intrinsic values of FTSE TWSE Taiwan 50 Index from 2013 to 2022. Therefore, we can compare the reliability of value estimates provided by the three models based on their accuracy and explanatory power.
The results show that the AE model outperforms the DIV model and FCF model in terms of accuracy and explanatory power. It exhibits the smallest deviation between the estimated intrinsic values and the actual stock price, and can better explain stock price volatility. Further investigation into the impact of accounting conservatism and accounting discretion, the empirical results show that, no matter whether it will be affected or not, the AE model still maintains high accuracy and explanatory power, making it the most reliable in terms of valuation. In addition, according to different industry characteristics, the AE model demonstrates the highest accuracy and explanatory power in the electronics industry, while in the non-electronics industry, the accuracy of the DIV model and AE model is similar, but the AE model still outperforms other models in terms of explanatory power.
In conclusion, this study emphasizes the advantages of the AE model in predicting the intrinsic value of companies. Compared with the DIV model and FCF model, it exhibits higher accuracy and explanatory power, providing important references for investors and corporate managers in formulating investment strategies and evaluating stock values.

關鍵字(中)

★ 股利折現模型
★ 超常盈餘折現模型
★ 自由現金流量折現模型

關鍵字(英)

★ Discounted Dividend Model (DIV)
★ Discounted Abnormal Earnings Model (AE)
★ Discounted Free Cash Flow Model (FCF)

論文目次

摘要 i
Abstract ii
目錄 iii
表目錄 v
一、緒論 1
1-1 研究背景與動機 1
1-2 研究目的 2
二、文獻回顧 3
2-1 國外之相關文獻 3
2-2 國內之相關文獻 5
三、股權評價模型與研究主題 6
3-1 股權評價模型 6
3-1-1 股利折現模型（Discounted Dividend Model, DIV） 6
3-1-2 超常盈餘折現模型（Discounted Abnormal Earnings Model, AE） 8
3-1-3 自由現金流量折現模型（Discounted Free Cash Flow Model, FCF） 10
3-2 橫斷面盈餘預測模型 15
3-3 研究主題 16
3-3-1 比較評價模型所估計之股票真實價值的偏誤性和精確性 16
3-3-2 比較評價模型是否具備良好的解釋能力 18
3-3-3 測試評價模型是否會受到會計保守性及會計操縱原則的影響 19
3-3-4 比較不同產業下評價模型的適用性 19
四、實證結果 20
4-1 樣本描述與資料來源 20
4-2 敘述性統計 21
4-3 偏誤性與精確性 22
4-4 解釋能力 25
4-5 會計保守性與會計操縱原則 28
4-6 產業特性 31
五、結論與建議 33
5-1 研究結論 33
5-2 研究貢獻 34
5-3 研究限制與建議 34
參考文獻 36
一、中文部分 36
二、英文部分 36

參考文獻

一、中文部分
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許明峰（2014）。自由現金流量評價模型在巨量資料之應用與實證- 以台灣上市櫃公司XBRL資料為例。國立中山大學財務管理學系研究所碩士論文。
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二、英文部分
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指導教授

曹壽民

審核日期

2023-7-19

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