研究建議

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第二節 研究限制

1. 本研究之投資策略欲觀察各產業以會計資訊與分析師預測計算之真實價值，

與企業之股票市價相比，遭高估與低估前百分之一之股票，是否能逐漸反映 其真實價值，而賺取超額報酬。由於必須等待所有的企業皆發布其財務報表。

由於大多數企業使用曆年制會計年度，在考量樣本數量之後，捨棄非曆年制 之企業。

2. 選定每年四月一日為投資組合形成日，係最早能取得市場上所有企業之財務 資訊之時點。然而曆年制會計年度之企業，依據美國證券法令規定，於會計 年度結束日九十日內提交財務報表，故企業有可能於一月至三月之間任何時 點發布其財務報表，受限於本研究之投資策略，無法在個別企業公布財務報 表後，判定是否具投資價值之後，立即選入投資組合，故無法針對財務報表 發布日至投資組合形成日之間股價變動的情形做探討。

3. 本研究使用分析師對長期成長之預測作為成長機會之代理變數，惟 Dechow et al. (2000)提出分析師對長期成長之預測可能有過度樂觀現象，因為市場上對 於長期預測的正確性的關注較少，實證結果顯示支持其假說，並且找出企業 現金增資時支付予投資銀行之費用與投資銀行旗下分析師對該企業出具之長 期成長預測具有正向相關。故本研究之實證結果受分析師預測特性之影響。

第三節 研究建議

1. 未來研究進行剩餘淨利之價值攸關性研究時，可考量不同市場特性，對評價 模型可能的影響，藉此提高模型之解釋能力。

2. 針對投資策略之設計，對於投資組合之形成建立更及時之機制，以便在市場 一開始對新資訊做出回應時即進入市場，以期創造更高之投資報酬。

3. 本研究之潛在假設為年度財務報表發布，對市場而言帶來新的資訊，惟未考 量季報之影響，故建議考量季報對於股價的影響。

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