Explaining Returns-earnings Relation:The Role of Predictability

自Ball與Brown於1968年提出報酬和盈餘為存在正向關係的實證研究後，陸續有許多文獻利用不同模型從各種觀點來解釋該關係；本論文藉由分析個別公司以及市場整體測試的實證結果，了解投資人對盈餘的預測能力是否能有效解釋報酬與盈餘之關係。 本研究之實證結果簡述如下： (1) 市場整體報酬與盈餘之正向關係較個別公司報酬與盈餘之正向關係明顯。 (2) 投資人對於個別公司之盈餘預測能力較佳。 (3) 當投資組合中加入越多公司，投資人對該投資組合之盈餘預測能力下降。由以上實證結果可推論，當投資對盈餘之預測能力提升，當期報酬與盈餘之關係會減弱。Since Ball and Brown (1968) reported the positive relation of earnings to returns, there have been several follow-up studies using different models to provide evidences to explain such relation from different viewpoints. This paper tries to use earnings predictability to explain the correlation between earnings and returns by analyzing the empirical results at firm- and market-level as well as different kinds of portfolios. The empirical results can be summarized as follows: (1) Contemporaneous returns-earnings relation at firm-level is weaker than at market-level. (2) Earnings predictability for individual firms is better than for the market. (3) Predictability on earnings decline when more firms are added in portfolios. These empirical results suggest that contemporaneous returns-earnings relation will decline when predictability improves, and it seems to be more difficult for investors to forecast profitability when more firms are added in the portfolios