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Student Number 93421030
Author Chen-Ting Su(Ĭ®f¾^)
Author's Email Address No Public.
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Department Business Administration
Year 2005
Semester 2
Degree Master
Type of Document Master's Thesis
Language English
Title Incorporating Efficiency Measurement into Valuation Model---An Empirical Research of Electronics Industry in Taiwan
Date of Defense 2006-06-17
Page Count 43
Keyword
  • Data Envelopment Analysis (DEA)
  • Dynamic panel data analysis
  • Lag effects
  • Ohlson's model
  • Abstract Valuation is the procedure of transforming current and predictive information into firm¡¦s value. Ohlson (1995) derived from the residual income model (RIM) to deduce that market price of a firm is the linear relation composed of book value, abnormal earning, and non-accounting information. Despite of being comprehensively adopted, the ¡§non-accounting information¡¨ item has not been explicitly defined. Therefore, the research introduces the concept of efficiency measurement to revise the Ohlson model.
    The methodology of Data Envelopment Analysis (DEA) is applied to make efficiency ratings. And the sample set is the companies of Electronics industry in Taiwan with research window spans from Q1 1998 to Q3 2005, 31 quarters totally. Through the selecting criteria, 73 companies are qualified. Hence, panel data are used to analyze not only static but also dynamic regression.
    In static regression, fixed effects model is adopted. Book value, abnormal earning, and efficiency rating have statistic significance on market price; furthermore, book value and efficiency rating have positive relationship to market price. In dynamic regression, book value, abnormal earning, and efficiency rating all have statistic significance with positive relation on market price. Moreover, Lag 1 has the largest effect upon the current market price, and then declining year after year. Finally, the lag effects turn into negative until Lag 6.
    Table of Content TABLE OF CONTENTS
    ABSTRACT...I
    ACKNOWLEDGMENTS...III
    TABLE OF CONTENTS...IV
    List of Tables...VI
    List of Figures...VI
    Chapter 1 INTRODUCTION...1
    Chapter 2 LITERATURE RIVIEW...4
    2.1 OHLSON MODEL...4
    2.2 DATA ENVELOPMENT ANALYSIS...8
    2.2.1 CCR MODEL...9
    2.2.1 BCC MODEL...11
    Chapter 3 RESEARCH DESIGN AND METHODOLOGY...13
    3.1 EMPIRICAL MODEL AND VARIABLE DESCRIPTION...13
    3.2 SAMPLE SELECTION...15
    3.3 STATIC ONE-WAY PANEL DATA ANALYSIS...15
    3.3.1 FIXED EFFECTS MODEL...16
    3.3.2 RANDOM EFFECTS MODEL...17
    3.3.3 HAUSMAN TEST...17
    3.4 DYNAMIC PANEL DATA (DPD) MODEL...18
    3.4.1 ESTIMATION METHOD...19
    3.4.2 OVERIDENTIFYING RESTRICTION TEST AND SERIAL CORRELATION TEST...21
    3.4.3 LAGGED EFFECT...22
    Chapter 4 EMPIRICAL RESULTS AND ANALYSIS...24
    4.1 RELATIVE EFFICIENCY MEASUREMENT...24
    4.2 STATIC PANEL DATA ANALYSIS...27
    4.3 DYNAMIC PANEL DATA ANALYSIS...31
    Chapter 5 CONCLUSIONS...37
    REFERENCE...39
    APPENDIX...42
    APPEXDIX I: SAMPLE COMPANIES...42
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    Advisor
  • Dong-Shen Chang(±iªF¥Í)
  • Files
  • 93421030.pdf
  • approve in 2 years
    Date of Submission 2006-07-20

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