Title page for etd-0610115-103041


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URN etd-0610115-103041
Author Ching Lo
Author's Email Address No Public.
Statistics This thesis had been viewed 5579 times. Download 41 times.
Department Finance
Year 2014
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Effect of Accounting Standard Changes on Multi-Factor Risk Model
Date of Defense 2015-07-10
Page Count 44
Keyword
  • IFRS
  • Accounting rules
  • Multi-factor risk model
  • Abstract In this paper, the effect of the change of accounting principle that applied to companies listed on the Taiwan Stock Exchange or the over the counter market from GAAP to IFRS has been examined. Since there are significant differences between the accounting rules, the financial report would also have corresponding changes. Such changes of the financial report will affect the building of a multi-factor model.
    Pointing out the how the difference between the financial reports that applied different accounting rules would affect a multi-factor model, and establish two new elements for the modeling under IFRS. The first one is fixed assets/ total assets and put it in leverage factor. The other is the changes of retain earnings/ total equities and put it in efficiency factor.
    As the result of our empirical study, using GAAP model has a better explanatory power of stock return than IFRS model. But IFRS is much better on forecasting the risks of stocks. The new model of the IFRS, in which adding two new elements, performed even better than the original IFRS and GAAP model in forecasting specific risk. It indicates the though there is instability of financial report under IFRS, adding the two new elements could explain the “jump” of financial report.
    Advisory Committee
  • Shyh-weir Tzang - chair
  • Yi-Hsi Lee - co-chair
  • Yih Jeng - advisor
  • Files
  • etd-0610115-103041.pdf
  • Indicate in-campus at 0 year and off-campus access at 5 year.
    Date of Submission 2015-08-10

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