投資人往往都在無法準確預測未來的情況下進行投資行為，如何依據現有的會計變數來判斷公司價值，以減少損失是投資人所希望的結果。因此本文根據剩餘所得評價模型，設定含有股票市價、盈餘、股東淨值的三元向量誤差修正模型，以研究此三變數中有關股票真實價值的訊息含量，同時可探討文獻中常以市價代表真實價值作法之合適度。研究三變數價值攸關性所採用的研究工具，是長期因果關係以及共同因子權重二種分析法。根據三產業共五家公司資料研究顯示，市價的價值訊息內涵與淨值相當，並無明顯優勢，而盈餘之訊息內涵極少。研究結果呼應了Lee (2001)對橫斷面價值攸關性研究中，直接以市價表示價值研究作法的批評。 This paper estimates a VECM to assess the value relevance of three variables modeled in the residual income valuation model: equity price, reported earnings, and book value. By learning whether price is more informative than earnings and book value, we can judge the adequacy of the common research practice in proxying for intrinsic value using market price. Two research tools are used to quantify the information content in variables: the long-run causality and common-factor weight. Using data samples from five firms across three industries, this research shows that price contains not more, but about equal, amount of intrinsic value information compared to that in book value, while the amount in reported earnings is minimal. Our results support the critique by Lee (2001) on proxying for stock value by market price.
