當財務領域之資本資產評價理論(CAPM) 未能解釋股票之報酬，套利評 價理論(APT) 及Fama & French (1993) 之三因子模式( Three-factor Model ) 實證應用上仍存在問題時，運用會計基礎評價模式估計權益資金成本，毋寧是 一種出路。本研究延續此會計基礎推算隱含權益資金成本之脈絡，應用Ohlson (2005) 之會計基礎評價模式，並援引Dechow & Dichev (2002) 對會計應計項 目估計錯誤之衡量，用以推算及替代會計保守處理之衡量，進一步探討在考慮 會計保守性及盈餘成長情形下，隱含權益資金成本之估計。 本研究之實證結果顯示，控制會計保守及盈餘成長之模式解釋股價變異之 能力優於末控制之模式。進一步比較會計基礎估計之權益資金成本與CAPM 市場模式估計之權益資金成本解釋未來股票報酬之能力，結果發現，如以會計 基礎估計之權益資金成本或CAPM 市場模式估計之權益資金成本主為單獨的自 變數解釋未來股票報酬之變異，則會計基礎模式並未優於CAPM市場模式。 但CAPM 市場模式估計之權益資金成本與未來股票報酬間卻呈現負相關，此 一現象與CAPM 模式之預期相違背，呼應財務領域估計權益資金成本存在問 題之事實。另外，如將兩者納入同一迴歸式中，用於解釋未來股票報酬之變異， 結果發現，會計基礎權益資金成本之係數大多大於CAPM 市場模式估計之係 數，而此結果主要導因於後者之係數大多為負數之故。

Combining the models of Ohlson (2005) and Dechow & Dichev (2002), this study estimates the implied cost of equity capital by simultaneously controlling the measures of accounting conservatism and earnings growth. When the Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), and Fama & French (1993) Three-factor Model got problems in estimating the cost of equity capital, the method based on accounting valuation models may play an important role in this field. The findings show that the model controlling for accounting conservatism and earnings grow exhibit s greater explanatory power to the variation of stock prices than the one without controlling. Furthermore, when comparing the relative explanatory power to the stock returns, there exist no evidence that the accounting-based estimation of the cost of equity capital estimated by the CAPM and future stock returns is inconsistent with the CAPM’s prediction. Further tests of the incremental magnitude between the coefficients of the accounting-based estimation of the cost of equity capital and those estimated by the CAPM, in explaining the variation of future stock returns show that the former dominates the latter, largely because of the negatively significant coefficients of the cost of equity capital estimated by the CAPM.

There are two approaches for the purpose of estimating cost of equity capital. One is the finance-based approach, using models such as Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), and Fama & French (1993) Three-factor Model, etc. The other is the accounting-based approach, mainly following the models of Ohlson (1995), Feltham & Ohlson (1995), Ohlson & Juettner-Nauroth (2005), and Ohlson (2005), etc. When the finance-based models got problems in estimating the cost of equity capital, the accounting-based models may play an important role in this field. This study combines the models of Ohlson (2005) and Dechow & Dichev (2002), by simultaneously controlling the measures of accounting conservatism and earnings growth, to estimate the implied cost of equity capital. This approach has the advantage of model completeness relative to previous researches. The findings show that the model controlling for accounting conservatism and earnings growth exhibits greater explanatory power to the variation of stock prices than the one without controlling. Furthermore, when comparing the relative explanatory power to the future stock returns, there exists no evidence that the accounting-based estimation of the cost of equity capital is superior to that estimated by the CAPM. However, the negative relation between the cost of equity capital estimated by the CAPM and future stock returns is inconsistent with the CAPM’s prediction. Further tests of the incremental magnitude between the coefficients of the accounting-based estimation of the cost of equity capital and those estimated by the CAPM in explaining the variation of future stock returns show that the former dominates the latter, largely because of the negatively significant coefficients of the cost of equity capital estimated by the CAPM. The implication to investors is that they should be cautious in using CAPM as a measure of ex ante stock returns.