臺大管理論叢 NTU Management Review VOL.29 NO.1

235 NTU Management Review Vol. 29 No. 1 Apr. 2019 Model IM model REV model Variables β β ( t -value) β ( t -value) MB t β 11 /β 16 0.357 a (16.23) 0.357 a (16.20) SIZE t β 12 /β 17 0.068 c (1.89) 0.067 c (1.89) Year Effect --- Included Included β 7 +β 12 10.815 (0.55) β 8 +β 13 -1.603 (-0.16) N 7,932 7,932 Adj R 2 66.88% 66.87% F -statistic 12.57 a 12.52 a Hausman test 1271.69 a 1272.64 a Legends: 1. R t : a firm’s ex-dividend annual stock return in year t . X t-1 : a firm’s earnings per share excluding extraordinary items in year t -1, deflated by the stock price at the beginning of year t . X t : a firm’s earnings per share excluding extraordinary items in year t , deflated by the stock price at the beginning of year t . X t3 : a firm’s sum of earnings per share excluding extraordinary items for year t +1 through t +3, deflated by the stock price at the beginning of year t . R t3 : a firm’s annually compounded returns for year t +1 through t +3. IM t : a firm’s magnitude of long-lived assets impairment loss recognized in year t , deflated by the total assets at the beginning of year t . REV t : the dummy variable of the reversing assets impairment loss; REV is denoted as one if the firms recognizing assets impairment loss and reversing immediately in the following year, otherwise 0. LEV t : a firm’s leverage measured as total debts divided by total assets of the sample firms at the end of the fiscal year. MB t : a firm’s market-to-book ratio measured as the market value of equity divided by book value of equity at the end of the fiscal year. SIZE t : a firm’s size measured by the natural logarithm of book value of total assets at the end of the fiscal year. 2. “a”, “b” and “c” denote the significance on 1%, 5% and 10% levels respectively, based on two- tailed tests.