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

245 NTU Management Review Vol. 29 No. 1 Apr. 2019 2005-2010 2005-2010 (Exclude 2008) Model IM model REV model IM model REV model Variables β β ( t -value) β ( t -value) β ( t -value) β ( t -value) LEV t β 10 /β 15 -0.425 b (-2.06) -0.422 b (-2.08) -0.459 (-1.57) -0.460 (-1.60) MB t β 11 /β 16 0.370 a (21.37) 0.370 a (21.67) 0.365 a (19.15) 0.364 a (18.70) SIZE t β 12 /β 17 0.083 (1.45) 0.082 (1.44) 0.076 (1.15) 0.077 (1.16) Year Effect --- Included Included Included Included β 7 +β 12 23.567 (1.02) 37.562 (1.62) β 8 +β 13 -12.464 (-1.15) -20.632 (-1.42) N 6,973 6,973 5,776 5,776 Adj R 2 67.19% 67.20% 60.70% 60.74% F -statistic 11.50 a 11.47 a 7.58 a 7.57 a Hausman test 1168.19 a 1170.56 a 576.38 a 583.91 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.