臺大管理論叢 NTU Management Review VOL.30 NO.2

Predicting Future Performance Using Fair Value versus Historical Cost: Evidence from Investment Property 324 Table 3 Earnings Predictability for the Fair Value Model and the Cost Model Future income as a dependent variable (1) One-year-ahead (2) Two-years-ahead (3) Three-years-ahead Variable Coefficient t -statistic Coefficient t -statistic Coefficient t -statistic Intercept 0.15 1.84* 0.27 1.75 0.21 1.23 IN 0.89 2.78*** 0.68 2.68*** 0.23 2.12*** D_PV -0.005 -0.45 0.07 0.41 0.03 0.29 IN*D_FV 0.27 2.21** 0.29 1.97* 0.36 2.57*** IP -0.02 -0.28 -0.01 -0.24 -0.04 -0.15 SIZE -0.05 -2.18** -0.05 -2.04** -0.02 -0.60 MB -0.002 -0.78 -0.004 -1.54 -0.003 -0.95 LEV 0.14 1.17 0.15 1.33 0.04 0.27 STATE -0.13 -1.89* -0.15 -2.11* -0.14 -1.91* APP -0.06 -1.36 -0.12 -2.45** -0.25 -3.07*** YEAR/INDUSTRY Included Included Included N 340 340 340 Adj R 2 0.44 0.38 0.40 Note: All variables are as described in Appendix A. *, **, *** indicate statistical significance at less than the 10%, 5%, and 1% level, respectively (two-tailed). Table 4 Earnings Predictability for Cost and Accumulated Changes in Fair Value of Investment Properties Future income as a dependent variable (4) One-year-ahead (5) Two-years-ahead (6) Three-years-ahead Variable Coefficient t -statistic Coefficient t -statistic Coefficient t -statistic Intercept 0.16 1.50 0.21 1.34 0.06 0.26 IN 0.91 2.41*** 0.75 2.23*** 0.42 2.34*** SUM_FV 1.84 2.89*** 1.56 2.75*** 2.64 3.20*** IN*SUM_FV 0.25 1.98* 0.35 2.15** 0.21 2.04** IP -0.04 -0.45 -0.02 -0.77 -0.04 -0.14 SIZE -0.05 -2.18** -0.05 -2.04** -0.02 -0.60 MB -0.002 -0.78 -0.004 -1.54 -0.003 -0.95 LEV 0.14 1.17 0.15 1.33 0.04 0.27 STATE -0.11 -1.94* -0.14 -2.08* -0.19 -2.06* APP -0.06 -1.36 -0.12 -2.45** -0.25 -3.07*** YEAR/INDUSTRY Included Included Included N 340 340 340 Adj R 2 0.45 0.38 0.40 Note: All variables are as described in Appendix A. *, **, *** indicate statistical significance at less than the 10%, 5%, and 1% level, respectively (two-tailed).