自安隆案爆發後,公司治理逐漸地受到重視,其中資訊透明度係公司治理中重要的一環,我國亦於2003年由台灣證券交易所及證券櫃檯買賣中心委託證基會建置資訊揭露評鑑系統。過去文獻發現資訊揭露評鑑結果具有資訊內涵,但可能因事件日聚集,不易清楚看出該訊息對投資人決策之影響。 本研究嘗試使用形成投資組合之方式以處理事件集中之問題,並排除第一、二屆之評鑑結果,以2006年至2011年為研究期間,檢視評鑑結果發佈前後數天,資訊透明度的更動是否會對資本市場產生影響,反映於股價上。實證結果顯示評鑑結果自較不透明,更動為較透明的公司,股價會出現正的異常報酬。而在排除等級更動僅有一級之公司後,評鑑結果自較透明,更動為較不透明的公司,股價會出現負的異常報酬。
After the Enron Scandal, issues surrounding corporate governance are widely discussed, while information transparency is also an important element in it. The Securities and Futures Institute (SFI), entrusted by the Taiwan Stock Exchange Corporation (TSEC) and the Gre Tai Securities (GTSM), had launched the Information Disclosure and Transparence Ranking System (IDTRS) for corporate transparency in 2003. Prior studies suggest that because of event clustering, the influence on investors’ decisions could not be found, but IDTRS still have information content. In this paper, I use the modified event-study approach to empirically examine the reaction to these changes announced. Results show that when the changes of ranking are positive, the positive abnormal returns occur. Further analysis shows that when the changes of ranking are negative, the negative abnormal returns occur around the event date after excluding one-level-changed companies.