盈餘與股價因果關係之實證研究

An Empirical Study for the Casuality between Earnings and Stock Prices

葉金成(Chin-Chen Yeh) ； 李冠豪(Kuan-Hoa Lee)

《當代會計》 2卷1期 (2001/05) Pp. 18-38

https://doi.org/10.6675/JCA.2001.2.1.02

摘要

會計盈餘與股價之間的關係一直是會計與財務領域的研究主題。Ball＆Brown（1968）首將會計與財務連結，以實證方式證明盈餘具有資訊內涵。然至Beaver, Lambert＆Morse（1980），又以盈餘對非預期事件之反應落後股價反應，基此推論股價具有資訊內涵。而後Beaver, McAnally＆Stinion（1997）又以為盈餘與股價都是受到資訊所影響，兩者之間具有互動關係。在此三種不同的主張下，顯示盈餘與股價之因果關係還未確定。若不確定，對相關研究之研究結果影響甚巨。本研究以國內上市公司為樣本，以1986年到1998年為實證期間，利用葛蘭吉因果測試法，直接檢定盈餘與股價之影響方向，以驗證前述之研究假設，將結果提供後續研究此類關係者之參考。本研究之實證結果如下：1. 盈餘與股價之影響方向，因公司而異，而以回饋關係居多、盈餘領先股價次之、股價領先盈餘再次之、而以獨立關係最少。2. 股價與盈餘皆有其資訊內涵，但因公司而異。3. 就資訊領先時間而言，盈餘領先股價3季，股價領先盈餘2季。4. 國內盈餘資訊內涵研究結果之不一致，可能導因於因果關係之未先予以確定。且在未考慮個別公司屬性而不當分組下，將會低估盈餘或股價之資訊內涵。

關鍵字

資訊內涵 ； 盈餘 ； 股價 ； 葛蘭吉因果

並列摘要

The relation between earnings and stock prices is always an important issue in accounting and finance. Ball & Brown (1968) initially associate accounting and finance and prove the information content of earnings by an empirical study. Then Beaver, Lambert & Morse (1980) infer the information content of stock prices upon the reaction of earnings to unanticipated events behind stock prices. Recently, Beaver, McAnally & Stinion (1997) suggest earning and stock price are jointly affected by information, they are interactive. Under the three claims, it makes us doubtful. What is the real relation between earnings and stock prices? Earnings lead stock prices, stock prices lead earnings or they are interactive. Under the three fundamental hypotheses, what is the role of earnings and stock prices? What is the direction of the information flow? If it is still unclear, the result of related research will be tremendously influenced.Our samples are chosen from the firms traded in the Taiwan Stock Exchange from 1986 to 1998. We use Granger causality techniques testing samples to examine the direction of the information flow directly. Our findings are as follows.1. The direction of information flow between earnings and stock prices: the most is the feedback; secondly, earnings leading stock prices; then stock prices leading earnings; and the least is the independent.2. Earnings and stock prices have the information content respectively, but vary in different firms.3. For the time span of information transmission, earnings lead stock prices with three seasons, and stock prices lead earnings with two seasons.4. The inconsistent finding of those studies concerning the information content of earning in domestic may be attributed to the uncertainty of the causality between earnings and stock prices. In addition, it will underestimate the information content of earnings or stock prices by improper grouping techniques.

並列關鍵字

Information content ； Earnings ； Stock prices ； Granger causality