實質活動操縱的盈餘管理對股價的衝擊

The Impact of Earnings Management Using Real Activities Manipulation on Subsequent Stock Price

李永全(Yung-Chuan Lee) ； 歐仁和(Jen-Ho Ou) ； 林雅慧(Ya-Hui Lin)

《風險管理學報》 15卷1期 (2013/06) Pp. 3-29

摘要

本研究的目的在驗證實質盈餘管理是否會影響未來股價，為求結果穩健性同時採用買入且持有的超額報酬和歷年投資組合迴歸兩種模型來計算與比較在不同的實質盈餘管理程度下的投資組合超額報酬。實證結果發現：當採用銷貨操縱或過度生產來提升短期盈餘時，在財報資訊公告後買入持有4-6個月後會有顯著負的超額報酬，而採用降低裁決性支出的手段則會有正的超額報酬產生，但這些異常的超額報酬在持續2-3個月後即消失，意謂著實質盈餘管理對股票錯誤定價是短暫的影響。

關鍵字

實質盈餘管理 ； 銷貨操縱 ； 過度生產 ； 裁決性費用操縱

並列摘要

This paper aims to examine the impact of real earnings management on subsequent stock price. The buy-and-hold model and calendar-time portfolio regression model are employed to calculate portfolio abnormal return and compare the two models at different level of real earnings management. The results demonstrate that adopting sales manipulation or overproduction to raise short-term earnings, a significant negative abnormal returns show after buying-and-holding stocks for 4 to 6 months after announcement of annual financial statements. But using the decrease discretionary expenditures would show a positive abnormal returns. However, these abnormal returns would disappearance after 2 to 3 months; it means that stocks mis-pricing causes by the real earnings management is impermanent.

並列關鍵字

real earnings management ； sales manipulation ； overproduction ； discretionary expenditure manipulation

參考文獻

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