Securities Industry Price Response to Financial Asset Information

吳俊吉(Chun-Chi Wu) ； Allan Young

《中國財務學刊》 1卷1期 (1993/07) Pp. 103-117

https://doi.org/10.6545/JoFS.1993.1(1).6

摘要

一般認為損益表所顯示的盈虧狀況影響公司的股價最大，而資產負債表僅扮演次要的角色，這個結論雖有相當的準確性，不一定適用於證券和金融公司的特殊情況，證券和金融公司的資產包括極富流動性的短期與長期証券投資，證券的價值隨經濟情況變化，但在變現之前不直接影響到公司的損益狀況，然而資產負債表上的證券價值的變化預測將來公司的盈虧狀況，因此就證券金融公司而言資產表的資料可能遠比損益表更為重要，本文分析與比較資產及損益表資料發佈對證券金融公司股價的影響，我們發現資產價值的資料比損益的資料更能影響證券及金融公司股價，而且資產和損益表消息有互補的效果，當公司資產增值及利潤增加時，股價上升最大。

並列摘要

The objective of this paper is to determine the extent to which balance sheet information affects the pricing of the common stocks of securities and financial service firms. It is well known that income statement provides important information for the valuation of common stock. However, in the case of securities and financial service companies, the holding of financial, as opposed to operating, assets and thus the balance sheets of securities and financial service firms may well represent the predominant repository of the information affecting the price of common stock. This paper finds that there are significant changes in stock prices of securities and financial service firms surrounding the balance sheet disclosure date and that the market reactions to balance sheet information are stronger when t here is unexpected good news than when there is unexpected bad news. In general, prices of securities firm stocks react more to changes in asset values than to changes in earnings. Furthermore, the earnings announcement tends to reinforce the effect of the balance sheet disclosure. The firm posts the largest abnormal stock returns when there is unexpected good news in both income and balance statements.