年報展望性資訊與異常報酬、盈餘持續性及管理階層預測可信度之關聯

The Relationship between Prospect Information, Abnormal Returns, Earnings Persistence, and Management Forecast Reliability

朱婉華(Wang-Hua Chu)

指導教授 ： 陳國泰

國立臺灣大學/管理學院/會計學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.10972

摘要

對市場參與者而言，企業年報為衡量公司價值之重要依據，因此年報之可靠及攸關性一直是廣受討論之議題。年報組成項目包含數字及文字資訊。數字資訊多係反映企業過往之經營績效，這些資訊固然可作為投資人評估企業價值之參考，但與企業評價可能更為攸關的卻是企業未來的營運展望，而這些資訊絕大多數是以文字敘述呈現。本研究之目的在探討:(1)企業致股東告書中展望性文字資訊是否對市場造成影響；(2)企業營運財務績效是否影響文字資訊之可信程度；以及(3)企業營運財務績效與文字資訊一致性和盈餘持續性之關聯。
採用內容分析法，本研究分析台灣2007年647家上市公司致股東報告書中所呈現之有關未來營運之展望性文字資訊，將其分類為整體經濟環境、產業、以及企業本身之悲觀或樂觀訊息，研究結果顯示：(1)年報發布日之累計異常報酬率不受預期樂觀或悲觀訊息之影響；(2)企業發布之預期悲觀消息可信度顯著高於樂觀訊息，符合不完整揭露假說，但預期樂觀(或悲觀)訊息之可信度高低不因企業營運財務績效而有所差異，不符合管理模糊假說；以及(3) 企業營運財務績效與預期樂觀(或悲觀)訊息一致之企業，其盈餘持續性較佳。

關鍵字

致股東報告書 ； 文字資訊 ； 不完整揭露假說 ； 管理模糊假說 ； 盈餘持續 ； 內容分析法

並列摘要

For market participants, annual reports are important information source for valuation of firms. As a result, the reliability and relevance of annual reports have always been popular research issues. Annual reports contain both numeric and narrative information. The numeric information mostly presents past performance and is certainly an important basis for valuation. However, the prospect of future performance of a firm may be even more relevant with valuation. The prospect information is usually presented in narratives. This study attempts to investigate: (1) whether the prospect narrative information contained in president’s letters affects capital market; (2) whether numeric financial performance of a firm influences the credibility of its narrative prospect information, and (3) the relationships between earnings persistence and the consistency between numeric financial performance and prospect information.
Applying content analysis, this study analyzes president’s letters contained in the 2007 annual reports of the 647 Taiwanese public companies. Narrative prospect information is classified into positive/negative economic environment prospect, industry prospect, or individual firm prospect. The empirical results are as follows. Firstly, the cumulative abnormal returns around earnings announcement are not affected by positive or negative prospect information. Secondly, the credibility of negative prospect information is significantly higher than that of positive prospect information, which is consistent with Incomplete Revelation Hypothesis. However, the credibility of positive/negative prospect information is not related to financial performance, which is inconsistent with Management Obfuscation Hypothesis. Lastly, if a firm has financial operating results consistent with the positive/negative messages, it has better earnings persistence.

並列關鍵字

the president’s letter ； Incomplete Revelation Hypothesis ； Management Obfuscation Hypothesis ； earnings persistence ； content analysis

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