盈餘宣告之新資訊與盈餘品質和股價資訊性之關係

New Information from Earnings Announcements, Earnings Quality and Stock Price Informativeness

陳彥豪(Yen-Hao Chen)

指導教授 ： 王全三

國立臺灣大學/管理學院/會計學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.03118

摘要

摘要
在會計研究中，財務報導在股權評價方面的角色，是重要而被廣泛討論的問題．股價反應則常被用於觀察財務報導在股權評價的有用性．其中，對於盈餘宣告時的短期股價反應常用以捕捉盈餘宣告時財務報導提供的新資訊，而長期的股價反應和盈餘之關聯性，則常用於衡量盈餘品質和股價資訊性．過往文獻對於盈餘宣告時的新資訊和盈餘品質和股價資訊性之間有正向、反向或無相關的關聯性預測．為了提供實證上的證據，本研究在Collins, Kothari, Shanken and Sloan [1994]的模型中，加入衡量新資訊的指標，以觀察盈餘宣告時之新資訊量與盈餘品質和股價資訊性之關聯．不同於過往研究使用標準化或非標準化的指標，本研究透過盈餘宣告日與非盈餘宣告之間平均日報酬差異的統計顯著性來衡量新資訊，即本研究以盈餘宣告日有多高的機率和非盈餘宣告日提供相同的資訊來衡量新資訊，當兩者資訊相同的機率越低，盈餘宣告的新資訊越多．結果顯示，一般來說，財務報表提供顯著的新資訊．且具有較多新資訊的財務報表，有較高的盈餘品質和股價資訊性．且此結果不受到其他控制變數加入的影響．

關鍵字

盈餘宣告 ； 新資訊 ； 短期股價反應 ； 盈餘品質 ； 股價資訊性

並列摘要

Abstract
In accounting researches, the role of financial reporting in equity evaluation is hotly debated. Stock price reactions are widely used to measure the usefulness of financial reporting in equity evaluations. Short-term price reactions to earnings announcement are used to capture new information from financial reporting around earnings announcements. On the other hand, the association between long-term price reactions and earnings measures the earnings quality and informativeness. Prior literatures provided positive, negative, and unrelated predictions about how the amount of new information from financial reporting relates to its earnings quality and stock price informativeness about future earnings.
To try to contribute to this question, I add a firm-year measure for new information from financial reporting into Collins, Kothari, Shanken and Sloan’s [1994] model. In this study, the measure for new information from financial reporting is the statistical significance of difference between averages of daily stock returns in earnings announcement and non-earnings announcement period. The use of statistical significance measures the probability that information in earnings announcement is the same as the information in non-earnings announcement period. That is, if information in earnings announcement is less possible to be the same as the information in non-earnings announcement period, the more information is provided by earnings announcements.
The results show that financial reporting generally provides significantly new information in my data sets. Financial reporting with more new information in the earnings announcement has better earnings quality and higher informativeness. The results are robust with respect to the presence of other well-identified determinants of earnings quality and stock price informativeness.

並列關鍵字

earnings announcements ； new information ； short term price reactions ； earnings quality ； stock price informativeness

參考文獻

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