檢測未預期銷貨收入的產業內效果之實證分析

The Intra-Industry Effects of Revenue Surprises

許怡貞(Yi-Chen Hsu)

指導教授 ： 沈仰斌

元智大學/管理學院/財務金融學系/碩士(2004年)

摘要

摘 要

投資人與分析師除了注意財務報表上的盈餘數字之外，近年來也開始著重銷貨收入項目上的分析。然而，目前僅有少數幾篇學術研究是聚焦在未預期銷貨收入(revenue surprise)這個現象上。本研究除了再次檢測宣告公司對於未預期銷貨收入之宣告，其股價在宣告期間反應為何之外。更是聚焦在未預期銷貨收入事件的產業內效果(intra-industry effects) 之檢測。關於宣告公司的股價反應，實證結果與先前文獻一致，對於正(負)的未預期盈餘伴隨著正(負)的未預期銷貨收入時，宣告公司的股價反應顯著為正(負)。關於探討同產業中對手公司的股價反應，我們利用三種取樣對手公司的方式分別進行產業內效果的檢測。實證結果發現同產業中的對手公司對於未預期銷貨收入的宣告，並無顯著的股價反應。再者，為了避免頻繁的未預期銷貨收入宣告使得對手公司的股價反應出現疲乏現象，而導致錯誤的研究結果。因此，本研究檢測在同季同產業中第一家宣告未預期銷貨收入的宣告公司之對手公司的股價反應，實證結果與先前結果一致，對手公司股價仍然無顯著的異常報酬。本研究結果指出未預期銷貨收入事件之宣告是為公司個別事件(firm-specific)，並無資訊傳遞的特性存在。

關鍵字

未預期銷貨收入

並列摘要

ABSTRACT

This study examines the intra-industry effects of announcements of revenue surprises. Three rival-portfolio-formation methods are used to examine the stock price reactions of industry rivals on revenue surprises. Using a sample of 81935 announcements, we find that industry rivals on average realize insignificant abnormal returns. We further examine the stock price reactions of industry rivals of the first reporting firms. The results still appear to the announcements of revenue surprises have no impact on industry rivals. The overall empirical results suggest that no evidence show the connection between revenue surprises announcements and industry rivals. Therefore, the information in revenue surprises announcements is firm-specific.

並列關鍵字

revenue

參考文獻

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