重整宣告與同產業間資訊移轉之研究

Intra-industry information transfers associated with restructuring announcements

吳聲芃(Sheng-Peng Wu)

指導教授 ： 鍾彩焱

元智大學/管理學院/會計學系/碩士(2006年)

摘要

許多的會計研究都在探討公司資訊與股價之間的關係。近年來有學者將上述議題延伸至探討同產業公司間盈餘宣告與公司股價之間的關連性，也就是所謂的同產業間資訊移轉效果之研究。先前許多學者探討過公司季盈餘宣告、管理階層盈餘預測和會計重編等等議題與資訊移轉效果之間的關係。但截至目前為止，尚未有研究探討同產業公司間宣告重整是否存在資訊移轉效果，此即為本研究的動機。

在實證結果方面，本研究的第一項假說，無方向性測試的結果顯示出在無方向性測試下，同產業內的重整公司與非重整公司間確實存在有資訊移轉之關係。接下來本研究的第二項假說，方向性測試則是透過分組的Spearman rank correlation的等級相關係數測試，發現同產業內非重整公司的累積異常報酬並不會隨重整公司的累積異常報酬的正負，而產生同方向的變動。之後的?邅k分析雖然方向符合預期，但是卻不具統計顯著性。

關鍵字

資訊移轉 ； 重整 ； 市場模型

並列摘要

Much of the accounting research is performed to understand the association between information and security prices. Furthermore, the research has been extended to investigate the relationship between earnings announcement and security returns between firms in an industry, i.e., the intra-industry information transfers. In recent years, several studies have been made on accounting information transfer effects, which are associated with quarterly earnings announcements and management forecasts of earnings. However, there has been no study that tried to examine the relationship between restructuring announcement and security returns. It is an important motivation for this study.

First, I perform the non-directional test. The result supports the notion that restructuring announcements information reflected in the announcing firms’ security returns influences the security returns of other firms in the same industry. Secondly, the directional test is performed. However, there is no statistically significant evidence that the direction and magnitude of the impact of a firm's restructuring announcement on its own stock price is a determinant of both the direction and magnitude of security prices of other firms in its industry.

並列關鍵字

information transfers ； restructuring ； market model

參考文獻

Ali, A., J. Ronen; and S. Li 1994, Discretionary Disclosures in Response to Intra-Industry Information Transfers. Journal of Accounting, Auditing and Finance 9: 265-282.

Baginski, S. 1987, Intra-Industry Information Transfers Associated with Management Forecasts of Earnings. Journal of Accounting Research 25: 196-216.

Ball, R. and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research 6:159-178.

Beaver, W.H., 1968, The Information Content of Annual Earnings Announcements, Journal of Accounting Research 6: 67-92.

Beaver, W.H., R. Clarke and W.F. Wright, 1979, The Association Between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors, Journal of Accounting Research 17: 316-340.