財務報表重編宣告之市場反應：以ADR為例

Market Reactions to Restatement Announcement: Evidence of ADRs

陳靜佳(Jing-Jia Chen)

指導教授 ： 沈仰斌

元智大學/管理學院/財務金融學系/碩士(2007年)

摘要

本文研究財務報表重編宣告的市場反應，以ADR為實證分析。本研究包含1991年到2005年期間，共計有60家宣告財報重編的跨國上市公司。我們以事件研究法為模型，根據實證結果發現，美國市場在事件窗口-1天以及CAR (-1,+1) 有顯著負向反應，分別為-0.96% 以及-1.44%。同時，我們也檢驗母國市場的市場反應，發現所有事件窗口皆有顯著的負向反應。而我們也發現，兩地市場確實存在正向關係。根據過去文獻，我們同時將財報重編理由分類並檢驗哪些種類的理由最為顯著，再則我們探討兩地市場每一類重編原因是否也會有相同方向的反應。

關鍵字

財務報表重編 ； 市場反應 ； 事件研究法

並列摘要

This paper examines the market reaction of 60 ADRs’ restatement announced from 1991 to 2005. We document an average abnormal return of -0.96 percent on day -1 and -1.44 percent over three-day windows. Also, we explore home country market reaction through three event windows. We find all the windows are significant respectively (-1.278% over day -1 to 0, -1.086% over day 0 to +1 and -1.501% over -1 to +1.) There exists positive relationship between the two markets. Following previous studies, we also categorize the restatement attribution and examine which categories are most significant. Furthermore, we explore both markets will react the same direction in same attribution.

並列關鍵字

market reactions ； restatement ； event study

參考文獻

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