檢測初次公開發行公司未預期盈餘與收入之市場反應

Do Earnings and Revenue Surprise of IPOs Surprise Investors?

徐玉(Yu Hsu)

指導教授 ： 陳軒基

共同指導教授 ： 沈仰斌(Yang-Pin Shen)

元智大學/管理學院/財務金融學系/碩士(2006年)

摘要

本研究主要檢測初次公開發行公司未預期收入與盈餘之宣告效果，此外亦探討這些未預期盈餘與收入是否能持續及那些具有未預期收入與盈餘極端值之公司特性為何。在宣告公司的短期股價反應方面，實證結果發現當正(負)的未預期收入伴隨著正(負)的未預期盈餘時，宣告公司股價顯著為正(負)，此結論大致與先前文獻一致；然而，就長期股價反應來說，投資人較關切初次公開發行公司創造未預期盈餘之能力。另一方面，實證結果亦指出對初次公開發行公司而言，未預期收入與盈餘難以維持，存有反轉現象，且平均每筆的未預期收入與盈餘經過了三年就無法產生額外的資訊效果。最後，實證亦指出若初次公開發行公司為高科技公司或有較低的承銷價及較低的舉債水準，較容易創造極端正或極端負之未預期收入與盈餘。

關鍵字

未預期盈餘 ； 未預期收入

並列摘要

This paper explores the information conveyed by unexpected earnings and revenue following earnings announcement period for IPO firms. It also examines whether there is persistence of earnings and revenue surprise and investigates the characteristics of extreme earnings and revenue surprise groups. We document that there exist positive relation between announcement window returns and both standardized unexpected earnings (SUE) and standardized unexpected revenue (SUR). Further, our results suggest that investors take more notice of earnings surprise for IPOs in the long run. IPO firms with low offer price, low leverage and those are high-tech firms seem more likely to be extreme SUE-SUR groups. It is also evident that it is hard to persist for these surprises for IPOs.

並列關鍵字

Standardized Unexpected Earnings ； Standardized Unexpected Revenue

參考文獻

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