財務預測宣告對風險與交易量之影響

摘要我國於民國八十年開始推動強制性財務預測制度，並於民國八十二年發佈「公開發行公司財務預測資訊公開體系實施要點」，而國內對於財務預測資訊效果的相關研究，多半是採用事件研究法(event study)，並假設β風險水準是固定的。但近來許多研究皆指出β會隨著時間而變化。若此屬實，除非將此變動控制，否則研究結果可能會有偏誤，故有必要檢驗β變動是否存在。本研究以dimson (1979)之估計模型衡量系統風險β及其變動。結果發現在10%顯著水準下，β顯著變動的公司佔10%以上，因此財務預測宣告時β變動是存在的。本研究另發現公司規模越小，財務預測宣告時β變動的幅度就越大，代表公司財務預測宣告前之資訊量越少，宣告時風險的變動就越大，而財務預測宣告精確性越低的公司，其風險變動的幅度越大。而針對不同區段所做的分析結果發現，各項結果皆隨著宣告時間越接近宣告年度當年底而呈現著越不明顯的效果。可能因為財務預測本身主要的價值—預測價值，隨著預測的期間縮短，預測的資訊效果就越不具意義，因為年中相繼發布公司的財務資料以及分析師對公司資訊的解讀傳遞至市場，使投資人對財務預測的重視程度自然就會降低。另外，國內股市有漲跌停限制，因此交易量常為研究市場對資訊揭露時，另一項重要的衡量因素。先前確定系統風險β變動是否存在後，再檢驗財務預測宣告期間所產生的異常交易量，究竟是受到風險變動還是財務預測宣告的資訊內容所影響。結果發現財務預測宣告期間風險變動較大的公司，當市場收到關於風險變動的資訊時，其異常交易量會增加。而絕對累計異常報酬(資訊內容)對交易量的影響不比系統風險β變動來的低，且顯著性較高。此結果證實公司的異常交易量與風險變動是相關的，但受到絕對累計異常報酬的影響似乎更明顯。

關鍵字

交易量；財務預測；系統風險

並列摘要

Abstract Most of study followed “event study” to verify the effects of financial information on the market, and it assumed that the systematic risk β is stable. But recent studies foundβmay shift by time. If βshift is a fact, related researches have better control the influence of βshift in order to avoid bias. This study applied dimson model (1979) to estimate βvalue and its shift during financial forecast announcement. The results indicated that more than 10% of samples had the facts of βshift under 10% significant level. Otherwise, we found that the smaller size the company is, the larger βshift the company had, and the more precise of company’s financial forecast announcement, the smaller βshift the company had. And by examining different time interval during the year, we also found that the influence of announcement was getting weaker and weaker when the time was close to the end of the year. This result implied that the main value of financial forecast is “forecast”, when the time of forecast period decreased, the effect of the “forecast value” would decrease. Trading volume is another important measurement to examine the effect of financial announcement on the market. After examining whether the β shifts or not, this study also tested the abnormal trading volume during financial forecast announcement is influenced by βshift or information content. The results indicated that abnormal trading volume was impacted by both of them, but information content had stronger relation with it.

並列關鍵字

Financial Forecast ； Systematic Risk ； Trading Volume

參考文獻

黃宏文，「外資法人投資決策與上市公司強制性財務預測更新及報紙提前揭露之相關性研究」，私立中原大學會計所未出版碩士論文民國90年，。

劉啟群、陳建樺，「管理當局盈餘預測精準度與自願性盈餘預測揭露關係之研究」，中山管理評論，民國87年。

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國際替代計量

財務預測宣告對風險與交易量之影響

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