資訊揭露評鑑制度對股價影響之研究

An Empirical Study of the Impact of Information Transparency Disclosure Rankings System on the Stock Price

王佩珍(Pei-Chen Wang)

指導教授 ： 高儷華

中原大學/商學院/會計研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500620

摘要

為提升公司企業資訊揭露的透明度，證券暨期貨市場發展基金會自九十二年起開始進行上市櫃公司資訊揭露評鑑，期望藉由獨立、公正、專業的第三者系統對全體上市櫃公司之資訊揭露透明度作一客觀系統化評量。本研究有兩目的，一是以第一、二屆評鑑結果做為對象，探討資訊揭露評鑑結果對股價波動的影響。採用事件研究法(Event Study)中的市場模式(Market Model)以異常報酬(Abnormal Returns) 及累計異常報酬(Cumulative Abnormal Returns)檢定資訊揭露評鑑結果是否具有資訊內涵。另一目的是探討資訊透明度較高之公司，市場價值是否較高。

實證研究結果發現：（1）「資訊揭露評鑑系統」具有資訊內涵，但因其結果公布日與年度財務報表公告日及第一季財務報表公告日距離很近，在事件日聚集的情況下，所有觀察值在同時間除了受到研究事件的影響外，亦同時受到相同的外部因素及盈餘宣告的影響，致使股價互相干擾，產生個別公司間股價的異常報酬率有明顯的相依性(dependence) 即「橫剖面相依」，亦即由事件研究法研究結果顯示較難以明顯看出評鑑結果其對投資者決策的影響性。（2）當公司被列為資訊透明度較高的公司，Tobin’s Q較高，也就是市場給與的津貼較大，公司市場價值較高。

關鍵字

資訊內涵 ； 資訊透明度 ； 事件研究法

並列摘要

In order to promote Corporate transparency, Taiwan Securities and Futures Institute (SFI) has launched “ Information Transparency and Disclosure Rankings System” (ITDRS) to evaluate the level of the transparency for all TSE/GTSM listed companies since 2003. Expecting to do one objective and systematized evaluation to the transparency of all TSE/GTSM listed companies with the other system of independent, just and professional. There are two main purposes of this research. First, based on the sample of 2003 & 2004 ITDRS, to probe into what's the effect of the result of the racking system to the fluctuation of the stock price. It adopts the Market Model of the Event Study, which uses Abnormal Returns(AR)and Cumulative Abnormal Returns(CAR) to test whether the disclosure of ITDRS will effect the decision of investors. The second one is to examine that whether the more transparent companies (MTF) have higher market valuation than the other no-MTF.

From the results of study, we find (1) “ Information Transparency and disclosure Rankings System” have information content, but because the event date is very close to the declare date of annual and first quarterly financial statement, In the situation of event date clustering, all samples are besides influenced by the event also influenced by the same external factors and earnings announcement at the same time, cause the mutual interference of the stock price. That is, it is more difficult to obviously find out the effect of ITDRS to the invest decision of investors. (2) We also find that MTF are more highly valued than no-MTF.

並列關鍵字

Event Study ； Information content ； Transparency

參考文獻

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