本研究以社會責任成分股為主要研究目標,並以FTSE4GOOD US作為社會責任企業之依據,且將S&P500成分股加入比較,俾探討財務報表中會計訊號、可操控應計項目及分析師盈餘預測修正三者間是否具有相關性,並從分析師預測和基本分析的角度出發,分析會計資訊對股價異常報酬率是否產生顯著影響。 本研究選取財務報表內的八項非盈餘變數,加上可操控應計項目作為自變數,以分析師盈餘預測修正和股價異常報酬率作為應變數,建立一個多因子迴歸模型。檢定會計資訊與分析師盈餘預測的關連性,並且以分析師盈餘預測的正修正、負修正、無修正等三種情況來分類,以分析會計資訊及分析師盈餘預測之修正對股價異常報酬率的解釋能力。 從實證結果得知,遵守企業社會責任之公司,其可操縱應計項目對股價異常報酬具有正向影響,而非企業社會責任之公司,其可操縱應計項目對股價異常報酬呈負向影響。就所有樣本公司而言,分析師的預測都會受到部分會計資訊的影響。但金融業分析師之預測則不會受會到計資訊的影響。此外,對所有樣本公司而言,其股價的異常報酬均會受到部分會計資訊的影響。而遵守社會責任之企業相較於不遵守社會責任企業而言,其股價異常報酬較不易受到分析師預測的影響。
This study examines the relationship among the accounting signal, accruals, and the forecast of the financial analysts from the corporate social responsibility(CSR) viewpoints. This investigation uses FTSE4GOOD US as the representative index of CSR companies, and compares FTSETGOOD US index with the S&P500 index. Additionally, this study examines whether the accounting information has significant impact on abnormal stock return from the viewpoints of the financial analysts. This investigation uses multi-factor regression model to examine the relationship between accounting information and the forecast of financial analysts. Moreover, this study divides the revised forecast of the financial analysts into three sub-groups: positive revisions, negative revisions and non-revision groups, in order to predict the accuracy of abnormal stock returns of accounting information and that of the revised forecast of the financial analysts. Empirical findings show that the accruals have positive impact on the abnormal stock returns for the CSR company, while the accruals have negative impact on abnormal returns for the companies neglecting CSR. For all sample companies, the revised forecast of the financial analysts is partially affected by accounting information. However, the accounting information on banking industry does not affect the revised forecast of the financial analysts at all. Moreover, the abnormal stock returns are partially affected by the accounting information for all sample companies. Finally, the revised forecast of the financial analysts on abnormal returns has less impact on the CSR companies than the companies neglecting CSR.