產業月營收宣告資訊移轉效果之研究

Intra-industry information transfers associated with monthly sales announcements

鍾妙青(Miao-Ching Chung)

指導教授 ： ARRAY(0xa381100)

中原大學/商學院/會計研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000201

摘要

月營收宣告是台灣特有的規範，也是許多投資人會參考的重要指標，故上市櫃公司宣告月營收時往往成為市場關注的焦點。而針對資訊移轉效果相關文獻，大都是針對公司盈餘宣告或財務預測作探討，月營收宣告之資訊移轉效果則較少有文獻研究；且對於研究樣本當時的景氣情形也無明確描述，尤其股價的變動係深受景氣的影響，宣告好消息或壞消息亦可能會因為景氣波動而有不同的結果。

本研究欲納入景氣的考量因素，以2008年5月至2009年12月的台灣上市上櫃共1142家公司為研究對象，探討首家宣告公司及該產業之優勢公司宣告月營收之好壞消息時，是否會因處在不同景氣循環階段而影響資訊移轉效果之強度及方向。研究結果發現：

1.景氣係決定資訊移轉效果方向與強度的重要因素。
2.在景氣衰退階段，首家宣告壞消息會使同產業內非宣告公司有負的股價異常報酬，而好消息的發佈亦會使產業內其他非宣告公司產生負的股價異常報酬，表示在景氣衰退時，股價對於好消息的宣告仍會有下跌反應。
3.在景氣擴張期時，首家宣告好壞消息皆會使同產業內非宣告公司有正的股價異常報酬，且好消息樣本的顯著性大於壞消息。
4.以優勢公司宣告月營收資訊而言，在景氣衰退期時，壞消息之宣告會使同產業內非宣告公司產生負的股價異常報酬，此與首家宣告情形一致；但宣告好消息時，其他非宣告公司的股價異常報酬未達顯著水準，表示優勢公司在景氣低迷時宣告好消息，同產業內其他非宣告公司的股價仍無明顯的波動。
5.另在景氣擴張階段，優勢公司宣告好消息或壞消息皆會使同產業內非宣告公司產生正的股價異常報酬。

關鍵字

月營收宣告 ； 異常報酬率 ； 景氣波動 ； 資訊移轉

並列摘要

The monthly sales announcement is a special norm in Taiwan; it is also an important indicator for many investors. Therefore, the monthly sales announcements made by the listed and OTC listed companies are often the focus of the market. Most “information transfer effect” related literature has probed companies’ earnings announcements or financial forecast, but the literatures related to the information transfer effect of monthly sales announcements are scarce. Moreover, the literature often lacks clear descriptions of the business cycle at the time of study sampling, especially when the share prices are subject to the condition of the business at the time and the announcements, good news or bad news, may lead to different outcomes due to business fluctuations.

The condition of the business is a considered factor in this study. With the 1,142 listed and OTC listed companies in Taiwan as the study subjects from May 2008 to December 2009, the study aims to explore whether the strength and direction of the information transfer effect are affected in different stages of the business cycle, as exemplified by the first company to make the monthly sales announcement and the company with industrial advantages that makes the announcement. The study results have indicated that:

1.The condition of the business is an important factor that determines the direction and strength of the information transfer effect.
2.In the business recession stage, when the first company announces some bad news, the other companies will suffer negative abnormal returns on share prices, abnormal returns on share prices and the same also happens when good news is announced. It has indicated that in a time of business recession, even the good news will lead to a decline in stock prices.
3.In the business expansion stage, when a company announces good news it will result in positive abnormal returns on share prices of the other companies. Also, the “good news” samples have achieved greater significance than the “bad news” samples.
4.In terms of the monthly sales announced by the company with competitive advantages, the announcement of bad news during the business recession stage will result in the negative abnormal returns on share prices of other companies and this situation is the same as that of the first company to make the announcement. However, when the good news was announced, the other companies’ abnormal returns on share prices did not reached significant levels, indicating that there have been no noticeable share price fluctuations following the announcement of the good news in the time of recession.
5.Furthermore, in the business expansion stage, the announcement of good news or bad news by the company with competitive advantages will result in the other companies’ positive abnormal returns on share prices.

並列關鍵字

Monthly Sales Announcement ； Abnormal Return ； Business Fluctuation ； Information Transfer

參考文獻

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