價值減損宣告市場反應分析

Market analyses of Asset Impairment Announcements

蔡明仁(Ming-Ren Tsai)

指導教授 ： 林維珩

中原大學/商學院/會計研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600265

摘要

本研究為長期資產減損宣告之市場反應分析，以2004年第3季至2005年第3季宣告資產減損公司為樣本，運用事件研究法，檢視在當公司宣告資產減損情形下，市場將如何反應。宣告樣本也以提前和準時適用樣本、電子業與非電子業樣本，以及潛在訊息與非潛在訊息樣本進行切割比較，其中還分析減損跡象對市場反應之影響。敏感性分析排除干擾因素以及極端值，並重新定義事件日再度驗證宣告減損之市場反應，而減損跡象改以股價淨值比為判斷分析，最後再以首次宣告和後續宣告樣本比較減損金額對於異常報酬影響之分析。
本研究共有四項在資訊效果方面的發現。(一)市場確實在宣告資產減損時會有負向股價反應，表示市場解讀資產減損為公司價值高估之訊息；且而後發現宣告後30天股價績效低於宣告前30天，顯示公司股價高估情形確實獲得修正。(二)除此之外發現電子業股價反應速度快於非電子業，代表電子業備受投資人及媒體關注，因此訊息流傳較快。(三)發現有減損跡象但未宣告減損樣本，在宣告日也有顯著負向股價反應，此現象代表公司會猜測資產減損；潛在訊息與非潛在訊息樣本比較，發現潛在訊息之股價在公司宣告前，已提前部分反應，以致於在公司宣告時，不會有顯著負向反應。(四)測試宣告期間市場反應之影響因素時，發現公司宣告減損金額愈大時，市場反應愈大，此外公司股價淨值比也與宣告日異常報酬呈現顯著正相關，確定減損金額與股價淨值比為市場反應資產減損之重要的影響因素。綜合上述證據，本研究發現股價高估係公司宣告長期性資產減損的重要動機，而市場投資人亦將此決策視為有利資訊。

關鍵字

資產減損 ； 股價反應 ； 事件研究法

並列摘要

This research analyzes of the market reaction for long-lived asset impairment announcements. The sampling period starts from the 3rd quarter of 2004 to the 3rd quarter of 2005. Samples are subdivided in three ways: early adopters vs. non-early adopters of Statement No. 35, electronic industry vs. non-electronic industry, and with vs. without pre-emptive information. As sensitivity analyses, we eliminate outliers and confounding factor, redefine announcement dates, and use price to book value ratio as impairment indication to reexamine market reaction of asset impairments. Finally, we compare initial announcement samples with post-announcement ones to understand how the market reaction affected by impairment amount.
Empirical results show: As predicted, we find significantly negative market reactions to asset impairment announcements and we find the stock price performance over the post-announcement period is lower than that over the pre-announcement period. We found the price reaction in electronic industry is earlier than in non-electronic industry. There is significantly negative market reaction at announcement dates, when pre-emptive information about indication of impairment appears. And there is no significantly negative market reaction at announcement date, after the disclosure of pre-emptive informaiton. We test the determinants of market reaction . Results reveal the larger amount of impairments announced, the higher is market reaction. Besides, the price to book value ratio reflects positive association with abnormal return at announcement date. Overall, this paper provides evidence that the stock price overestimate is the main determinant of asset impairments.

並列關鍵字

Event study ； Asset impairments ； Stock reaction

參考文獻

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