盈餘警示之同業日內市場反應

The Impact of Earnings Preannouncements on firm''s Rivals-An Intraday analysis

鍾美亭(Mei-Ting Chung)

指導教授 ： 周冠男

國立中央大學/管理學院/財務金融學系/碩士(2008年)

摘要

本文旨在研究盈餘警示對同業股價反應之影響。我們發現對手股價在宣告後一至兩分鐘內即有反應，好消息宣告下有延遲的反應。
就我們樣本而言，當公司警示壞消息時，產業越集中，越有競爭效果。當公司警示好消息時，產業越集中，越有傳染效果。不管公司警示好、壞消息，產業槓桿程度越高，越有傳染效果。宣告品質會影響同業股價反應，宣告越仔細股價反應越明顯。

關鍵字

傳染效果 ； 競爭效果 ； 日內市場反映 ； 盈餘警示

並列摘要

The purpose of this paper is to examine the impact of earnings preannouncements on the announcer’s rivals. We find rivals’ stock price react to preannouncements within one to two minutes following the disclosure. There is a delayed reaction to good news.
Competitive effects exist in more concentrated industry (higher Herfindahl index) under bad news preannouncements while contagion effects exist in more concentrated industry. Contagion effects exist in more levered industry (higher leverage ratio) no matter under good or bad news preannouncements. Disclosure quality affects the reaction. Quantitative disclosures elicit larger price response and the speed of reactions is faster.

並列關鍵字

Competitive Effect ； Contagion Effect ； Earnings warning ； Intraday

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