本研究旨在檢視盈餘及現金流量波動性對資本市場資訊不對稱之關聯。Sudarshan Jayaraman (2007)研究了公司的現金流量管理和財務報告中盈餘對市場上的投資者而言是否富含信息,他證實了不管盈餘波動比現金流量波動更平穩或更波動,都隱含了資訊不對稱的可能。本研究參考Sudarshan Jayaraman (2007)的研究模式,以台灣證券交易所上市公司為樣本,取2003年至2011年之企業財務資訊,與2008年至2012年股票日資料之買價及賣價。以各公司之盈餘波動性(5年度盈餘除以總資產後的平方差)、現金流量波動性(5年度營運現金流量除以總資產後的平方差)、ACEV(盈餘波動性和現金流量波動性相差之絕對值)為依據,以SPREAD(Bid-Ask)分析是否有知情交易。 實證結果發現,以盈餘波動性與現金流量波動性單獨為變數或ACEV為變數都會產生交易資訊不對稱之情況,且在盈餘波動與現金流量波動之相對波動性中,不論盈餘波動大於現金流量波動,或是小於現金流量波動,皆會產生交易資訊不對稱之情況。
This study aimed to examine the association between volatility in reported earnings/cash flows and information asymmetry in capital markets. This study follows Sudarshan Jayaraman (2007) research model to investigate the impact of relative volatility of earnings vs. cashflows on the information asymmetry in firms listed in Taiwan Stock Exchange. Based on a sample of corporate financial informations from 2003 to 2011, and intraday trade data from 2008 to 2012 in Taiwan Stock Exchange, our empirical results show that volatility in earnings or cash flow volatility alone does have impact on market information asymmetry, and that the difference in volatility between earnings volatility and cashflows also have positive impact on market information asymmetry.