財務預測負向調整對股價及資訊內涵之影響－以電子業為例

The Influence Made by the Negative Adjustments of Financial Forecast upon Stock Price and Information Intension-Take Electron Industry as an Example

古永嘉(Y. J. James Goo) ； 李富川(Fu-Chuan Li) ； 杜長樹(Hang-Shu Tu)

《中華技術學院學報》 36期 (2007/06) Pp. 139-155

https://doi.org/10.7095/JCIT.200706.0139

摘要

財務預測最受非議者主要有兩點，一為預測不準，另外一點則是企業主管當局操控盈餘。而主管當局操縱盈餘可能是預測不準原因之一。此一人為因素干擾市場運作機制其影響力不容小覤，值得深入探討。本研究採用與以往不同之統計模型，在探討財務預測調整時，對於股價及資訊效果之影響如何，對於個別投資人及全體投資人之股價及投資報酬之關係又將會是呈現什麼型態，其代表涵義為何進行實證。本研究以多變量時間數列之介入模型(Intervention Model)為統計分析工具，可針對個股及全體樣本作檢定，與市場模式之平均異常報酬(AR)與累積異常報酬(CAR)計算出實際報酬率與期望報酬之差額，能提供個股較多資訊，分析結果較為週延，結果可與市場模式研究結果交叉分析，可進一步解釋預測不準的可能原因，從結論中提出建議，並從不同角度觀點作後續追蹤研究，強化論述根據，作為決策擬定參考。
本研究針對電子類股進行研究，資料期間包含自民國92年1月1日至93年12 月31 日，經實證結果所得結論如下：
(1)負向更新公告日，個股經檢定後異常報酬顯著異於零，顯示具有價格壓力效果。負向更新公告次日，個股經檢定後異常報酬無顯著異於零，顯示不具有價格壓力效果。(2)針對全體樣本，求算其平均異常報酬，負向公告異常報酬顯著異於零，顯示具有價格壓力效果。(3)針對全體樣本，求算其累積異常報酬，負向公告累積異常報酬顯著異於零，顯示具有資訊效果。

關鍵字

財務預測調整報酬率資訊內涵介入模式

並列摘要

The two points of financial forecast which persons challenge mostly are as follows. One is inaccurate forecast; the other is that the authorities of an enterprise manipulate earnings. The authorities' manipulating earnings is one of the reasons of inaccurate forecast, and the man-made factor interferes market operation mechanism, so its influence can't be neglected and is worth discussing deep. This research adopts the different statistic model from that of the past. It researches empirically what the influences on stock price and information affect are, what types of relations between stock price and investment return of specific investors and all investors are, and what the meanings are while probing into the adjustment Of financial forecast. This research uses ”Intervention Model of Multivariate Time Series” as statistics tool, which can test personal stock and all samples, calculate out the differences between actual rate of returns and that of expecting return with the ”Average abnormal return” (AR) of the market way and ”cumulative abnormal return” (CAR), which can offer more information for the personal share, and the result of analysis is more thorough. The result can be analyzed across with the market way, by which we can explain the possible reason of inaccurate forecast, put forward the suggestion from the conclusion, make follow-up tracking study from the different view, strengthen the base of discourse, and use it as a reference while making decisions.

並列關鍵字

Adjustment of financial forecast ； rate of return ； Information Intension ； Intervention model