錯誤除權息參考價與市場反應 會計師解任壓力、審計品質與輪調制度之效果

Inaccurate Ex-right Reference Price and Market Reaction. Dismissal Threats, Audit Quality and the Effect of Mandatory Rotation

曾怡潔(Yi-Jie Tseng)

指導教授 ： 王泰昌

共同指導教授 ： 劉嘉雯

國立臺灣大學/管理學院/會計學研究所/博士(2010年)

https://doi.org/10.6342/NTU.2010.10548

摘要

本論文分為兩部分，第一部分之研究主題為探討公開錯誤資訊對資本市場之影響，利用臺灣證券交易所過去公佈之錯誤除權息參考價，研究投資人如何使用此種錯誤公開資訊，進而影響除權除息日當天股價。本研究採比較除權除息日開盤價與正確/錯誤除權息參考價之差距、模型選取準則、迴歸參數係數檢定以及非特例檢定來比較正確與錯誤除權息參考價何者對股價具有較高之解釋力，實證結果顯示錯誤除權息參考價具有較高之解釋能力，此代表股票市場未能適當反應資訊之正確程度。
第二部份之研究主題為探討公司經營者對於審計報告之偏好是否會影響其留任會計師之意願，進而將如何影響審計品質，即會計師之獨立性與保守程度；並分析輪調制度之效果。本研究採用多期訊號賽局理論模型，假設公司經營者、債權人與會計師之間存有資訊不對稱，分析均衡時會計師之審計品質與公司更換會計師之最適策略，本研究之結果為會計師為了維持競爭優勢將可能出現審計品質下降與過度保守之狀況，而輪調政策可能無法改善此狀況。

關鍵字

除權息參考價 ； 效率市場假說 ； 員工紅利配股 ； 會計師解任壓力 ； 審計品質 ； 輪調制度 ； 會計師獨立性

並列摘要

This dissertation consists of two parts; the first part investigates how the public inaccurate information affects the capital market. In 1995-2007, the Taiwan Stock Exchange Corporation (TWSE) announced the ex-right reference price formula which generated inaccurate public information within the stock market. The focus of this study is to demonstrate how investors use this inaccurate public information and how this affects the ex-day stock prices. We use differences between the accurate/inaccurate ex-right reference price and the ex-day price, model selection criteria, regression analysis and non-nested test to compare the explanatory power between the accurate ex-right reference price and the inaccurate ex-right reference price on the ex-day price. Results show that the inaccurate ex-right reference price has a higher explanatory power than the accurate one on the ex-day price, indicating the market fails to identify and reflect the accuracy of information on the stock price.
The second part investigates how an audit client’s preference over an audit report affects its willingness to retain the auditor. Furthermore, how this affects auditor’s decisions in the audit report, i.e., the audit independence. In addition, we also examine the effect of the auditor mandatory rotation. We use the multi-period signaling game, assuming that there exists information asymmetry among manager, auditor and investors. We analyze the audit quality through the optimal strategies of auditors and managers. Results show that in equilibrium, auditors lower their audit quality (independence) in order to maintain their competitive advantage. In addition, auditors may be over-conservatism under dismissal threats and mandatory rotation can not mitigate this situation.

並列關鍵字

Ex-right reference price ； Market efficient hypothesis ； Employee stock bouns ； Dismissal threats ； Audit quality ； Auditor mandatory rotation ； Audit independence

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