企業資產減損宣告對股票成交量影響之研究

The Effects of Asset Impairments Announcements on the Trading Volume

吳郁鈴(Yu-Ling Wu)

指導教授 ： 高儷華

中原大學/商學院/會計研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600673

摘要

為提升企業財務資訊品質及與國際接軌，我國財務會計準則委員會於2004年7月1日發布財務會計準則公報第35號「資產減損之會計處理準則」。本研究之目的在於透過分析成交量的變化來探討投資人對於資產減損宣告的反應。採用事件研究法(Event Study)中的市場模式(Market Model)以標準化異常成交量週轉率﹙Standardized Abnormal Volume, SAV﹚及標準化累計異常成交量週轉率﹙Standardized Cumulative Abnormal Volume, SCAV﹚檢定企業宣告認列資產減損是否具有資訊內涵。

實證研究結果發現：(一)企業宣告認列資產減損具有資訊內涵；於2005年第一季季報中準時適用資產減損之公司較於2004年年報中提前適用資產減損之公司為顯著；認列資產減損之上櫃公司較認列資產減損之上市公司為顯著；認列資產減損之電子業公司較認列資產減損之非電子業公司為顯著；認列不同類型資產減損中，長期投資減損較其他資產減損為顯著；由前四大會計師事務所查核之認列資產減損公司較非由前四大會計師事務所查核之認列資產減損公司為顯著。(二)認列資產減損之公司於事件期間有異常成交量及異常報酬率之情形，股價於事件日之前就有顯著的負向市場反應，且持續整個事件期間，交易量至事件日後始有顯著的正向市場反應，且持續時間較短；造成這種異常價量變動關係，可能是因宣告資產減損訊息有外漏情形，於事件日之前即有股價下跌之反應，而長線投資人等事件日後，價格反應之效應顯現，始積極買進，造成事件日之後，異常成交量週轉率始為顯著。

關鍵字

事件研究法 ； 異常成交量 ； 資產減損

並列摘要

To improve the quality of corporate financial information and to conform to international standards, the Financial Accounting Standards Committee in Taiwan promulgated the “Accounting for Impairment of Assets” in its Statement of Financial Accounting Standards No. 35 on July 1, 2004. The purpose of this research is to investigate investors’ response to this newly enacted regulation through the analysis of changes in trading volumes. We employed the Standardized Abnormal Volume (SAV) and Standardized Cumulative Abnormal Volume (SCAV) methods of Market Model in Event Study to test the information content of the declarations made by enterprises in regards to recognition of asset impairment.

The empirical study discovered that: (1) Declarations made by enterprises in acknowledgement of impairment of assets do have informational content. For those companies first required to adopt the new rule in their 1Q2005 quarterly reports, the information content is more significant that those who adopted it early in their 2004 annual reports; more so for over-the-counter than listed companies; more so for electronics than non-electronics firms; more so for long-term than other investments, for companies recognizing asset impairment for different types of investments; and more so for companies audited by the four major accounting firms than for those audited by others. (2) During the event period, companies adopting an accounting treatment for the impairment of assets recorded abnormal trading volumes and abnormal rates of return, with share prices exhibiting significant negative market responses prior to the event date, which lasted throughout the event period. It was not until after the event date that the trading volumes started to exhibit significant positive market responses which continued for a shorter period of time. The reasons for these price/trading volume fluctuations could be attributed to the leaking of information regarding asset impairment, contributing to a fall in share prices. After the event date, long-term investors responded to the price effects and began to buy in large volumes, causing the high turnover rate in trading volumes.

並列關鍵字

Abnormal Trading Volume ； Event Study Methodology ； Impairment of Assets

參考文獻

財團法人中華民國會計研究發展基金會，2004年，財務會計準則公報第35號公報：『資產減損之會計處理準則』，財務會計準則委員會。

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