台灣上市櫃公司財報盈餘資訊反轉揭露與 股價關係之研究

THE STOCK PERFORMANCE STUDY OF FINANCIAL EARNINGS DISCLOSURE REVERSION FIRMS

簡易賜(CHIEN, I-SZU)

指導教授 ： 古永嘉

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2013年)

摘要

我國股市逐漸邁向「成熟期」階段，投資人漸趨理性，公司獲利能力通常最為投資人所重視，直覺上盈餘應有其資訊內涵。財務報表為股價形成重要因素之ㄧ，含豐富資訊(如每股盈餘、每股淨值、現金流量等)應該提供投資人某些重要的資訊，故公司財務報表公告之時間性一直是證券市場投資大眾注意的焦點。惟現行法規僅規定公司財務報告申報截止日，所以公司可選擇財務報表公告時間，在資訊不對稱情形下，管理者可能有道德危險，亦可能會進行有關盈餘操縱等之行為，近年來，國外有許多學者探討財務報表公司盈餘公告日時間性的問題，本研究主要探討台灣上市上櫃公司財報盈餘資訊反轉揭露與股價之關係，以提供投資者未來投資的參考及投資策略的依據。

本研究期間自2008年第1季至2011年第4季，共計4年16季，透過TEJ(臺灣經濟新報)系統以取得台灣上市上櫃公司於本研究期間之財報盈餘資訊，並以Statistics Analysis System(簡稱SAS）統計分析系統篩選出現盈餘資訊反轉揭露公司，即前三季財報盈餘為正但第四季盈餘為負之異常公司，再從異常公司中4年出現2年以上有上述財務盈餘反轉之異常公司，並採行事件研究法，進一步研究當其進行當年度盈餘宣告時，與其股價出現異常之關係，實證結果如下：

一、台灣上市上櫃公司財報盈餘資訊正常與異常反轉，其財務變數出現顯著差異。
二、出現財報盈餘資訊反轉上市上櫃公司，於不同異常事件定義下其異常報酬存有差異。
三、事件宣告對異常事件之異常報酬率呈現顯著性。

關鍵字

事件研究法 ； 異常報酬 ； 盈餘資訊反轉揭露

並列摘要

As the Taiwan Stock market has become mature, investors are getting more rational. Usually, one of the most important issues focused by investors is the earning power of a company. In fact, the timing of earnings disclosure, such as EPS, net asset value, cash flows, should reveal some information for investors. The current regulation only requires the deadline of corporate financial statement reporting, which might delay the company earnings disclosure in later quarters. Due to asymmetric information, managers may involve in moral hazard and earnings manipulation. This research investigated the earnings reversion phenomenon of listed companies and its association with stock returns for providing investment strategy to investors.
The earnings reversion companies data from 2008Q1~2011Q4 were collected, a total of 4 years and 16 quarters. Earnings information reversion companies means that earnings are positive in the first 3 quarters but negative in the fourth quarter of each year. Furthermore, we select companies that occurred at least twice in earnings reversion situation. In addition, four financial variables from abnormal and normal companies are collected for comparison purpose. The event study methodology is used to investigate the abnormal returns. The empirical results are as follow:
1. The financial variables between normal and abnormal are significant different.
2. In two different cases of abnormal firms, the cumulative returns are different.
3. There exists significant abnormal return when earnings reversion events were announced.

並列關鍵字

abnormal returns ； event study methodology ； earnings reversion disclosure phenomenon

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