財務報表重編與股票市場反應之關聯性研究

Abstract

本文旨在檢視近年財務報表重編之情形與財務報表重編對股票市場反應之影響。首先，根據本文統計過去20年上市櫃公司的年報重編情形，總重編次數達376起，屬於會計錯誤之重編則有250起，比例達66%。其中又以轉投資相關導致重編之比例最高，佔整體會計錯誤之比例達38%。若細分重編對淨利的影響以及重編發起人的身分別，則重編淨利調整數小於0者（高估過去盈餘）佔整體會計錯誤之比例達74%，由主管機關發起者則佔60%。 接著，我們以事件研究法檢視財務報表重編對股票市場的影響。結果顯示，財報重編公司的平均股價報酬率為-0.6%。若細究重編後淨利調整數的影響時，過去盈餘高估者（低估者），則重編公司的股價報酬率跌幅達-2%（漲幅達+3.6%）。若根據重編發起人的身分別做分組，當發起人為主管機關者，則股價報酬率跌至-0.9%。此外，我們發現，就重編事件而言，市場可能存在內線交易的違法情事，即低估過去盈餘者（高估過去盈餘者），在重編宣告日前的第9天（第4天），股價報酬率跌至-1%（漲至+1%），至重編宣告日時股價報酬更跌至-2%（漲幅達+3.6%）。 最後，根據這樣的實證結果，我們建議主管機關應針對重編而導致內線交易的違法情形，訂定相關罰則與防範機制，以維護股票市場的公平原則。

This paper examines the relationship between financial restatement and stock market reaction. First, according to our analysis of the annual report restatements of listed firms over past 20 years, the total number of restatements is 376 times. The restatements of accounting error have 250 times which occupy 66% of total amount. Furthermore, the proportion of equity investment leading accounting error restatements is the highest which occupies 38%. We find restatements involving income over-estimation account for 74% of the total number of restatements, and 60% of the restatements are initiated by the authoritative regular. Second, we use event study approach to review the effect of the financial reporting restatement on stock market. Our results show the average stock return of the restatement was -0.6%. We analyze the effect of restatement on net income, and find stock return of income over-estimation companies (income under-estimation companies) was -2% (+3.6%). We also analyze the effect of initiator of restatement, and find the stock return of restatement was -0.9% when the regulator is the initiator. At last, we find that illegal insider trading exists in the market due to the restatement event. When the past income is over-estimated (under-estimaed), the stock return decreases by -1% (+1%) on night days (four days) before the day of announcement day and decreases by -2% (+3.6%) on the day of announcement. Finally, according to the empirical results, we suggest that the regulator enact penalty and build prevention mechanism for illegal insider trading resulting from financial reporting restatement. This will keep the fair principle of the stock market.