管理階層討論與分析語調對股票報酬中反應的預期未來盈餘之影響

Abstract

本文探討了美國年報 (10-K) 的管理階層討論與分析 (Management's Discussion and Analysis, MD&A) 語調與股價中反應的未來盈餘預期之關聯性。過去的研究已經指出，MD&A中非財務資訊和前瞻性論述及其語調，有助於投資者更好地理解公司的營運狀況和對未來業績的預測，並且負面語調對投資者的影響比正面語調更大。然而，以往的研究並未找到MD&A語調與其中前瞻性論述語調影響股價中反應的未來盈餘預期有關的證據。本研究使用未來盈餘反應係數 (Future earnings response coefficient，FERC) 作為股價中反應的未來盈餘預期的代理變數，並使用了FinBERT模型來進行MD&A語調分析。本研究還將MD&A的論述分為前瞻性論述和非前瞻性論述，以判斷MD&A中的前瞻性與非前瞻性論述語調是否對股價中反應的未來盈餘預期有不同的影響。實證結果發現，市場會因為MD&A前瞻性論述的負面語調及非前瞻性論述的正、負面語調更多的反應對未來盈餘的預測。本研究的證實性測試亦驗證負面語調對未來盈餘的影響大於正面語調。

This study examines how the tone of Management's Discussion and Analysis (MD&A) in the annual reports (10-K) of US companies affects investors' expectations of future earnings. I use the Future Earnings Response Coefficient (FERC) as a measure of investors' expectations reflected in stock prices and analyze the tone of MD&A using the FinBERT model. This study also differentiates between forward-looking and non-forward-looking statements in MD&A to determine if the tone of forward-looking statements further influences investors' expectations of future earnings as reflected in stock prices. The empirical findings indicate that market reactions to the negative tone of forward-looking statements and both positive and negative tones of non-forward-looking statements in MD&A are more significant, suggesting a stronger predictive impact on future earnings.