不同盈餘資訊對股票異常報酬之解釋能力-以台灣上市櫃公司為例

Abstract

過去研究多採單一盈餘資訊，如財報公布驗證其對股票報酬的解釋能力，Beyer et al. (2010)將五種變數同時進行比較，驗證各資訊在相較之下，何者能提供投資人較多的參考價值，並得到自願性揭露的訊息對股票報酬較具有解釋意涵的結果。本研究延續Beyer et al. (2010)，採用事件研究方法，以季財務報表公告、自結盈餘公告、未來盈餘預估、投資機構報告發布與股利發放期間之累積異常報酬為自變數，股票一季內之累積異常報酬數為應變數，並計算各變數之部分R平方值，觀察五個變數對股票累積異常報酬的相對解釋能力。 研究發現在2000至2010年間持續存在的上市櫃公司中，季財務報告的公布仍是一重要的資訊來源，而近年來，隨著國際化以及跨國投資興盛，許多投資機構像是券商，其所發布的報告在2007年至2010年的實證中，對股票的報酬也具有影響能力；再者拜科技所賜，快速而多樣的報導媒體，提供各公司的盈餘資料，其存在對於市場中的參與者也相當具有決策的參考價值。

Single source earnings information was often used in past literature to explain stock return. Beyer et al. (2010) used five sources of earnings information in model and found voluntary disclosure information better in explaining stock return. This study, continuing the model in Beyer et al. (2010), uses the cumulative abnormal return in the period when issuing financial reports, earning pre-announcement, management forecast, analyst forecast and declaration of dividend as independent variables, and stock cumulative abnormal return in a quarter as dependent variable, trying to compare relative contribution of the different sources of information by their partial R-square values. The empirical result shows that the issuance of quarterly financial reports was comparatively important information of firm year from 2000 to 2010. In recent firm year from 2007 to 2010, analyst reports also provided information and played an important role in the information market along with the financial reports. At last, mass media today providing timely and variable earnings information of firms in the market also help participants make investment decisions.