未預期營收之增額資訊內涵

Abstract

本研究主要探討未預期營收之增額資訊內涵，檢驗未預期營收與股票報酬之相關性。過去有關財務報表資訊內涵之相關研究，大多致力於盈餘資訊內涵之研究，探討未預期盈餘與異常報酬之相關性，並且國外大部分的文獻指出未預期盈餘與異常報酬顯著正相關。近年來有愈來愈多的研究關注於財務報表上的其他資訊對於未來盈餘與股票價格變動的關係。這些研究結果證明，除了盈餘以外的財報資訊仍然隱含相當大的價值。因此，本研究嘗試以我國上市櫃公司為研究對象，檢驗盈餘宣告期間季營收資訊是否能傳達額外之有用資訊。 首先，本研究檢驗除了未預期盈餘，未預期營收是否亦隱含預測未來盈餘成長相關之資訊。其次，觀察市場對未預期營收之反應，藉以檢測未預期營收是否具有增額資訊內涵。最後，進一步檢驗市場是否充分瞭解未預期營收所傳達對於未來盈餘成長持續性之資訊。 實證結果如下： (1)在控制過去未預期盈餘對預測未來盈餘之影響後，未來盈餘變動和過去未預期營收顯著正相關。 (2)在控制未預期盈餘對股價的影響後，未預期營收具有增額資訊內涵。 (3)投資人過度反應未預期營收所隱含關於預測未來盈餘持續性之資訊。

The purpose of this study is to examine the relation between revenue surprises （unexpected revenue） and contemporaneous and future stock returns in Taiwan. According to a large body of research investigating how the market reacts to unexpected earnings, most of them documents significant positive associations between unexpected earnings and abnormal returns around the preliminary earnings announcements. Recent research, however, increasingly focuses on additional data in financial statements to understand how they affect future earnings and stock price. These researches show that financial statement information beyond earnings has significant value implications. Therefore, this study examines the incremental information convey by revenues reported during preliminary earnings announcement by using quarterly financial data in Taiwan. We start by examining whether unexpected revenue convey useful information about future earnings growth over and above the information contained in contemporaneous unexpected earnings. We then examine whether the market fully incorporates the information about the persistence of earnings growth conveyed by unexpected revenue. The empirical outcomes are presented as follows: (1)After controlling for past unexpected earnings, earnings growth is positively related to past unexpected revenue. (2)After controlling for unexpected earnings, the market indeed reacts the incremental information convey by unexpected revenue within earnings announcement windows. (3)Investors overestimate the persistence of future earnings growth implied by unexpected revenue at the time they are announced.