年報中風險揭露因子之資訊內含

Abstract

我國金融監督管理委員會於2004年間，修正「年報應行記載事項準則」必須增訂風險揭露事項。瞭解年報中風險揭露事項所隱含的資訊，對於年報使用者而言極其重要。因此，本研究將以年報中風險揭露事項作為研究主軸，藉此探討風險揭露因子的資訊內含及市場投資人是否受益於資訊揭露的效果。 本研究藉由文字探勘技術建立風險關鍵字詞資料庫，並藉此辨認及量化風險揭露事項中的風險關鍵字詞。除此之外，本研究參考Campbell (2010) 研究設計，探討風險揭露因子和風險代理變數間的相關性，並進一步分析市場投資人是否利用風險揭露因子於企業股價評估，以及風險揭露因子是否具有降低資訊不對稱的效果。 本研究的實證結果顯示，風險揭露因子和風險代理變數間確實具有關聯性。除此之外，市場投資人亦使用風險揭露事項的資訊，將風險揭露因子的資訊內含反應於企業股價，因而具有降低資訊不對稱的效果。綜上所述，本研究之貢獻在於建立風險關鍵字詞庫並以風險揭露因子作為研究核心，藉此提供我國年報中風險揭露事項及企業風險關聯性的研究開端。

In 2004, the Financial Supervisory Commission revised the “Regulations Governing Information to be Published in Annual Reports” which mandated firms to include a section of risk factor disclosures. Understanding the information conveyed by risk factor disclosures is important to users of annual reports. To find out whether investors benefit from the information of the newly-created section, this study examines the information content of risk factor disclosures in annual reports. In this study, we create a database of risk keywords through the techniques of text mining; thus we can identify and quantify the features of risk that firms revealed. In addition, based on the research design of Campbell (2010), this study examines the correlation between risk factor disclosures and the risk proxies of firms. Further, we perform regression analyses to examine whether market participants incorporate the information conveyed by risk factor disclosures into their evaluations of stock prices, and whether risk factor disclosures decrease the information asymmetry. Overall, the empirical evidence indicates that risk factor disclosures meaningfully reflect the risks of firms. Additionally, this study finds that market participants incorporate the information conveyed by risk factor disclosures to evaluate stock prices. Therefore, the risk factor disclosures decrease the information asymmetry. These results provide further insight into the relationship between disclosures and firm risks.