臺灣博碩士論文加值系統

隨著網際網路的發達與上網人口的增加，網際網路已逐漸取代平面媒體，成為投資人獲得公司資訊的主要管道，證券主管機關對於公司資訊揭露的要求，進一步鼓勵公司於網路上揭露更多即時資訊。台灣證期會於2002年6月28日發布行政函釋，規定上市櫃公司於2002年8月1日起，以全面網路揭露，取代報紙公告申報，證交所並針對公司及投資人舉辦多場公開資訊觀測站宣導活動，因而增加平時網路揭露資訊的數量。網路揭露資訊能夠讓投資者以方便快速的方式取得多樣與及時的資訊，由於相關公司營運訊息已經先傳遞給投資者，所以當年報發布時，其出乎投資人原先預估的程度不大，因此年報資訊內涵會降低。本研究以事件研究法計算年報宣告所導致的股價異常報酬，並以此作為年報資訊內涵的代理變數，探究管理當局平時揭露資訊的多寡是否對於年報資訊內涵具有稀釋效果。研究結果與我們的假設一致，發現實施強制性公開資訊觀測站資訊揭露，有助於資訊流通的快速與便捷，因此降低年報宣告的異常報酬，而取消強制性財務預測使投資人獲得公司資訊的管道變少，導致年報宣告的異常報酬增加。此外，除了整體大環境政策的改變會對整體上市櫃公司平均異常報酬水準有所影響外，個別公司平時揭露程度的差異也會對年報資訊內涵有不同的稀釋效果。本研究以證券暨期貨市場發展基金會所建置的「資訊揭露評鑑系統」評鑑結果作為評估公司資訊揭露透明度的依據，研究結果發現，資訊揭露評鑑結果屬於較透明的公司，其年報宣告的異常報酬較小，而有公告財務預測的公司，其年報宣告的異常報酬也比其他未公告財務預測的公司小，符合本研究推論。

With the development of the Internet and an increasing acceptance by its users, Internet gradually began to replace the print media and become a major information channel for investors to obtain corporate information. Requiring mandatory continuous information disclosure on the Market Observation Post System (MOPS) further increased the amount of information disclosed on the Internet. Since the relevant corporate operating information was already disclosed, when firms announce their annual reports, the difference between the annual report presentation and investor’s expectation is not large and therefore the abnormal return would be reduced. We employ event study methodology to compute the abnormal return of annual report announcement and regard it as the proxy for information content of annual reports to investigate whether management continuous information disclosure dilutes the information content of annual reports. The findings in accordance with our hypotheses suggest that requiring mandatory continuous information disclosure on the MOPS facilitated easy and fast access to corporate information and therefore reduced the abnormal returns of annual reports. Also, abolishing mandatory management financial forecasts diminished the amount of information captured by investors through financial forecasts and thus increased the abnormal returns of annual reports. Finally, the findings also indicate that firms with financial forecasts or being ranked as more transparent by Information Transparency and Disclosure Rankings System (ITDRS) have smaller abnormal returns of annual reports.

Acknowledgement ii
Abstract iii
Table of Contents v
List of Figures vi
List of Tables vii

1. Introduction 1
2. Literature Review and Hypothesis Development 4
2.1. Time-Series Analysis 5
2.2. Cross-Sectional Analysis 9
3. Definition and Measurement of Variables 12
3.1. Abnormal Return 12
3.2. Financial Forecast (Forecast) 22
3.3. Information Disclosure Rankings (Degree) 22
3.4. Control Variables 23
3.5. Regression Analysis 24
4. Analysis of Empirical Results 26
4.1. Sample Selection 26
4.2. Announcement Dates of Annual Financial Reports 28
4.3. Empirical Results 30
4.4. Sensitivity Checks 56
5. Conclusions and Suggestions 60
5.1. Conclusions 60
5.2. Research Limits and Recommendations for Future Researchers 60
References 62

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