臺灣博碩士論文加值系統

我國在民國八十年起強制上市公司進行財務預測,且當企業營運與預期差
異在百分之二十以上時,並需做財務預測更新.本研究擬針對有關財務預測
更新時,是否此資訊具資訊效果.本研究以介入模式作為統計分析之方法,
此方法乃以時間數列方式進行.此法有別於以往之相關研究.以往之研究
者,大多採取市場模式,但市場模式由於未對偏離值進行修正,故其模式並
不精確,且採用市場模式者,由於估計期間易受短期市場波動而使模式產生
不精確之現象,故本研究採取介入模型意在修正市場模式之缺點.根據本研
究之實證,就針對個股而言,並沒有發現有顯著產生易於零之異常報酬產
生,然而以類股整體分析而言,當盈餘更新為正向時,並無顯注異於零之異
常報酬產生.然而在盈餘負向更新時,卻產生顯注異於零之異常效果.此外
在此項宣告是否產生資訊效果之課題上時,在正向更新上,並沒有產生顯著
異於零之異常報酬, 亦即這項正面宣告之資訊效果不存在,在負向更新上,
根據本研究實證結果,會產生顯注異於零之異常報酬,亦即 此負向宣告之
資訊效果是存在的.

This thesis applies Intervention Model(IVM) to analyze about
information contents of earnings forecasting revisions. In the
past, previous research on forecasts of earnings forecasting has
applied Market Model. The shortcoming of this method is that it
ignores the rectification of outliers. So in this thesis,we
input dummy variables to calculate the abnormal returns in order
to make correct conclusions.Besides,we apply Market Model to
calculate Abnormal Returns(AR) and Cumulative Abnormal Returns(
CAR). If it is significant, we can make conclusions that the
revision of earnings forecasting is effective.In this studies,it
is no excess abnormal returns on the individual stock. But if we
apply AR and CAR model, we find that it is significant in
negative announcement of earnings revision but it is not
significant in positive announcement of earnings revision.