臺灣博碩士論文加值系統

本研究檢定我國證券市場中會計師聲譽與股價報酬之關係，以檢視審計需求之代理理論及資訊理論是否成立。更進一步測試累計異常報酬受到資訊觀察頻率、公司是否更換會計師及公司本身財務狀況之影響程度。文中係選取2000年至2004年間，曾被媒體報導負面消息之會計師們所查核之131家公司為研究對象。初步以t檢定發現：一旦媒體披露與會計師聲譽有關之負面消息，受該會計師查核之公司，於事件期間累計異常股價報酬顯著為負，支持代理理論及資訊理論。進一步採多元迴歸分析發現：首先，有關查核會計師聲譽之負面消息於媒體揭露次數越多者，該公司有較大之負累計異常報酬率。故資訊觀察頻率越高，資訊傳遞效果越大，此結果與第一部所提出之理論模型(Chen and Yang, 2006)足為相互印證。第二，公司曾經發生由未受懲戒會計師更換為現任聲譽受損者，股價所受之負面影響幅度也越大。第三，受會計師查核之公司本身財務狀況較不健全者，對投資人之保障也越小，股價受到該負面消息之影響也越大。以上結果顯示：會計師聲譽確具有傳遞公司價值訊號之功能，而相關事件消息於媒體揭露次數多寡，則產生不同之資訊觀察頻率，將影響到該公司價值資訊之傳遞效果。故改良揭露過程，可提升資訊觀察頻率，有助於強化財務資訊之攸關性。

Basing on the Information Theory and the Agency Theory, this study provides further evidences into the capital market response to news about auditor disrepute, which undermines the credibility or precision of audited financial information. Further, I empirically examine whether the market reactions are consistent with the prediction of the theory proposed in the part 1 (Chen and Yang, 2006).
In a sample of 131 clients of auditors suffering reputation damage from 2000 to 2004, the preliminary test indicates that stock prices of the clients negatively react to the news about auditors’ disrepute. The evidence is consistent with the Information Theory and the Agency Theory that better auditor reputation generates better monitoring function and more precise financial report and results in higher stock prices.
The further test is operationalized in a regression of cumulative abnormal returns, CARs, on the observational frequency of information to test for the difference between the CARs induced by different observational frequency. I find the extent that client firms react to news with higher frequency is significantly larger than that with lower frequency. Hence, the theory proposed in the part 1 (Chen and Yang, 2006) is evidenced. Also, results are consistent with the expectation that the client which is in worse financial condition and which has ever changed their auditor from unpunished one to the one suffering reputation damage experiences more negative abnormal returns on the news about the auditor disrepute.

Abstract……………………………………………………….…………47
1. Introduction……………………………………………….…………49
2. Literature Review and Hypotheses………………………..………55
2.1 Literatures on audit quality and stock prices…………...…55
2.2 Literatures on auditor reputation and audit quality………..57
2.3 Literatures on investor following and stock prices………..61
3、Empirical Analysis……………………………………..…….……64
3.1 Preliminary analysis: an event study method.…………..…64
3.2 Regression analysis………………………………..…….……65
3.3 Sample selection………………………………..….…….……70
4、Empirical Results……………………….……………..…..……72
4.1 Results of preliminary analysis………………………………72
4.2 Results of regression analysis…………………………..……74
5、Conclusions and Limitations………………………….……..……84
5.1 Conclusions………………………………………………...…..84
5.2 Limitations and suggestions……………………….…………85
Reference…………………………………………………………..……87
Appendix A…………………………………………………….…..……95
Appendix B…………………………………………………….…..……95
Appendix C…………………………………………………….…..……96
Appendix D…………………………………………………….…..……96
Appendix E…………………………………………………….…..……97
Appendix F…………………………………………………….…..……97
Appendix G………………………………………………….……..……98
Appendix H………………………………………………….……..……98
Appendix I…………………………………………………….…...……99

Tables
Table 1： CARs for event windows…………………………………70
Table 2： Descriptive Statistics of the Variables………………..…72
Table 3： Pearson correlation coefficient………………..…………73
Table 4a：Regression of Model Ⅰ………………………………….74
Table 4b：Regression of Model Ⅱ…………………………….……75

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