臺灣博碩士論文加值系統

傳染效果向來為國內外學者在企業失敗方面（尤以金融業更盛）所探討的重要議題之一，2001年號稱美國史上最大破產案的安隆失敗剛好提供了一個極佳的機會去檢驗資訊移轉是否存在於能源產業內抑是相關負面訊息是否已蔓延到查核事務所Andersen的客戶。
本研究利用2001年不同能源產業範圍內之公司共248天的連續日報酬資料，挑選出Enron失敗期間中16個與Enron呈現直接相關及4個與Andersen呈現直接相關的重要事件，並輔以非AA客戶的比較，以看似無關的迴歸模型於平均或累積異常報酬等方面觀察公眾對能源產業整體體系或是AA查核品質的信心衝擊程度。
本研究發現雖然多件市場未預期的宣告未能對能源產業（SIC= 5172）或是Andersen的客戶於宣告當日都造成顯著負平均異常報酬的結果，但不令人意外地，就長期（累積異常報酬）而言，兩者的確因Enron失敗這三個月以來的信用危機、財務危機及破產危機而蒙受不同顯著水準程度的傳染效果；除此之外，若就與Andersen直接相關事件的累積異常報酬而言，AA與非AA客戶明顯的差異逐步出現於「面臨股東損害求償的負債」的事件中，在交雜著「Andersen總裁承認判斷錯誤」事件的影響下市場上的反應出現了兩極化的方向。最後，由於「純粹恐慌」或「訊息性」的傳染效果長期以來一直是研究爭論的焦點之一，然而於本研究額外的區域或產業檢驗中可以明確地釐清出其實Enron失敗對Andersen的客戶僅造成「訊息性」或「特定區域性」的傳染效果且其可能僅存於能源產業內AA的受查者。

This paper examines the impact of the collapse of Enron Corp. on the performance of the energy industry and Arthur Andersen clients. In addition to investigating the effects of bankruptcy announcements on the equity value of the influenced competitors, it is useful to clarify the essence of discussed contagion effects.
That is to say, a distinction is made between the Enron failure that might have been caused by adverse activities whose revelation is assumed to be uncorrelated across corporations and failures caused by problems common to many firms in the industry. The analysis uses stock prices of several solvent energy groups of different SICs, and limits the AA condition, to measure their average and cumulative abnormal returns on individual announcements and the full event period. Critical events related to the Enron failure are detected for this purpose.
The findings still support the presence of contagion effects exist, even if there is evidence that the capital markets do not react to all events. Generally speaking, if new information came out into days close to those with announcements, it would be useful to look at the surrounding period, and the tests results with the full event-period cumulative abnormal returns are as satisfying as those with five trading days during the most important announcement period, especially at the end of November. In sum, empirical results indicate that energy industry and Andersen clients experienced significant negative cumulative abnormal returns around the event date, furthermore, more clear evidence is found to support a negative reaction to the Enron failure resulting from problems common to other corporations called information contagion effects.

摘要I
誌謝III
目錄IV
圖目錄VI
表目錄VII
第一章 緒論
第一節 研究動機與目的1
第二節 研究架構6
第二章 文獻探討
第一節 企業失敗或負面消息所引發的傳染效果之相關文獻8
第二節 事件研究方法：SUR（Seemingly Unrelated Regression；看似無關迴歸模型）之相關文獻20
第三章 研究設計
第一節 Enron案2001年失敗經過29
第二節 研究假說39
第三節 研究模型42
第四節 變數之衡量45
第四章 實證分析及結果
第一節 資料來源、研究期間及樣本選取47
第二節 能源產業實證結果分析49
第三節 Andersen客戶實證結果分析63
第四節 傳染效果為「純粹恐慌」抑是「訊息性」的性質釐清79
第五章 結論與建議
第一節 研究結論82
第二節 研究限制與建議84
附錄
附錄一 特殊目的個體之濫用85
附錄二 Enron 2001年10月~11月份股價走勢圖及附表87
參考文獻
參考文獻90
圖目錄
圖1-1 研究架構7
圖3-1 管理階層體系30
附錄圖1-1 Enron SPE運作圖86
表目錄
表3-1 Enron第三季部份損益表31
表3-2 1997~2Q2001盈餘重新評估一覽表34
表3-3 合併資金一覽表35
表3-4 Enron估計負債細目36
表3-5 Enron失敗期間中挑選之重要宣告一覽表37
表4-1 能源產業（SIC= 5172）跨區間的股價敏感性53
表4-2 重要宣告事件對能源產業（SIC= 5172）報酬的累積衝擊56
表4-3 重要宣告事件對能源產業（SIC= 5172；排除Enron）報酬的累積衝擊58
表4-4 能源產業（SIC= 5172）所有的異常報酬是否等於零61
表4-5 Andersen相關挑選新聞之事件日一覽表64
表4-6 每一AA組合在重要事件日下的平均異常報酬等於零66
表4-7 以Enron－Directly Related四個重要事件日探討對AA客戶前後數日報酬影響之分析71
表4-8 以Enron－Directly Related四個重要事件日探討對AA客戶（排除Enron）前後數日報酬的分析72
表4-9 以Enron－Directly Related四個重要事件日探討對非AA客戶前後數日報酬的分析73
表4-10 Arthur Andersen－Directly Related之四個重要事件對AA及非AA客戶前後數日報酬的分析74
表4-11 Arthur Andersen－Directly Related之四個重要事件對AA客戶（排除Enron）前後數日報酬的分析76
表4-12 三種組合下之所有的異常報酬是否等於零77
表4-13 每一AA組合在重要事件日下的平均異常報酬等於零80
表4-14 AA客戶於牽扯安隆失敗事件整個期間的累積平均異常報酬81
附錄表2-1 區域別（各州）之能源消費排名89

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