臺灣博碩士論文加值系統

論文題目:財務預測更新對股價之影響─以化學業為例 頁數:62
所組別:企業管理研究所(學號:78879008)研究生:李富川指導教授:古永嘉博士
論文提要內容:資本市場之股價走勢，係所有投資人對新資訊之反應結果,而財務預測更新能提供投資人即時之資訊，以便調整投資策略。依據資訊理論定義，一項資訊若影響訊息接受者的想法，進而改變其想法，即具備資訊內涵，投資人根據該項資訊，便可獲得超額投資報酬。針對財務預測變動對股價的影響之研究文獻發現，一般大多採用市場模式，亦即先計算出異常報酬（AR）與累積異常報酬（CAR），再進行t檢定。然而以市場模式所計算出之異常報酬率，乃是由實際報酬率減期望報酬率而獲得殘差，該殘差乃包含市場以外之因素，及因財務預測更新所獲得之異常報酬率。本研究以多變量時間序列之介入模型(Intervention Model)來分析財務預測更新對股價報酬率之影響，此模型之優點是可揭露財務預測更新後對股價報酬率之影響，同時可針對異常報酬做檢定，以探討投資人是否可依財務預測更新資訊獲得超額報酬。以下便是本研究之實證結果:1.投資人根據財務預測負向更新訊息於公告次日做同向賣出，可獲得超額報酬。2.對全體預測樣本而言，負向財務預測更新於公告次日其報酬率顯著異於零。3. 對全體預測樣本而言，負向財務預測更新於公告次日對股價具資訊效果。

THE INFLUENCE MADE BY THE UPDATE OF FINANCIAL FORECAST UPON
STOCK PRICE
-- TAKE CHEMISTRY INDUSTRY FOR EXAMPLE
By
Lee, Fu-Chuan
JANUARY 2002
ADVISOR: Dr.Goo, James Y.J.
DEPARTMENT: DEPARTMENT OF BUSINESS ADMINISTRATION
MAJOR: BUSINESS ADMINISTRATION
DEGREE: MASTER OF BUSINESS ADMINISTRATION
ABSTRACT
The price of stock trend in the capital market is the result of the response by all investors for new information; besides, the update of financial forecast is able to offer investors information in time to adjust their investment strategies. According to the definition of information theory, if a price of information affects, and more changes the thought of the acceptors, it is equipped with the methods of thinking of information. The investors can get extra reward based on the item of information.
To aim at the research documents which are found that the influence of the stock price, the change of financial forecast generally adopts the market models, that is, calculating the abnormal reward and cumulative abnormal reward at first, and then processing the t test. Whereas, the rate of abnormal reward from the calculation of the market models is the actual rate of reward which subtracts the expected rate of reward and obtains the residue that contains the factors out of the markets and gains the rate of abnormal reward from the update of financial forecast.
The study is using Intervention Model of Multivariate Time Series to analyze the result of rate of stock price reward affected by the update of financial forecast. The advance of this model is able to discover the affects of rate of stock price reward after the update of financial forecast; Meanwhile, that can test the abnormal reward and whether the investors acquire the extra reward or not by the information of the update of financial forecast.
The result of the study are as followed:
1.The Investors can get extra reward if they sell in a similar direction on the other day of public announcement that is according to the information of the negative update of financial forecast.
2.In regard to all the sample of the financial forecast, the rate of reward of negative update of financial forecast is a significant difference compared with zero next day by public announcement.
3.In regard to all the sample of the financial forecast, the negative update of financial forecast has information affect next day of public announcement.

目 次
謝辭…………………………………………………………..…………一
中文論文提要……………………………………………………..……二
英文論文提要……………………………………………………..……三
目次………………………………………………………………..……五
表次………………………………………………………………..……七
圖次……………………………………………………………………..八
第一章 緒論…………………………………………………….…1　
第一節 研究動機……………………………………………………1
第二節 研究目的……………………………………………………3
第三節 研究程序……………………………………………………5
第四節 研究架構……………………………………………………5
第五節 預期貢獻……………………………………………………6
第二章 相關理論與文獻探討………………………………….….7
第一節 財務理論之發展………….……………………………….7
第二節 財務預測資訊內涵文獻探討………………………………9
第三章 研究方法…………………………………………………15
第一節 資料說明………………………………………………….15
第二節 財務預測模式之建立…………………………………….18
第三節 研究流程………………………………………………….23
第四節 模型的介紹………………….…………………………. 24
第五節 轉換函數模型與介入模型之推導……………………….25
第六節 模式診斷…………………………………………………..31
第七節 參數估計與假設檢定…………………………………….34
第四章 實證結果與分析………………………………………..38
第一節 恆定性檢定…….….…….……………………………..38
第二節 參數之估計與模式之診斷……………….………………...39
第三節 假設檢定…………………………………………………....49
第四節探討與分析…………………………………………………...53
第五章 結論與建議………………………………………………….54
第一節 結論………………………………………………………....54
第二節 研究限制……….……………………………………….....54
第三節 建議…………….…………………………………………...55
參考文獻……………………………………………………………… 57
表 次
表2-1 財務預測更新文獻摘要……………………………………….....14
表3-1 財務預測更新日期及內容…………………………………….....17
表4-1 市場與個別股票報酬率恆定性檢定………………..….……....39
表4-2-1 介入模型之實證結果………...………………………………...42
表4-2-2 介入模型之實證結果(續)………...……...…………….…….43
表4-2-3 介入模型之實證結果(續)…….……….…....………….…….44
表4-2-4 介入模型之實證結果(續)…………..…….…...………….….45
表4-2-5 介入模型之實證結果(續)………...……...…………….…….46
表4-2-6 介入模型之實證結果(續)…….…….……....………….…….47
表4-2-7 介入模型之實證結果(續)…………..…….…...………….….48表4-3 財務預測為負向更新之平均異常報酬檢定……….………......50
表4-4 財務預測為負向更新之累積異常效果檢定…….………..…....52
圖 次
圖1-1 研究程式……………………………….……………….…….....5
圖3-1 模式建立程式……………………………..…….……..……...19
圖3-2 研究流程………………………………..………….……..…...23
圖3-3 介入變數形態圖形說明……………………….….……..…....29
圖4-1 財務預測負向更新之平均異常報酬分析圖……..………….50
圖4-2 財務預測負向更新之累積異常報酬走勢圖………………......52

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