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研究生:陳存芳
研究生(外文):CHEN,TSUN-FANG
論文名稱:公司盈餘宣告下投資者意見分歧之實證研究 以台灣股市 為例
論文名稱(外文):Divergent Opinions of Earnings Announcements Evidence from Taiwan
指導教授:盧嘉梧盧嘉梧引用關係
指導教授(外文):Lu, Chia-Wu
口試委員:陳宗岡陳維慈盧嘉梧
口試委員(外文):Chen, Tsung-KangChen, Wei-TzuLu, Chia-Wu
口試日期:2020-06-30
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:金融與合作經營學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:45
中文關鍵詞:盈餘宣告投資者意見分歧應計品質盈餘持續性
外文關鍵詞:Earnings AnnouncementInvestor Divergent OpinionsAccrual QualityEarnings Persistence
相關次數:
  • 被引用被引用:1
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  • 下載下載:51
  • 收藏至我的研究室書目清單書目收藏:0
在現代金融市場中,投資者容易取得各種的資訊包含公司的盈餘宣告、決策者的聲明和政治新聞等等。投資者想深入了解或者研究公司的經營狀況最基本方法就是查閱其財務報告,其中盈餘資訊更是投資人關注的重點,財務報表資訊品質不佳容易造成資本市場波動。目前台灣極少文獻針對投資者意見分岐與盈餘品質之關聯性做出討論,故本研究運用臺灣股市2000年至2019年之資料,並參照Garfinkel (2006)的方法,利用盈餘宣告日前後之異常交易量計算出投資者意見分歧的代理變數 ∆TO 與SUV,並使用應計品質(AQ)及盈餘持續性(PER)來衡量財務報表的質量。

本研究實證結果發現 :
第一、台灣證券市場存在意見者分歧現象,分歧程度越大盈餘宣告後的漂移越嚴重。
第二、應計品質(AQ)較差者投資者意見分岐程度較高,與一般直覺相同,在公司發布消息時,投資者對於所發布訊息的不確定性容易產生不同的解釋,將會使市場分岐現象更嚴重。
第三、將盈餘持續性作(PER)為盈餘品質之代理變數,較高的持續性則意味著,整體報表的報表品質較高。結果表明,越低的持續性(低盈餘品質)會造成投資者意見更分歧。
第四、考慮應計品質(AQ)與盈餘持續性(PER)及其交互作用,結果顯示,在此條件下盈餘持續性(PER)之效果遠大於應計品質(AQ)。若同時得到兩種資訊時,盈餘持續性較容易被市場參與者解讀並做出決策。因此,在同時考量兩種財報品質之衡量方法,盈餘持續性效果更強且更有效。

This study uses data from the Taiwan stock market from 2000 to 2019, and refers to the method of Garfinkel (2006), using the abnormal trading volume before and after the earnings announcement date to calculate the proxy variables ΔTO and SUV with different opinions of investors, and uses accrued quality (AQ) and earnings continuity (PER) to measure the quality of financial statements.
The empirical results found that there is a divergence of opinion among the Taiwanese securities markets. The greater the degree of divergence, the more serious the drift after earnings announcement. Investors with poor accrual quality (AQ) have a higher degree of divergence in opinion, and investors are likely to have different interpretations of the uncertainty of the information released, which will make the market divergence more serious. Lower earnings persistence (PER) means that the lower quality of the overall statement will cause investors to have more divergent opinions. If both types of information are available at the same time, the continuity of earnings is easier for market participants to interpret and make decisions. Therefore, considering the two methods of measuring the quality of financial reports at the same time, the surplus sustainability effect is stronger and more effective.
第壹章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 名詞定義 4
第貳章 文獻探討 5
第一節 投資者意見分歧 5
第二節 盈餘宣告品質 6
第參章 研究設計 10
第一節 假說推導 10
第二節 研究期間、樣本選取及資料來源 12
第三節 變數定義 12
第四節 研究模型 19
第肆章 研究結果 21
第一節 敘述性統計 21
第二節 迴歸結果 23
第伍章 結論 39
參考文獻 41


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