淡江大學會計學系

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出版期刊目錄

期刊

項目	資料
卷期 Vol. & No.	第5卷第1期 Vol 5 No. 1
標題 Title	股價是否充分反映當期盈餘對未來盈餘之意涵—以台灣上市公司之季盈餘遵循AR(1)模式為例 Do Stock Prices Fully Reflect the Implications of Current Earnings for Future Earnings for AR (1) Firms in Taiwan?
作者 Authors	黃瓊慧、廖秀梅、廖益興 Chung-Huey Huang、Hsiu-mei Liao、Yi-Xing Liao
出版日期 Publish Date	2004-05-31
摘要 Abstract	本研究係結合季盈餘時間序列與盈餘宣告後股價持續反應之研究，為國內首篇以實際季盈餘產生過程符合AR（1）模式之公司，探討國內股票市場於盈餘宣告後，股價是否能充分反應當期盈餘對未來盈餘之意涵，及進一步觀察投資人實際所使用之季盈餘預測模式為何。本研究實證發現，就全部樣本而言，若假設投資人採用AR（1）盈餘預測模式，盈餘宣告時之累積異常報酬與當季及落後第四期之未預期盈餘呈顯著相關，顯示股價無法充分反應當期盈餘對未來盈餘之意涵。然而，若假設投資人係採用季節性隨機漫步模式預測盈餘者，則實證結果顯示，小公司之股價恰能充分反應當期盈餘對未來盈餘之意涵；而若假設投資人係採用非季節性隨機漫步模式預測盈餘者，大公司之股價亦能充分反應當期盈餘對未來盈餘之意涵。亦即，股票市場對AR（1）公司季盈餘之預測，乃存在著公司規模差異。 This paper examines whether stock prices fully reflect the implications of current earnings for future earnings for firms whose quarterly earnings follow a simple autoregressive (AR (1)) process. We also investigate which time series models are used by investors to generate their earnings expectations. Our empirical results show that the stock prices do not fully reflect the implications of current earnings for future earnings of AR (1) firms, if we assume that investors use AR (1) model for earnings forecast. On the other hand, we find that the market acts as if AR (1) for small firms when it uses seasonal random walk model, AR (1) for large firms when it uses non-seasonal random walk model to form their earnings expectations.
關鍵字 KeyWords	盈餘宣告後股價持續反應、時間序列、季盈餘預測模式、資訊內涵 Post-Earnings-Announcement Drift, Time Series, Quarterly Earnings Forecast Model, Information Content
DOI (全文下載 Download)	10.6675/JCA.2004.5.1.02
相關文章 Related Articles	盈餘與股價因果關係之實證研究(An Empirical Study for the Casuality between Earnings and Stock Prices) 會計師更換時機對年報揭露時效及資本市場之影響(The Effect of the Timing of Auditor Changes on Reporting Lags and Stock Markets) 控制股東代理問題與盈餘資訊內涵之關聯性研究—以台灣上市公司為例(Ownership Structure and the Informativeness of Earnings: Evidence from Taiwan.) 管理當局盈餘預淵態度與自願性盈餘預測資訊內涵的關係(The Relationship between Management Forecast Attitude of Earnings Forecast and the Informativeness of Voluntary Earnings Forecast) 月營收編製基礎變動前後資訊內涵之比較(Information Content Comparison of Monthly Sales Before and After Change of Preparation Basis)