Effects of Nonlinearity and Multi-Period Lags on Basu (1997) Measure

盈餘之非線性與多期落後反應對Basu（1997）measure之影響

10.6545/JFS.2012.20(3).1

林純央(Chun-Yang Lin)；劉啟群(Chi-Chun Liu)

條件式穩健 ； 不對稱及時性之非線性 ； 盈餘對好壞消息之差異反應 ； 盈餘之落後反應 ； Conditional conservatism ； nonlinearity in asymmetric timeliness ； differential earnings responses ； earnings lag

財務金融學刊

20卷3期（2012 / 09 / 30）

1 - 32

英文

本文檢視盈餘之非線性與多期落後反應對Basu（1997）measure之影響。我們發現盈餘反應隨消息事件之絕對大小而變化；因而其不對稱及時性在較大程度消息發生時較顯著。我們檢視盈餘對好壞消息的多期反應，發現當落後期間拉長時，不對稱及時性的符號由正轉負。本文同時提出當考慮盈餘之非線性與多期落後反應時，如何比較公司間穩健性的觀念。

This paper examines impacts of nonlinearity and multi-period lags on Basu (1997) measure. First, we predict and find that earnings responses increase with absolute magnitudes of news; therefore, asymmetric timeliness is more pronounced when news of large absolute magnitudes occur. Next, we examine lagged earnings responses to good and bad news and hypothesize that differences between them persist and turn negative as lag increases. Concepts to compare extents of conservatism when considering nonlinearity and lags are also provided. Our empirical results suggest that nonlinearity in earnings responses and multi-period earnings responses should be considered to compare conservatism more validly.

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