投資人對於盈餘資訊解讀之轉變

The change in the views of investors on earnings information

10.6342/NTU201700735

潘信瑋

盈餘管理 ； 盈餘門檻 ； 股價報酬率 ； 投資人懷疑 ； 盈餘反應係數 ； earnings management ； earnings threshold ； stock return ； earnings response coefficient ； investor skepticism

國立臺灣大學會計學系學位論文

2015年

碩士

王泰昌 ;劉嘉雯

繁體中文

本研究的目的旨在討論公司報導盈餘落在不同的盈餘區間中，投資人對於「剛好達成」或是「小幅超過」盈餘門檻，此項盈餘資訊的股價反應，以及投資人是否會對於「剛好達成」或是「小幅超過」盈餘門檻的盈餘資訊，存在著此為公司經理人實施盈餘管理之結果的懷疑，而基於投資人的懷疑心理，投資人對於此項盈餘資訊的股價反應是否有所轉變。此外，當公司當期報導的盈餘剛好達成或是小幅超過盈餘門檻時，對於投資人而言，是否為公司未來營運績效將會衰退的一項警訊。最後，本研究亦探討當公司報導的盈餘資訊中以公允價值為基礎衡量的比重越大時，投資人所重視的財務資訊項目是否有所轉變。 實證研究結果顯示，在台灣的資本市場中存在著「零盈餘門檻」，然而，卻不存在「去年同期盈餘」的盈餘門檻。且投資人對於「剛好達成」或是「小幅超過」盈餘門檻的盈餘資訊解讀，隨著市場中實施盈餘管理的公司數目逐漸增加，投資人逐漸產生懷疑，由過去大幅度的正向反應，轉變為小幅度的正向反應，甚至在某些盈餘區間為負向反應。再者，實證結果亦支持「剛好達成盈餘門檻」的盈餘資訊，對於投資人而言，為一項公司未來營運績效將會衰退的警訊。最後，隨著公司報導的盈餘資訊中以公允價值為基礎衡量的比重越大時，投資人所重視的財務資訊項目由過去的當期盈餘改變量轉變為當期盈餘水準。

The core of this study is to find out how investors value the information content of earnings that firms reported earnings are meeting or narrowly beating the earning expectations. Based on the findings from Burgstahler and Dichev (1997), firms will manage reported earnings to avoid earnings decreases and losses. Therefore, this study compares the coefficient in the regression of abnormal stocks returns on reported earnings (earnings response coefficient, ERC) across specific ranges of reported earnings. I classify the research years into three periods: (1)1997 to 2001, (2) 2002 to 2007, and (3) 2010 to 2013, and the evidence shows that the ERC for reported earnings in the range of [0 ~ 0.02) is lower than adjacent ranges in the observations from 2010 to 2013, but the ERC for reported earnings in the range of [0 ~ 0.02) is the highest in the observations from 1997 to 2001. That is, investors have been skeptical about the reported earnings which are meeting or just beating the earnings expectations. Furthermore, this study also finds the evidence that the skepticism of investors is right. The relation of future performance and current earnings surprise is more negative for current reported earnings which are meeting or just beating the earnings expectations.

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