財務預測修正行為與市場過度反應關聯性之研究

• Main Author: 張仕奇
• Language: 中文
• Published: 國立政治大學
• Subjects: 財務預測; 過度反應
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22B2002002459%22.

本研究主要在探討我國上市公司是否會利用自願性管理預測作為工具，俾進行股價操縱。由於我國財務預測體系中缺乏分析師的市場機制，管理當局在球員兼裁判的情況下，自願性預測的品質會不穩定，甚或會用它來操縱股價。其次我國股市中，散戶所佔比例甚高，散戶多為不知情的投資者，致會有追漲殺跌的現象，據此本研究亦擬探討自願性預測的公告，是否會產生股價過度反應的追漲殺跌現象。 本研究所獲得之實證結果如下： 一、自願性財務預測發佈前後，是否引起股價異常反應 1. 好消息在事件日之前便開始有顯著的正向反應，而且在事件日之後會產生負的異常報酬，但並非十分顯著。 2. 壞消息在事件日之前也會有顯著之異常反應，但該反應卻是正向的反應，負向反應要在事件日之後才會產生，且此負向反應也非十分顯著。 二、公司管理當局是否利用自願性預測操縱股價 按稅前淨利區分者，無論好壞消息，樂觀預測之股價反應皆顯著大於保守預測之股價反應，顯示公司管理當局有利用高估的預測數字，以達其操縱股價之目的。 三、自願性預測發佈前後之股價行為是否有過度反應現象 1. 在好消息且保守預測的情況下，不論是按稅前淨利區分或按營業收入區分者，均發現到股價有過度反應的現象。 2. 至於好消息且樂觀預測的情況下，則表現出強者恆強的姿態，股價非但無回檔現象，更繼續往上反應。 3. 按營業收入區分之壞消息且樂觀預測這組樣本，也反映出股價有過度反應的現象。 === This study aims to examine, whether the management would employ voluntary forecast as a tool to manipulate stock price. Especially, the voluntary forecast can be effective because the price would overreact to the announcement of a voluntary forecast. The observation of this study comes from two special characters of Taiwan stock market: (1) more than 90% of investors are considered to be noisy traders, and (2) the ownership structure is generally concentrated on one or few investors. The empirical findings of this study can be summarized as follows. 1. Market positively reacts to the announcement of a voluntary forecast prior to the announcement date no matter whether it is a good news or a bad news. 2. In contrast, market negatively reacts to the announcement of a voluntary forecast subsequent to the announcement date insignificantly. 3. The market reaction to an optimistic forecast is stronger than that to a conservative forecast. Thus, market will superficially react to an information rather than the economic substance of information. 4. Market does overreact to the announcement of a voluntary forecast. 5. Both earnings and sales can produce the identical results as described from above Item 1 to 4.