| Summary: | 碩士 === 國立政治大學 === 會計研究所 === 86 ===
This study aims at exaination of whether professional investors-dealers would react apppropriately to mandatory forecast revision and of the timing of dealers' reaction; furthermore, at getting an understanding of investment strategies they've taken.
Three main issues in this study:
1.The announcement of forecast revision indicates the external environment has been chaged or the corporation's financial position has changed. Whether one of institutional investors-dealers would react appropriately to mandatory forecast revision?
2.The timing of dealers' reaction?
According to previous research findings: Corporate managers tend to advance the announcement good news and to delay the announcement of bad news. Thus, if dealers can react appropriately to mandatory forecast revision, could the timing of the dealers' reaction be prior to the announcement of unfavorable forecast revision or posterior to the announcement of favorable ofrecast revision?
3. Based on previous research fingds, the information of dealers' volume trading will cause abnorumal volatility of stock prices. Does strategic reverse volume trading from which dealers might bnefit exist in their reaction as a result?
The samples cover 27 months from January of 1996 to March of 1998, and consist of 271 firms. The methodology imitates market model, and data is analyzed through T-test. The empirical findigs can be summarized below:
1.Dealers' reaction to the announcement of forecast revision:
(1) However many times the forecast revised,dealers will react appropriately to the announcement of unfavorable forecast revision within designed window.
(2) Dealers will react accordingly to the first favorable forecast revision one week prior to or oposterior to the announcement date, but do adversely to the second forecast revision.
2. The timing of dealers' reaction to the announcement of forecast revision:
Dealers will react prior to the announcement date of forecast revision no matter it is favorable or unfavorable. (However in the second favorable revision situation, dealers' reaction is adverse to the forecast information.)
3. Whether strategic reverse volume trading exits in the dealers' reaction?
(1) If "volume trading" is defined as dealers' trading excess accounts for 40% of weekly volume,only one strategic reverse volume trading sample exists in each of the situations except in the first unfavorable forecast revision situation.
(2) If "volume trading" is defined as exceeding one standard deviation, several strategic reverse volume trading samples exit in each of the situations.
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