| Summary: | 碩士 === 國立彰化師範大學 === 商業教育學系在職進修專班 === 89 === The practical function of financial statement analysis is to give investors a beneficial prediction of abnormal returns. Due to the different results of academic investigations about abnormal returns for domestic security market, the purpose of this study is looking for a relationship between financial ratios and abnormal returns in Taiwan stock market. Furthermore, the predictable behavior of financial ratios for abnormal returns is used to deduce the utility of financial statement.
The study samples used in this research are focused on the listed electronic-industries companies in Taiwan, and the analytic data range between 1994 and 1997. The independent variables are composed of thirty selected financial ratios. The value of cumulative abnormal return (CAR) is used for the dependent variable of forecasting model. The significant independent variables are picked up by univariate Logistic Model, and these values are further applied in multivariate Logistic Model to develop the final forecasting model. Eventually, the analytic data in 1998 are putted on the forecasting model to check the reality of the predictive behavior.
There are three substantial conclusions in this empirical research:
1.Ten financial ratios, which are picked up according to univariate Logistic Model, are significant.
2.Return on Total Assets and Return on Stockholder’s Equity are the most utile variables in multivariate Logistic Model to predict the abnormal returns.
3.For both the demarcations of (0.5, 0.5) and (0.6, 0.4) forms, the values of cumulative probability function (Pr) calculated from forecasting model are 58.93% and 61.54%, respectively, and have better reliability than random probability.
4.According to the analysis of financial ratios, the predictive results of abnormal returns for stock markets in the field of electronic industries are approved. It means that there are predictable efficiency for stock markets in Taiwan’s electronic industries. It is useful and beneficial for investors to predict the abnormal returns by using the analysis of financial ratios.
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