The Market Efficiency of Financial Forecasts

• Main Authors: Ying-Sheng , Wang, 王殷盛
• Other Authors: Shu Yeh, Ph. D.
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/81186683255558674680

碩士 === 國立臺灣大學 === 會計學研究所 === 91 === The objective of this thesis is to test the market efficiency of financial forecasts. Precedent researches on financial forecasts mostly focused on the study of information content, but their empirical results are inconsistent. Therefore, this research further exams whether the capital market is under-reaction to financial forecasts. The period of this research is from 01NOV1998 to 30APR2002, and the sample are listed company on Taiwan Stock Exchange. This research adopts earnings-to-price ratios and Ohlson model as evaluation models to observe the cumulative abnormal return in the holding period of zero net investment portfolios. The major empirical results are as follows: 1. The market is under-reaction to earnings-to-price ratios based on forecasted earnings per share. 2. The market is under-reaction to Ohlson model based on financial forecasts. 3. The market is under-reaction to the abnormal return based on financial forecasts In addition, this thesis has two additional findings: 1. The market is under-reaction to earnings-to-price ratios based on historical earnings per share. 2. The market is under-reaction to Ohlson model based on historic financial information.