盈餘管理是否會造成股票錯誤定價？

Abstract

本硏究主要是在驗證盈餘管理是否會導致股票錯誤定價，假如投資人無法查出管理當局盈餘管理的方法與財務報表中盈餘相關科目被操縱的主要部份，可能會進行高於公司本身實際盈收的虛增盈餘管理或降低公司本身實際盈收的盈餘管理。本研究衡量有重大盈餘管理公司的超額報酬以觀察股票錯誤定價的可能性。本硏究使用了五種各自獨立不同的方法來衡量超額報酬，本硏究發現有明確的證據指出，在有進行重大盈餘管理公司的股票交易中有顯著的超額報酬。硏究的結果也指出股價的錯誤定價與盈餘管理有關聯。

This paper aims to provide a test of whether stocks mis-pricing are caused by earnings management. If investors unable to detect the direction and magnitude of the managed portion of reported earnings then firms may tend to adopt income-increasing earnings management to over-value or income-decreasing earnings management to under-value. This paper examines the possibility of stocks mis-pricing by measuring future abnormal returns based on the magnitude of earnings management. Using five separate and distinct methodologies, this study find consistent evidence of significant negative abnormal trading returns from a hedge portfolio based on the magnitude of earnings management. These results represent evidence of significant mis-pricing associated with earnings management.