會計異常報酬現象與資訊不確定關連性研究

Abstract

財務相關領域對於異常報酬的存在性與持續性一直有所爭論，效率市場假說主張投資者是理性的，應該可以迅速反應公開的會計訊號且套利完畢。然而，隨著1980年代愈來愈多的實證結果顯示，資本資產定價模型(CAPM)與效率市場假說漸受質疑，主張傳統財務學的學者將這些發現通稱為市場異常現象，其中會計異常現象(accounting anomalies)意指投資者根據會計訊號(signal)形成投資組合，之後可獲得超過預期報酬的異常報酬。本文希望以資訊不確定的觀點解釋會計異常現象。首先根據淨值／市價比、益本比與現金流量／市價比等三種標準，形成多空兩種策略組合，結果發現多、空部位的投資組合皆存在盈餘品值較差的現象。而在多部位與空部位組合中，盈餘品值差之股票產生的異常報酬較盈餘品值好之股票多，而隨著資訊不確定獲得解決後，盈餘品值差之股票產生的異常報酬會趨向盈餘品值好之股票。而以上結果皆顯示會計異常現象的確與資訊不確定存在關聯性。

There is much debate over the existence and persistence of abnormal returns in finance-related field. Market efficiency suggests that rational traders should profit and close their positions immediately following public accounting signals. However, an increasing number of researchers have queried the authenticity of Capital Asset Pricing Model (CAPM) and efficient market hypotheses following numerous inconsistent empirical results since 1980's. Among which accounting-based trading anomalies refer to systematic patterns in long term stock returns following an accounting signal which can be exploited to generate higher returns than expected. This study examines whether rational investors' responses to information uncertainty explain accounting-based trading anomalies. We first construct short/long portfolios based on book-to-market, E/P, and cash flow-to-price ratios. We find that earnings quality is poor for both types of portfolios. The stocks with poor earnings quality gain higher abnormal returns than those with good earnings quality. As information uncertainty is resolved over time, the abnormal returns to poor quality signals converge to the magnitude of the abnormal returns to good quality signals. The empirical evidence suggests that accounting-based trading anomalies are correlated with information uncertainty.