台灣股市季盈餘宣告資訊窒轉效果再探討

Abstract

本文以民國81年到民國83年上市公司普通股為樣本，包括330家盈餘 宣告公司及1735家同業非宣告公司。採用相關性檢定及迴歸分析方法，探 討資訊移轉的存在及方向，並驗證形成資訊移轉的原因，最後乃分析優勢 公司、好壞消息、宣告時點等因素對資訊移轉的影響。實證結果分述如下 ： １．整體市場存在正向資訊移轉，而各行業中水泥、造紙、觀光、 貿易百貨業正向資 訊移轉效果亦顯著。 ２．支持形成資訊移 轉效果存在是因為行業的共同特性。另外，排除行業因素後，反 而得到電機機械來自於特定公司因素的負資訊移轉。 ３．行業分類方 式的確會影響資訊移轉效果。 ４．好壞消息也會影響資訊移轉效果。 整體市場的壞消息群之正向資訊移轉效果顯著 ，但好消 息群的資訊移轉效果卻不顯著。 ５．宣告時點會影響資訊移轉效果。 整體市場、水泥及觀光業在第一家宣告群的資訊 移轉效果較強。 ６．結合宣告消息的好壞及宣告時點因素下，整體市場在壞消息及第一家 宣告群的正 向資訊移轉效果最顯著。 This study examined the common stocks, including 330 quarter earnings announcements and 1735 non-announcements, listed in Taiwan Stock Exchange from 1992 to 1994. The empirical studies are performed by correlation analysis and regression analysis to investigate whether intraindustry information transfers effect exist in Taiwan. The factors and reasoning for the effect are also studied. The empirical results are:1.There exists a positive information transfer effect in Taiwan stock market. Cement、 paper、 tourism and department stores industries have resulted in significant positive information transfer effect. 2.A primary component of intraindustry transfers arises from industry-wide commonalties. However, electrical has shown negative effect. 3.Classifications influence information transfer effect. 4.The characteristics of news influence information transfer effect. Bad news group exists significant information transfer effect but good news group does not. 5.Announcement timing influences information transfer effect. The first announcement group exists significant information transfer effect in all market, cement and tourism industries. 6.There is a significant positive information transfer effect by bad news and the first announcement group.