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Title: 非預期盈餘反應迴歸模型之確認及衡量之課題
Specification and Measurement Issues in Unexpected Earnings Response Regression Models
Authors: 張國樑
Cheung, Joseph K.
Li, Mandy
Date: 1993-04
Issue Date: 2017-11-15 14:55:06 (UTC+8)
Abstract: 本研究探討股票報酬與非預期盈餘關連研究文獻中,未受到應有重視之三項課題:第一,本研究認為,由於盈餘預期無法確知,只能粗略估計,因而提出假說,認為非預期盈餘之絕對數字大小不比其高低估方向(正負號)更能解釋超額報酬;第二,目前之研究通常僅著重於盈餘宣告,忽視其他同一時期之宣告,例如股利,而可能存在遺漏重要自變數的問題;第三,大多數的研究採用之報酬窗期不是過長,就是缺乏明確之事件日期,以致無法掌握宣告之大部分重大價格衝擊。本研究藉盈餘與股利變動方向用以解釋股票報酬之有用性的探究,及含有明確事件日期資料之採用,來探討前述三項課題。本研究共計導出三條迴歸式:相加型迴歸式用以評估超額報酬與非預期盈餘和股利之絕對數字大小間關係;互動型迴歸式用以評估超額報酬與由非預期盈餘及股利定義出的五個類別變數間之關係;第三條迴歸式則用於評估非預期變數之絕對數字大小及正負號,在解釋超額報酬上,是否聯合而言顯著。實證結果發現,在解釋超額報酬方面,非預期盈餘再加上非預期股利,二者之正負號較絕對數字更具解釋力。本文對實證結果之對相關研究的涵義亦詳加討論。
This research addresses three issues that have not received sufficient attention in the vast literature on the relationship between security returns and unexpected earnings. First, it is hypothesized that the magnitude, as opposed to the sign, of unexpected earnings is not necessarily a better explanatory variable of residual returns, since earnings expectations are largely unknown and thus can only be proxied with error. Second, it is observed that extant studies typically focus on earnings announcements exclusively, leading to the possibility of a missing-variable problem by ignoring other contemporaneous announcements such as dividends. Third, most studies either use a return window that is too long or do not have precise event dates, thus failing to capture the most dramatic price impact of the announcements. This study aims to address these issues by exploring the usefulness of the signs of earnings and dividend changes in explaining security returns, and by using a data set that has precise event dates. Three regressions are estimated and compared. An additive model evaluates the relationship between residual returns and the magnitudes of unexpected earnings and dividends. An interactive model evaluates the relationship between residual returns and five categorical variables defined by the signs of unexpected earnings and unexpected dividends. Finally, the third model evaluates whether both the magnitudes and the signs of the two unexpected variables are jointly significant in explaining residual returns. The evidence shows that the signs of unexpected earnings, in corroboration with those of unexpected dividends, are more useful in explaining residual returns than the magnitudes of the unexpected variables. The implications of this finding for research in this area are discussed.
Relation: 會計評論, 27, 187-204
Data Type: article
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Appears in Collections:[會計評論] 期刊論文

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