次序性盈餘與股利宣佈之資訊內涵分析

Abstract

本文旨在分析次序性盈餘與股利宣佈之資訊內涵。分析結果顯示: (1) 盈餘與股利皆具重要邊際資訊內涵; (2) 盈餘與股利之資訊內涵並非相互獨立;然而( 3)盈餘與股利同時宣佈之資訊內涵相當於股利之邊際資訊內涵與盈餘之全部資訊內涵的總和。倘非如是，則經理人員將可藉著不同的盈餘與股利宣佈政策及形態影響投資報酬;此現象明顯的違反了效率市場假設。然而根據本文分析，資本市場對於盈餘與股利宣佈之反應具體而微。是以本分析亦可解釋何以過去有關盈餘與股利資訊內涵之研究難達一致結論的原因。未來相關研究若能考量次序性盈餘與股利宣佈之性質，或可得到相當的成果。

This paper analyzes the information effects of sequential earnings and dividends announcements on stock returns. The analysis indicates that (1) the marginal information contents of dividends and earnings are nontrivial; (2) the information contents of dividends and earnings are not independent from each other; and (3) the information content of the joint dividends and earnings announcements is equal to the sum of the marginal information content of dividend and the full information content of accounting earnings. This result must hold otherwise it will imply that a manager may fool the market by revealing different announcement policies and patterns; a serious contradiction to the efficient market hypothesis. The analysis also indicates that the market responds to earnings and dividend announcements in a very subtle way, which may explain why previous studies have been inconclusive. Future research with respect to the investigation of dividends and earnings announcement effects may be fruitful if the nature of sequential announcements is taken into account.