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題名 財務年報公布日天期早晚與股票報酬之關聯
The effect of early or late annual report disclosure on stock returns
作者 尉林傑
Wei, Lin-Jie
貢獻者 盧敬植
Lu, Ching-Chih
尉林傑
Wei, Lin-Jie
關鍵詞 財務年報公布時間點
股票報酬率
Annual report disclosure
Stock return
日期 2017
上傳時間 2-Oct-2017 10:14:34 (UTC+8)
摘要 　本研究探討財務年報公布時間點的早晚是否對股票報酬率有定價的能力。我們透過盈餘管理、訊號效果與資訊不對稱理論推論財務年報公布時間點的早晚會與下一年的股票報酬率有相關。本研究的樣本來自1995年到2016年所有上市上櫃公司（但不含金融股）的財報資料及市場資料。
實證結果顯示沒有充分證據能說明財務年報公布時間點的早晚會對股票報酬率有定價的能力。此結果支持Fama (1970)提出的效率市場假說(Efficient-market hypothesis)，即當證券市場中的公司股價完全反映出包括公司財務資訊與公布時間點的差異等所有可以獲得的信息帶來的影響，我們就認為市場為效率市場。即使是在較早公布的資訊中好消息的比重較高的情況下，投資人對提早公布財務年報的公司進行投資也無法獲取較高的報酬，反映出公布時間的早晚對股票報酬率不具定價的能力。
This study examines the relation between the early or late annual report disclosure and the changes of the return on portfolios over time. Empirical results suggest that the stock returns are not significantly related to the disclosure time of annual report. The fact that financial characteristics and stock returns are not related to the sooner or later annual report disclosure supports the Efficient-market hypothesis. However, in the long run, we did not find the annual report disclosure with the predictive power of the systemic risk of companies. Furthermore, firms with early disclosures are more likely to beat analysts` prediction than firms with late disclosures, but we still do not find such disclosure with significant pricing power of stock returns.
參考文獻 一、中文文獻
林有志, and 曾乾豪, 2007, 財務透明度對盈餘資訊性之影響, 當代會計 8, 155-179.
林有志, 黃劭彥, 辛宥呈, and 施志成, 2007, 上市櫃公司年報公布時間落差特性之研究, 當代會計 8, 85-112.
施明宗, 1995, 我國上市公司財務報表公告日時間落差特性之研究, 國立政治大學會計學研究所碩士論文.
孫國智, 2009, 會計盈餘及時性與財報公佈時間關聯性之研究, 輔仁大學會計學系碩士班碩士論文.
陳向民 and 譚永暉, 2002, 上市公司信息披露若干問題研究——時間性, 信息含量與市場反應。深圳證券交易所研究報告. 深圳綜研字第, (60).
蔡佳君, 賴靜惠, and 陳育成, 2005, 分析師盈餘預測誤差與盈餘宣告時點對盈餘管理之影響, 文大商管學報 10, 85-105.
二、英文文獻
Aboody, David, and Ron Kasznik, 2000, Ceo stock option awards and the timing of corporate voluntary disclosures, Journal of Accounting and Economics 29, 73-100.
Affleck-Graves, John, Carolyn M. Callahan, and Niranjan Chipalkatti, 2002, Earnings predictability, information asymmetry, and market liquidity, Journal of Accounting Research 40, 561-583.
Agrawal, Anup, and Charles R. Knoeber, 1996, Firm performance and mechanisms to control agency problems between managers and shareholders, The Journal of Financial and Quantitative Analysis 31, 377-397.
Bagnoli, Mark, William Kross, and Susan G. Watts, 2002, The information in management’s expected earnings report date: A day late, a penny short, Journal of Accounting Research 40, 1275-1296.
Barry, Christopher B., and Stephen J. Brown, 1984, Differential information and the small firm effect, Journal of Financial Economics 13, 283-294.
Barry, Christopher B., and Stephen J. Brown, 1985, Differential information and security market equilibrium, The Journal of Financial and Quantitative Analysis 20, 407-422.
Basu, Sudipta, 1997, The conservatism principle and the asymmetric timeliness of earnings, Journal of accounting and economics 24, 3-37.
Beaver, William H, 1968, The information content of annual earnings announcements, Journal of accounting research 67-92.
Beaver, William H., 2002, Perspectives on recent capital market research, The Accounting Review 77, 453-474.
Brown, Philip, Glen W. Dobbie, and Andrew B. Jackson, 2011, Measures of the timeliness of earnings, Australian Accounting Review 21, 222-234.
Chambers, Anne E., and Stephen H. Penman, 1984, Timeliness of reporting and the stock price reaction to earnings announcements, Journal of Accounting Research 22, 21-47.
Chan, Konan, Louis KC Chan, Narasimhan Jegadeesh, and Josef Lakonishok, 2001, Earnings quality and stock returns,  (National bureau of economic research).
Chou, De-Wai, Michael Gombola, and Feng-Ying Liu, 2006, Earnings management and stock performance of reverse leveraged buyouts, Journal of Financial and Quantitative Analysis 41, 407-438.
Coller, Maribeth, and Teri Lombardi Yohn, 1997, Management forecasts and information asymmetry: An examination of bid-ask spreads, Journal of Accounting Research 35, 181-191.
deHaan, Ed, Terry Shevlin, and Jacob Thornock, 2015, Market (in)attention and the strategic scheduling and timing of earnings announcements, Journal of Accounting and Economics 60, 36-55.
Duarte-Silva, Tiago, Huijing Fu, Christopher F. Noe, and K. Ramesh, 2013, How do investors interpret announcements of earnings delays?, Journal of Applied Corporate Finance 25, 64-71.
Dyer, James C, and Arthur J McHugh, 1975, The timeliness of the australian annual report, Journal of Accounting Research 204-219.
Easley, David, Soeren Hvidkjaer, and Maureen O`Hara, 2002, Is information risk a determinant of asset returns?, The Journal of Finance 57, 2185-2221.
Easley, David, and Maureen O`Hara, 2004, Information and the cost of capital, The Journal of Finance 59, 1553-1583.
Fama, Eugene F., and B. Laffer Arthur, 1971, Information and capital markets, The Journal of Business 44, 289-298.
Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, The Journal of Finance 25, 383-417.
Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427-465.
Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, The Journal of Finance 51, 55-84.
Financial Executives Research Foundation, 2013, The Last Mile of Finance – How Organizations are Performing Record to Report. Morristown, NJ.
Freeman, R. Edward and McVea, John, 2001, A Stakeholder Approach to Strategic Management, Darden Business School Working Paper, No. 01-02.
Gelb, David S., and Paul Zarowin, 2002, Corporate disclosure policy and the informativeness of stock prices, Review of Accounting Studies 7, 33-52.
Givoly, Dan, and Dan Palmon, 1982, Timeliness of annual earnings announcements: Some empirical evidence, The Accounting Review 57, 486-508.
Graham, John R., Campbell R. Harvey, and Shiva Rajgopal, 2005, The economic implications of corporate financial reporting, Journal of Accounting and Economics 40, 3-73.
Gunarsih, Tri, 2011, Corporate governance structure and timeliness of financial report, Journal of Management and Business 10.
Haggard, K. Stephen, Xiumin Martin, and Raynolde Pereira, 2008, Does voluntary disclosure improve stock price informativeness?, Financial Management 37, 747-768.
Healy, Paul M., and Krishna G. Palepu, 1993, The effect of firms` financial disclosure strategies on stock prices, Accounting Horizons 7, 1.
Healy, Paul M., and Krishna G. Palepu, 2001, Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature, Journal of Accounting and Economics 31, 405-440.
Jiang, Li, and Jeong-Bon Kim, 2004, Foreign equity ownership and information asymmetry: Evidence from japan, Journal of International Financial Management & Accounting 15, 185-211.
Jo, Hoje, and Yongtae Kim, 2007, Disclosure frequency and earnings management, Journal of Financial Economics 84, 561-590.
King, Michael R, and Eric Santor, 2008, Family values: Ownership structure, performance and capital structure of canadian firms, Journal of Banking & Finance 32, 2423-2432.
KPMG, 2012, The Last Mile of Finance: Building Tranformation Momentum with Technology.
Kross, William, 1982, Profitability, earnings announcement time lags, and stock prices, Journal of Business Finance & Accounting 9, 313-328.
Kross, William, and Douglas A. Schroeder, 1984, An empirical investigation of the effect of quarterly earnings announcement timing on stock returns, Journal of Accounting Research 22, 153-176.
Lang, Mark, and Russell Lundholm, 1993, Cross-sectional determinants of analyst ratings of corporate disclosures, Journal of Accounting Research 31, 246-271.
Lang, Mark H., and Russell J. Lundholm, 1996, Corporate disclosure policy and analyst behavior, The Accounting Review 71, 467-492.
Leary, Mark R. and Kowalski, Robin M,1990, Impression management: A literature review and two-component model. Psychological Bulletin, Vol 107(1), Jan 1990, 34-47.
Lobo, Gerald J., and Jian Zhou, 2001, Disclosure quality and earnings management, Asia-Pacific Journal of Accounting & Economics 8, 1-20.
Patell, James M., and Mark A. Wolfson, 1982, Good news, bad news, and the intraday timing of corporate disclosures, The Accounting Review 57, 509-527.
Rangan, Srinivasan, 1998, Earnings management and the performance of seasoned equity offerings, Journal of Financial Economics 50, 101-122.
Schlenker, Barry R, 1975, Self-presentation: Managing the impression of consistency when reality interferes with self-enhancement, Journal of personality and social psychology 32, 1030.
Schrand, C, and RE Verrecchia, 2004, Disclosure choice and cost of capital: Evidence from under pricing in initial public offerings (working paper, university of pennsylvania).
Singhvi, Surendra S, and Harsha B Desai, 1971, An empirical analysis of the quality of corporate financial disclosure, The Accounting Review 46, 129-138.
Skinner, Douglas J., 1994, Why firms voluntarily disclose bad news, Journal of Accounting Research 32, 38-60.
Soltani, Bahram, 2002, Timeliness of corporate and audit reports: Some empirical evidence in the french context, The International Journal of Accounting 37, 215-246.
Teoh, Siew Hong, Ivo Welch, and Tak Jun Wong, 1998, Earnings management and the underperformance of seasoned equity offerings, Journal of Financial economics 50, 63-99.
Welker, Michael, 1995, Disclosure policy, information asymmetry, and liquidity in equity markets*, Contemporary Accounting Research 11, 801-827.
Yadirichukwu, Emeh, Ebimobowei, appah.(2013),“audit committee and timeliness of financial reports: Empirical evidence from nigeria”, Journal of Economics and Sustainable Development 4, 14-25.
Zhang, X. Frank, 2006, Information uncertainty and stock returns, The Journal of Finance 61, 105-137.
描述 碩士
國立政治大學
財務管理研究所
104357028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1043570281
資料類型 thesis
dc.contributor.advisor 盧敬植zh_TW
dc.contributor.advisor Lu, Ching-Chihen_US
dc.contributor.author (Authors) 尉林傑zh_TW
dc.contributor.author (Authors) Wei, Lin-Jieen_US
dc.creator (作者) 尉林傑zh_TW
dc.creator (作者) Wei, Lin-Jieen_US
dc.date (日期) 2017en_US
dc.date.accessioned 2-Oct-2017 10:14:34 (UTC+8)-
dc.date.available 2-Oct-2017 10:14:34 (UTC+8)-
dc.date.issued (上傳時間) 2-Oct-2017 10:14:34 (UTC+8)-
dc.identifier (Other Identifiers) G1043570281en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/113284-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 104357028zh_TW
dc.description.abstract (摘要) 　本研究探討財務年報公布時間點的早晚是否對股票報酬率有定價的能力。我們透過盈餘管理、訊號效果與資訊不對稱理論推論財務年報公布時間點的早晚會與下一年的股票報酬率有相關。本研究的樣本來自1995年到2016年所有上市上櫃公司（但不含金融股）的財報資料及市場資料。
實證結果顯示沒有充分證據能說明財務年報公布時間點的早晚會對股票報酬率有定價的能力。此結果支持Fama (1970)提出的效率市場假說(Efficient-market hypothesis)，即當證券市場中的公司股價完全反映出包括公司財務資訊與公布時間點的差異等所有可以獲得的信息帶來的影響，我們就認為市場為效率市場。即使是在較早公布的資訊中好消息的比重較高的情況下，投資人對提早公布財務年報的公司進行投資也無法獲取較高的報酬，反映出公布時間的早晚對股票報酬率不具定價的能力。		zh_TW
dc.description.abstract (摘要) This study examines the relation between the early or late annual report disclosure and the changes of the return on portfolios over time. Empirical results suggest that the stock returns are not significantly related to the disclosure time of annual report. The fact that financial characteristics and stock returns are not related to the sooner or later annual report disclosure supports the Efficient-market hypothesis. However, in the long run, we did not find the annual report disclosure with the predictive power of the systemic risk of companies. Furthermore, firms with early disclosures are more likely to beat analysts` prediction than firms with late disclosures, but we still do not find such disclosure with significant pricing power of stock returns.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與結果 4
第二章 文獻回顧 6
第一節 訊號效果之文獻探討 6
第二節 盈餘管理之文獻探討 8
第三節 資訊不對稱性之文獻探討 9
第四節 財務年報公布時間點早晚對股票報酬率的定價能力 10
第三章 樣本與研究方法 13
第一節 資料來源與研究期間 13
第二節 研究變數定義與假說 14
第三節 法規規定 20
第四節 研究方法與實證模型 20
第四章 實證結果與分析 24
第一節 敘述統計分析 25
第二節 公布時間點的早晚與財務指標之關聯性 30
第三節 公布時間點的早晚與股票報酬率之關聯性 39
第四節 公布時間點的早晚與系統風險之關聯性 43
第五節 財務性指標對財務年報公布時間點之定價能力 47
第五章 結論與建議 51
參考文獻 53
一、中文文獻 53
二、英文文獻 54
附錄 58		zh_TW
dc.format.extent 4984931 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1043570281en_US
dc.subject (關鍵詞) 財務年報公布時間點zh_TW
dc.subject (關鍵詞) 股票報酬率zh_TW
dc.subject (關鍵詞) Annual report disclosureen_US
dc.subject (關鍵詞) Stock returnen_US
dc.title (題名) 財務年報公布日天期早晚與股票報酬之關聯zh_TW
dc.title (題名) The effect of early or late annual report disclosure on stock returnsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文文獻
林有志, and 曾乾豪, 2007, 財務透明度對盈餘資訊性之影響, 當代會計 8, 155-179.
林有志, 黃劭彥, 辛宥呈, and 施志成, 2007, 上市櫃公司年報公布時間落差特性之研究, 當代會計 8, 85-112.
施明宗, 1995, 我國上市公司財務報表公告日時間落差特性之研究, 國立政治大學會計學研究所碩士論文.
孫國智, 2009, 會計盈餘及時性與財報公佈時間關聯性之研究, 輔仁大學會計學系碩士班碩士論文.
陳向民 and 譚永暉, 2002, 上市公司信息披露若干問題研究——時間性, 信息含量與市場反應。深圳證券交易所研究報告. 深圳綜研字第, (60).
蔡佳君, 賴靜惠, and 陳育成, 2005, 分析師盈餘預測誤差與盈餘宣告時點對盈餘管理之影響, 文大商管學報 10, 85-105.
二、英文文獻
Aboody, David, and Ron Kasznik, 2000, Ceo stock option awards and the timing of corporate voluntary disclosures, Journal of Accounting and Economics 29, 73-100.
Affleck-Graves, John, Carolyn M. Callahan, and Niranjan Chipalkatti, 2002, Earnings predictability, information asymmetry, and market liquidity, Journal of Accounting Research 40, 561-583.
Agrawal, Anup, and Charles R. Knoeber, 1996, Firm performance and mechanisms to control agency problems between managers and shareholders, The Journal of Financial and Quantitative Analysis 31, 377-397.
Bagnoli, Mark, William Kross, and Susan G. Watts, 2002, The information in management’s expected earnings report date: A day late, a penny short, Journal of Accounting Research 40, 1275-1296.
Barry, Christopher B., and Stephen J. Brown, 1984, Differential information and the small firm effect, Journal of Financial Economics 13, 283-294.
Barry, Christopher B., and Stephen J. Brown, 1985, Differential information and security market equilibrium, The Journal of Financial and Quantitative Analysis 20, 407-422.
Basu, Sudipta, 1997, The conservatism principle and the asymmetric timeliness of earnings, Journal of accounting and economics 24, 3-37.
Beaver, William H, 1968, The information content of annual earnings announcements, Journal of accounting research 67-92.
Beaver, William H., 2002, Perspectives on recent capital market research, The Accounting Review 77, 453-474.
Brown, Philip, Glen W. Dobbie, and Andrew B. Jackson, 2011, Measures of the timeliness of earnings, Australian Accounting Review 21, 222-234.
Chambers, Anne E., and Stephen H. Penman, 1984, Timeliness of reporting and the stock price reaction to earnings announcements, Journal of Accounting Research 22, 21-47.
Chan, Konan, Louis KC Chan, Narasimhan Jegadeesh, and Josef Lakonishok, 2001, Earnings quality and stock returns,  (National bureau of economic research).
Chou, De-Wai, Michael Gombola, and Feng-Ying Liu, 2006, Earnings management and stock performance of reverse leveraged buyouts, Journal of Financial and Quantitative Analysis 41, 407-438.
Coller, Maribeth, and Teri Lombardi Yohn, 1997, Management forecasts and information asymmetry: An examination of bid-ask spreads, Journal of Accounting Research 35, 181-191.
deHaan, Ed, Terry Shevlin, and Jacob Thornock, 2015, Market (in)attention and the strategic scheduling and timing of earnings announcements, Journal of Accounting and Economics 60, 36-55.
Duarte-Silva, Tiago, Huijing Fu, Christopher F. Noe, and K. Ramesh, 2013, How do investors interpret announcements of earnings delays?, Journal of Applied Corporate Finance 25, 64-71.
Dyer, James C, and Arthur J McHugh, 1975, The timeliness of the australian annual report, Journal of Accounting Research 204-219.
Easley, David, Soeren Hvidkjaer, and Maureen O`Hara, 2002, Is information risk a determinant of asset returns?, The Journal of Finance 57, 2185-2221.
Easley, David, and Maureen O`Hara, 2004, Information and the cost of capital, The Journal of Finance 59, 1553-1583.
Fama, Eugene F., and B. Laffer Arthur, 1971, Information and capital markets, The Journal of Business 44, 289-298.
Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, The Journal of Finance 25, 383-417.
Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427-465.
Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, The Journal of Finance 51, 55-84.
Financial Executives Research Foundation, 2013, The Last Mile of Finance – How Organizations are Performing Record to Report. Morristown, NJ.
Freeman, R. Edward and McVea, John, 2001, A Stakeholder Approach to Strategic Management, Darden Business School Working Paper, No. 01-02.
Gelb, David S., and Paul Zarowin, 2002, Corporate disclosure policy and the informativeness of stock prices, Review of Accounting Studies 7, 33-52.
Givoly, Dan, and Dan Palmon, 1982, Timeliness of annual earnings announcements: Some empirical evidence, The Accounting Review 57, 486-508.
Graham, John R., Campbell R. Harvey, and Shiva Rajgopal, 2005, The economic implications of corporate financial reporting, Journal of Accounting and Economics 40, 3-73.
Gunarsih, Tri, 2011, Corporate governance structure and timeliness of financial report, Journal of Management and Business 10.
Haggard, K. Stephen, Xiumin Martin, and Raynolde Pereira, 2008, Does voluntary disclosure improve stock price informativeness?, Financial Management 37, 747-768.
Healy, Paul M., and Krishna G. Palepu, 1993, The effect of firms` financial disclosure strategies on stock prices, Accounting Horizons 7, 1.
Healy, Paul M., and Krishna G. Palepu, 2001, Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature, Journal of Accounting and Economics 31, 405-440.
Jiang, Li, and Jeong-Bon Kim, 2004, Foreign equity ownership and information asymmetry: Evidence from japan, Journal of International Financial Management & Accounting 15, 185-211.
Jo, Hoje, and Yongtae Kim, 2007, Disclosure frequency and earnings management, Journal of Financial Economics 84, 561-590.
King, Michael R, and Eric Santor, 2008, Family values: Ownership structure, performance and capital structure of canadian firms, Journal of Banking & Finance 32, 2423-2432.
KPMG, 2012, The Last Mile of Finance: Building Tranformation Momentum with Technology.
Kross, William, 1982, Profitability, earnings announcement time lags, and stock prices, Journal of Business Finance & Accounting 9, 313-328.
Kross, William, and Douglas A. Schroeder, 1984, An empirical investigation of the effect of quarterly earnings announcement timing on stock returns, Journal of Accounting Research 22, 153-176.
Lang, Mark, and Russell Lundholm, 1993, Cross-sectional determinants of analyst ratings of corporate disclosures, Journal of Accounting Research 31, 246-271.
Lang, Mark H., and Russell J. Lundholm, 1996, Corporate disclosure policy and analyst behavior, The Accounting Review 71, 467-492.
Leary, Mark R. and Kowalski, Robin M,1990, Impression management: A literature review and two-component model. Psychological Bulletin, Vol 107(1), Jan 1990, 34-47.
Lobo, Gerald J., and Jian Zhou, 2001, Disclosure quality and earnings management, Asia-Pacific Journal of Accounting & Economics 8, 1-20.
Patell, James M., and Mark A. Wolfson, 1982, Good news, bad news, and the intraday timing of corporate disclosures, The Accounting Review 57, 509-527.
Rangan, Srinivasan, 1998, Earnings management and the performance of seasoned equity offerings, Journal of Financial Economics 50, 101-122.
Schlenker, Barry R, 1975, Self-presentation: Managing the impression of consistency when reality interferes with self-enhancement, Journal of personality and social psychology 32, 1030.
Schrand, C, and RE Verrecchia, 2004, Disclosure choice and cost of capital: Evidence from under pricing in initial public offerings (working paper, university of pennsylvania).
Singhvi, Surendra S, and Harsha B Desai, 1971, An empirical analysis of the quality of corporate financial disclosure, The Accounting Review 46, 129-138.
Skinner, Douglas J., 1994, Why firms voluntarily disclose bad news, Journal of Accounting Research 32, 38-60.
Soltani, Bahram, 2002, Timeliness of corporate and audit reports: Some empirical evidence in the french context, The International Journal of Accounting 37, 215-246.
Teoh, Siew Hong, Ivo Welch, and Tak Jun Wong, 1998, Earnings management and the underperformance of seasoned equity offerings, Journal of Financial economics 50, 63-99.
Welker, Michael, 1995, Disclosure policy, information asymmetry, and liquidity in equity markets*, Contemporary Accounting Research 11, 801-827.
Yadirichukwu, Emeh, Ebimobowei, appah.(2013),“audit committee and timeliness of financial reports: Empirical evidence from nigeria”, Journal of Economics and Sustainable Development 4, 14-25.
Zhang, X. Frank, 2006, Information uncertainty and stock returns, The Journal of Finance 61, 105-137.		zh_TW