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題名 年報語調與盈餘預測之關聯性
Association between Tone in Annual Reports and Future Earnings
作者 謝明珊
Hsieh, Ming-Shan
貢獻者 陳宇紳
謝明珊
Hsieh, Ming-Shan
關鍵詞 語調
文字分析
盈餘預測
Tone
Textual analysis
Earnings forecast
日期 2019
上傳時間 1-Jul-2019 10:41:13 (UTC+8)
摘要 本研究旨在探討年報的質化資訊是否可以預測未來盈餘及提升盈餘預測的準確度。我將年報中的文字分成正面與負面詞語，並透過正負面語調作為衡量質化資訊的變數。實證結果發現，年報的淨語調越正面，未來一年的盈餘越高、分析師盈餘預測也越精確，但若只採用純正面詞語或純負面詞語，則沒有解釋未來盈餘的效果。年報的語調亦會導致分析師做出較不悲觀的預測，並降低預測的離散程度；相反地，純負面詞語會使分析師對未來盈餘更加悲觀，導致預測的離散程度增加。另外，若公司的財務報告為修正式意見，分析師會較依賴文字資訊做為預測盈餘的依憑，進而提升盈餘預測的準確度。總括而言，年報質化資訊與盈餘預測是具有關聯性的。
This paper investigates whether qualitative information in financial reports can predict future earnings and enhance forecast accuracy. Extracting tone from annual reports as the proxy of qualitative information, I find that both future earnings and forecast accuracy are positively associated with net tone; however, I do not find that positive tone or negative tone exhibits a similar association. I also find that net tone is associated with less pessimistic forecasts and lower forecast dispersion. Contrast to net tone, negative tone is inversely related with pessimistic forecasts and forecast dispersion. Additionally, the association between tone and forecast accuracy is stronger for firms receiving qualified audit opinions. Overall, my findings show that tone in financial statements provide useful information for financial statement users to predict future earnings.
參考文獻 Abarbanell, J. S. and B. J. Bushee. 1997. Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research 35: 1-24.
Barron, O. E., C. O. Kile, and T. B. O`KEEFE. 1999. MD&A Quality as Measured by the SEC and Analysts’ Earnings Forecasts. Contemporary Accounting Research 16: 75-109.
Barron, O. E., D. Byard, and Y. Yu. 2008. Earnings Surprises that Motivate Analysts to Reduce Average Forecast Error. The Accounting Review 83: 303-325.
Basu, S. and S. Markov. 2004. Loss Function Assumptions in Rational Expectations Tests on Financial Analysts’ Earnings Forecasts. Journal of Accounting and Economics 38: 171-203.
Beckers, S., M. Steliaros, and A. Thomson. 2004. Bias in European Analysts’ Earnings Forecasts. Financial Analysts Journal 60: 74-85.
Behn, B. K., J. H. Choi, and T. Kang. 2008. Audit Quality and Properties of Analyst Earnings Forecasts. The Accounting Review 83: 327-349.
Bhushan, R. 1989. Firm Characteristics and Analyst Following. Journal of Accounting and Economics 11: 255-274.
Brockman, P. and J. Cicon. 2013. The Information Content of Management Earnings Forecasts: An Analysis of Hard Versus Soft Information. The Journal of Finance Research 36: 147-173.
Brown, L. D. 2001. A Temporal Analysis of Earnings Surprises: Profits Versus Losses. Journal of Accounting Research 39: 221-241.
Davis, A. K., and I. Tama-Sweet. 2012. Managers’ Use of Language Across Alternative Disclosure Outlets: Earnings Press Releases Versus MD&A. Contemporary Accounting Research 29: 804-837.
Davis, A. K., J. M. Piger, and L. M. Sedor. 2012. Beyond the Numbers: Measuring the Information Content of Earnings Press Release Language. Contemporary Accounting Research 29: 845-868.
Dhaliwal, D. S., S. Radhakrishnan, A. Tsang, and Y. G. Yang. 2012. Nonfinancial Disclosure and Analyst Forecast Accuracy: International Evidence on Corporate Social Responsibility Disclosure. The Accounting Review 87: 723-759.
Diether, K. B., C. J. Malloy, and A. Scherbina. 2002. Difference of Opinion and the Cross Section of Stock Returns. The Journal of Finance 57: 2113-2141.
Duru, A. and D. M. Reeb. 2002. International Diversification and Analysts’ Forecast Accuracy and Bias. The Accounting Review 77: 415-433.
Feldman, R., S. Govindaraj, J. Livnat, and B. Segal. 2010. Management’s Tone Change, Post Earnings Announcement Drift and Accruals. Review of Accounting Studies 15: 915-953.
Frankel, R., W. J. Mayew, and Y. Sun. 2010. Do Pennies Matter? Investor Relations Consequences of Small Negative Earnings Surprises. Review of Accounting Studies 15: 220-242.
Gu, Z. and J. S. Wu. 2003. Earnings Skewness and Analysts Forecast Bias. Journal of Accounting and Economics 35: 5-29.
Hope, O. K. 2003. Accounting Policy Disclosures and Analysts` Forecasts. Contemporary Accounting Research 20: 295-321.
Huang, A. H., A. Y. Zang, and R. Zheng. 2014. Evidence on the Information Content of Text in Analyst Reports. The Accounting Review 89: 2151-2180.
Huang, X., S. H. Teoh, and Y. Zhang. 2014. Tone Management. The Accounting Review 89: 1083-1113.
Jaggi, B. 1980. Further Evidence on the Accuracy of Management Forecasts vis-à-vis Analysts’ Forecasts. The Accounting Review 55: 96-101.
Kothari, S.P., X. Li, and J. E. Short. 2009. The Effect of Disclosures by Management, Analysts, and Business Press on Cost of Capital, Return Volatility, and Analyst Forecasts: A Study Using Content Analysis. The Accounting Review 84: 1639-1670.
Kross, W., B. Ro., and D. Schroeder. 1990. Earnings Expectations: The Analysts` Information Advantage. The Accounting Review 65: 461-476.
Lang, M. H. and R. J. Lundholm. 1996. Corporate Disclosure Policy and Analyst Behavior. The Accounting Review 71: 467-492.
Larcker, D. F. and A. A. Zakolyukina. 2012. Detecting Deceptive Discussions in Conference Calls. Journal of Accounting Research 50: 495-540.
Lehavy, R., F. Li, and K. Merkley. 2011. The Effect of Annual Report Readability on Analyst Following and the Properties of Their Earnings Forecasts. The Accounting Review 86: 1087-1115.
Lev, B. and S. R. Thiagarajan. 1993. Fundamental Information Analysis. Journal of Accounting Research 31: 190-215.
Li, F. 2008. Annual Report Readability, Current Earnings, and Earnings Persistence. Journal of Accounting and Economics 45: 221-247.
Li, F. 2010. The information Content of Forward-Looking Statements in Corporate Filings—A Naïve Bayesian Machine Learning Approach. Journal of Accounting Research 48: 1049-1102.
Li, F., R. Lundholm, and M. Minnis. 2013. A Measure of Competition Based on 10-K Filings. Journal of Accounting Research 51: 399-436.
Lim, T. 2001. Rationality and Analysts’ Forecast Bias. The Journal of Finance 56: 369-385.
Loughran, T., and B. McDonald. 2011. When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks. The Journal of Finance 66: 35-65.
Ou, J. A. and S. H. Penman. 1989. Financial Statement Analysis and the Prediction of Stock Returns. Journal of Accounting and Economics 11: 295-329.
Stickel, S. E. 1989. The Timing of and Incentives for Annual Earnings Forecasts Near Interim Earnings Announcements. Journal of Accounting and Economics 11: 275-292.
Stober, T. L. 1992. Summary Financial Statement Measures and Analysts’ Forecasts of Earnings. Journal of Accounting and Economics 15: 347-372.
Tetlock, P. C. 2007. Giving Content to Investor Sentiment: The Role of Media in the Stock Market. The Journal of Finance 62: 1139-1168.
Tetlock, P. C., M. Saar-Tsechansky, and S. Macskassy. 2008. More than Words: Quantifying Language to Measure Firm’s Fundamentals. The Journal of Finance 63: 1437-1467.
Weiss, D., P. A. Naik, and C. L. Tsai. 2008. Extracting Forward-Looking Information from Security Prices: A New Approach. The Accounting Review 83: 1101-1124.
Zhang, X. F. 2006. Information Uncertainty and Stock Returns. The Journal of Finance 61: 105-137.
描述 碩士
國立政治大學
會計學系
106353021
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106353021
資料類型 thesis
dc.contributor.advisor 陳宇紳zh_TW
dc.contributor.author (Authors) 謝明珊zh_TW
dc.contributor.author (Authors) Hsieh, Ming-Shanen_US
dc.creator (作者) 謝明珊zh_TW
dc.creator (作者) Hsieh, Ming-Shanen_US
dc.date (日期) 2019en_US
dc.date.accessioned 1-Jul-2019 10:41:13 (UTC+8)-
dc.date.available 1-Jul-2019 10:41:13 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2019 10:41:13 (UTC+8)-
dc.identifier (Other Identifiers) G0106353021en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124104-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計學系zh_TW
dc.description (描述) 106353021zh_TW
dc.description.abstract (摘要) 本研究旨在探討年報的質化資訊是否可以預測未來盈餘及提升盈餘預測的準確度。我將年報中的文字分成正面與負面詞語，並透過正負面語調作為衡量質化資訊的變數。實證結果發現，年報的淨語調越正面，未來一年的盈餘越高、分析師盈餘預測也越精確，但若只採用純正面詞語或純負面詞語，則沒有解釋未來盈餘的效果。年報的語調亦會導致分析師做出較不悲觀的預測，並降低預測的離散程度；相反地，純負面詞語會使分析師對未來盈餘更加悲觀，導致預測的離散程度增加。另外，若公司的財務報告為修正式意見，分析師會較依賴文字資訊做為預測盈餘的依憑，進而提升盈餘預測的準確度。總括而言，年報質化資訊與盈餘預測是具有關聯性的。zh_TW
dc.description.abstract (摘要) This paper investigates whether qualitative information in financial reports can predict future earnings and enhance forecast accuracy. Extracting tone from annual reports as the proxy of qualitative information, I find that both future earnings and forecast accuracy are positively associated with net tone; however, I do not find that positive tone or negative tone exhibits a similar association. I also find that net tone is associated with less pessimistic forecasts and lower forecast dispersion. Contrast to net tone, negative tone is inversely related with pessimistic forecasts and forecast dispersion. Additionally, the association between tone and forecast accuracy is stronger for firms receiving qualified audit opinions. Overall, my findings show that tone in financial statements provide useful information for financial statement users to predict future earnings.en_US
dc.description.tableofcontents 1.Introduction 1
2.Literature Review 5
3.Hypothesis Development 9
4.Research Design 11
4.1 Measurement of Tone 11
4.2 Regression Models 12
5.Empirical Findings: Tone and Future Earnings 18
5.1 Sample Selection and Distribution of Tone 18
5.2 Descriptive Statistics 20
5.3 Regression Results 22
6.Empirical Findings: Tone and Analyst Forecast Accuracy 24
6.1 Sample Selection and Distribution of Tone 24
6.2 Descriptive Statistics 26
6.3 Regression Results 28
6.4 Forecast Accuracy and Audit Opinion 33
6.5 Robustness Tests 35
7.Conclusions 39
References 40
Appendix: Variable Definitions 44		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106353021en_US
dc.subject (關鍵詞) 語調zh_TW
dc.subject (關鍵詞) 文字分析zh_TW
dc.subject (關鍵詞) 盈餘預測zh_TW
dc.subject (關鍵詞) Toneen_US
dc.subject (關鍵詞) Textual analysisen_US
dc.subject (關鍵詞) Earnings forecasten_US
dc.title (題名) 年報語調與盈餘預測之關聯性zh_TW
dc.title (題名) Association between Tone in Annual Reports and Future Earningsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Abarbanell, J. S. and B. J. Bushee. 1997. Fundamental Analysis, Future Earnings, and Stock Prices. Journal of Accounting Research 35: 1-24.
Barron, O. E., C. O. Kile, and T. B. O`KEEFE. 1999. MD&A Quality as Measured by the SEC and Analysts’ Earnings Forecasts. Contemporary Accounting Research 16: 75-109.
Barron, O. E., D. Byard, and Y. Yu. 2008. Earnings Surprises that Motivate Analysts to Reduce Average Forecast Error. The Accounting Review 83: 303-325.
Basu, S. and S. Markov. 2004. Loss Function Assumptions in Rational Expectations Tests on Financial Analysts’ Earnings Forecasts. Journal of Accounting and Economics 38: 171-203.
Beckers, S., M. Steliaros, and A. Thomson. 2004. Bias in European Analysts’ Earnings Forecasts. Financial Analysts Journal 60: 74-85.
Behn, B. K., J. H. Choi, and T. Kang. 2008. Audit Quality and Properties of Analyst Earnings Forecasts. The Accounting Review 83: 327-349.
Bhushan, R. 1989. Firm Characteristics and Analyst Following. Journal of Accounting and Economics 11: 255-274.
Brockman, P. and J. Cicon. 2013. The Information Content of Management Earnings Forecasts: An Analysis of Hard Versus Soft Information. The Journal of Finance Research 36: 147-173.
Brown, L. D. 2001. A Temporal Analysis of Earnings Surprises: Profits Versus Losses. Journal of Accounting Research 39: 221-241.
Davis, A. K., and I. Tama-Sweet. 2012. Managers’ Use of Language Across Alternative Disclosure Outlets: Earnings Press Releases Versus MD&A. Contemporary Accounting Research 29: 804-837.
Davis, A. K., J. M. Piger, and L. M. Sedor. 2012. Beyond the Numbers: Measuring the Information Content of Earnings Press Release Language. Contemporary Accounting Research 29: 845-868.
Dhaliwal, D. S., S. Radhakrishnan, A. Tsang, and Y. G. Yang. 2012. Nonfinancial Disclosure and Analyst Forecast Accuracy: International Evidence on Corporate Social Responsibility Disclosure. The Accounting Review 87: 723-759.
Diether, K. B., C. J. Malloy, and A. Scherbina. 2002. Difference of Opinion and the Cross Section of Stock Returns. The Journal of Finance 57: 2113-2141.
Duru, A. and D. M. Reeb. 2002. International Diversification and Analysts’ Forecast Accuracy and Bias. The Accounting Review 77: 415-433.
Feldman, R., S. Govindaraj, J. Livnat, and B. Segal. 2010. Management’s Tone Change, Post Earnings Announcement Drift and Accruals. Review of Accounting Studies 15: 915-953.
Frankel, R., W. J. Mayew, and Y. Sun. 2010. Do Pennies Matter? Investor Relations Consequences of Small Negative Earnings Surprises. Review of Accounting Studies 15: 220-242.
Gu, Z. and J. S. Wu. 2003. Earnings Skewness and Analysts Forecast Bias. Journal of Accounting and Economics 35: 5-29.
Hope, O. K. 2003. Accounting Policy Disclosures and Analysts` Forecasts. Contemporary Accounting Research 20: 295-321.
Huang, A. H., A. Y. Zang, and R. Zheng. 2014. Evidence on the Information Content of Text in Analyst Reports. The Accounting Review 89: 2151-2180.
Huang, X., S. H. Teoh, and Y. Zhang. 2014. Tone Management. The Accounting Review 89: 1083-1113.
Jaggi, B. 1980. Further Evidence on the Accuracy of Management Forecasts vis-à-vis Analysts’ Forecasts. The Accounting Review 55: 96-101.
Kothari, S.P., X. Li, and J. E. Short. 2009. The Effect of Disclosures by Management, Analysts, and Business Press on Cost of Capital, Return Volatility, and Analyst Forecasts: A Study Using Content Analysis. The Accounting Review 84: 1639-1670.
Kross, W., B. Ro., and D. Schroeder. 1990. Earnings Expectations: The Analysts` Information Advantage. The Accounting Review 65: 461-476.
Lang, M. H. and R. J. Lundholm. 1996. Corporate Disclosure Policy and Analyst Behavior. The Accounting Review 71: 467-492.
Larcker, D. F. and A. A. Zakolyukina. 2012. Detecting Deceptive Discussions in Conference Calls. Journal of Accounting Research 50: 495-540.
Lehavy, R., F. Li, and K. Merkley. 2011. The Effect of Annual Report Readability on Analyst Following and the Properties of Their Earnings Forecasts. The Accounting Review 86: 1087-1115.
Lev, B. and S. R. Thiagarajan. 1993. Fundamental Information Analysis. Journal of Accounting Research 31: 190-215.
Li, F. 2008. Annual Report Readability, Current Earnings, and Earnings Persistence. Journal of Accounting and Economics 45: 221-247.
Li, F. 2010. The information Content of Forward-Looking Statements in Corporate Filings—A Naïve Bayesian Machine Learning Approach. Journal of Accounting Research 48: 1049-1102.
Li, F., R. Lundholm, and M. Minnis. 2013. A Measure of Competition Based on 10-K Filings. Journal of Accounting Research 51: 399-436.
Lim, T. 2001. Rationality and Analysts’ Forecast Bias. The Journal of Finance 56: 369-385.
Loughran, T., and B. McDonald. 2011. When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks. The Journal of Finance 66: 35-65.
Ou, J. A. and S. H. Penman. 1989. Financial Statement Analysis and the Prediction of Stock Returns. Journal of Accounting and Economics 11: 295-329.
Stickel, S. E. 1989. The Timing of and Incentives for Annual Earnings Forecasts Near Interim Earnings Announcements. Journal of Accounting and Economics 11: 275-292.
Stober, T. L. 1992. Summary Financial Statement Measures and Analysts’ Forecasts of Earnings. Journal of Accounting and Economics 15: 347-372.
Tetlock, P. C. 2007. Giving Content to Investor Sentiment: The Role of Media in the Stock Market. The Journal of Finance 62: 1139-1168.
Tetlock, P. C., M. Saar-Tsechansky, and S. Macskassy. 2008. More than Words: Quantifying Language to Measure Firm’s Fundamentals. The Journal of Finance 63: 1437-1467.
Weiss, D., P. A. Naik, and C. L. Tsai. 2008. Extracting Forward-Looking Information from Security Prices: A New Approach. The Accounting Review 83: 1101-1124.
Zhang, X. F. 2006. Information Uncertainty and Stock Returns. The Journal of Finance 61: 105-137.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU201900075en_US