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題名 探討管理階層討論與分析之情緒分析與股價之關聯性
Exploring the Association between Management Discussion and Analysis (MD&A) Sentiment Analytics and Stock Price作者 林勇光 貢獻者 諶家蘭
林勇光關鍵詞 管理階層討論與分析
事件研究法
累積異常報酬率
情緒分析
Management Discussion and Analysis(MD&A)
Event Study
Cumulative Abnormal Return(CAR)
Sentiment Analysis日期 2021 上傳時間 2-Sep-2021 15:36:35 (UTC+8) 摘要 由於網路科技之發展演變，投資人會接受到各式各樣之文本資訊，並受到該訊息進一步影響他們的投資決策，惟並非任何訊息都會被投資人所信賴及使用，而本次研究之重點為台灣公司上市每年所發布年報中之管理階層討論與分析段落(MD&A)，年報為公司內部之管理人員所編製，其中內容有關公司目前及未來之業務發展，對於投資人來說信賴度以及影響勢必相較其他文本來的深遠。本次研究以人工判讀之方式建置了適用於中文財經領域以及台灣公司之管理階層討論與分析段落的「財經正負向情緒辭典」，使用情緒分析之單詞袋分類法研究年報中之MD&A文本，以觀察文本情緒與累積異常報酬率(CAR)間之關聯性。本次研究結果顯示，MD&A段落之情緒中，以負面情緒語調在短、中、長期之事件窗期與CAR皆有較顯著之影響，間接證實在台灣股票市場中，管理階層討論與分析段落所包含之文本情緒與股價市場波動之間存在一定之關聯，進一步推測其對於投資人投資決策變化之關係。
Due to the development of internet technology, investors will receive a variety of textual information, from which they can assess the overall market trend, and the information will further affect their investment decisions, but not all information will be trusted and used by investors.The focus of this study is the management discussion and analysis (MD&A) paragraph in the annual report issued by Taiwanese listed firms every year. The annual report is compiled by the company’s internal management personnel. The content is about the company’s current and future business development, the trustworthiness and influence for investors are bound to be far-reaching compared to other texts. In this study, a "Finanical Sentiment Dictionary", which is suitable for discussion and analysis paragraphs in the Chinese financial sector and the management of Taiwanese companies, was constructed by manual interpretation. The bag of words classification method of sentiment analysis was used to study the MD&A in the annual report.We observe the correlation between the sentiment of the text and the Cumulative Abnormal Return (CAR).The results of this research show that in the emotions discussed and analyzed by the management, the negative sentiment tone has a significant impact on the short, medium, and long-term time event windows and the CAR. Indirectly confirms that in the Taiwan market, there is a certain correlation between the sentiment of the text contained in the discussion and analysis paragraphs of the management and the fluctuation of the stock price market, and further speculates its relationship to the changes in investors` investment decisions.參考文獻 湯明勳. (2019). 新聞情緒分析與系統風險之關聯性研究. 國立政治大學會計學系學位論文, 1-92.Ahern, K. R., & Sosyura, D. (2014). Who writes the news? Corporate press releases during merger negotiations. The Journal of Finance, 69(1), 241-291.Ahmad, K., Han, J., Hutson, E., Kearney, C., & Liu, S. (2016). Media-Expressed Negative Tone and Firm-Level Stock Returns. Journal of Corporate Finance, 37, 152-172. Retrieved from 10.1016/j.jcorpfin.2015.12.014Amir, E., & Lev, B. (1996). Value-relevance of nonfinancial information: The wireless communications industry. Journal of Accounting and Economics, 22(1-3), 3-30.Ammann, M., & Schaub, N. (2016). Social interaction and investing: Evidence from an online social trading network. Unpublished draft.Arslan-Ayaydin, Ö., Boudt, K., & Thewissen, J. (2016). Managers set the tone: Equity incentives and the tone of earnings press releases. Journal of Banking and Finance, 72, S132-S147.Baginski, S., Demers, E., Wang, C., & Yu, J. (2016). Contemporaneous verification of language: evidence from management earnings forecasts. Review of Accounting Studies, 21(1), 165-197.Ball, R., & Kothari, S. P. (1991). Security Returns around Earnings Announcements. Accounting Review, 66 4, 718-738.Bannier, C. E., Pauls, T., & Walter, A. (2017). CEO-speeches and stock returns.Bian, S., Jia, D., Li, F., & Yan, Z. (2019). A New Chinese Financial Sentiment Dictionary for Textual Analysis in Accounting and Finance. Available at SSRN 3446388.Bochkay, K., & Levine, C. B. (2019). Using MD&A to improve earnings forecasts. Journal of Accounting, Auditing and Finance, 34(3), 458-482.Boylan, D. H. (2016). The innovative use of Twitter technology by bank leadership to enhance shareholder value. Purdue University,Brown, S. V., & Tucker, J. W. (2011). Large-Sample Evidence on Firms` Year-over-Year MD&A Modifications. Journal of Accounting Research, 49 2, 309-346.Carlini, F., Cucinelli, D., Previtali, D., & Soana, M. G. (2020). Don`t talk too bad! stock market reactions to bank corporate governance news. Journal of Banking and Finance, 121, 105962.Chen, Y.-J., Wu, C.-H., Chen, Y.-M., Li, H.-Y., & Chen, H.-K. (2017). Enhancement of fraud detection for narratives in annual reports. International Journal of Accounting Information Systems, 26, 32-45.Core, J. E. (2001). A Review of the Empirical Disclosure Literature: Discussion. Journal of Accounting and Economics, 31 1-3, 441-456.Davis, A. K., & Tama-Sweet, I. (2012). Managers` Use of Language across Alternative Disclosure Outlets: Earnings Press Releases versus MD&A. Contemporary Accounting Research/Recherche Comptable Contemporaine, 29 3, 804-837.Dechow, P. M., Sloan, R. G., & Sweeney, A. P. (1995). Detecting earnings management. Accounting Review, 193-225.Demers, E. A., & Vega, C. (2014). The impact of credibility on the pricing of managerial textual content. Available at SSRN 1153450.Durnev, A., & Mangen, C. (2020). The spillover effects of MD&A disclosures for real investment: The role of industry competition. Journal of Accounting and Economics, 70(1), 101299.Dutta, S., Fuksa, M., & Macaulay, K. (2019). Determinants of MD&A sentiment in Canada. International Review of Economics and Finance, 60(C), 130-148.Feldman, R., Govindaraj, S., Livnat, J., & Segal, B. (2010). Management`s Tone Change, Post Earnings Announcement Drift and Accruals. Review of Accounting Studies, 15 4, 915-953. Retrieved from 10.1007/s11142-009-9111-xFerguson, N. J., Philip, D., Lam, H. Y. T., & Guo, J. M. (2015). Media Content and Stock Returns: The Predictive Power of Press. Multinational Finance Journal, 19 1, 1-31. RetrievedFerris, S. P., Hao, Q., & Liao, M.-Y. (2013). The effect of issuer conservatism on IPO pricing and performance. Review of Finance, 17(3), 993-1027.Firth, M., Wang, K., & Wong, S. M. (2015). Corporate transparency and the impact of investor sentiment on stock prices. Management Science, 61(7), 1630-1647.Garcia, D. (2013). Sentiment during recessions. The Journal of Finance, 68(3), 1267-1300.Henry, E., & Leone, A. J. (2016). Measuring qualitative information in capital markets research: Comparison of alternative methodologies to measure disclosure tone. The Accounting Review, 91(1), 153-178.Hájek, P., & Boháčová, J. (2016). Predicting abnormal bank stock returns using textual analysis of annual reports–a neural network approach. Paper presented at the International Conference on Engineering Applications of Neural Networks.Hájek, P., Olej, & Myšková, R. (2014). Forecasting corporate financial performance using sentiment in annual reports for stakeholders’ decision-making. Technological and Economic Development of Economy, 20. doi:10.3846/20294913.2014.979456Huang, X., Teoh, S. H., & Zhang, Y. (2014). Tone management. The Accounting Review, 89(3), 1083-1113.Jegadeesh, N., & Wu, D. (2013). Word Power: A New Approach for Content Analysis. Journal of Financial Economics, 110 3, 712-729. Retrieved from 10.1016/j.jfineco.2013.08.018Jiang, Y. (2011). Investor sentiment and stock market response to earnings announcement. Paper presented at the 2011 International Conference on Management and Service Science.Kamara, A., Korajczyk, R., Lou, X., & Sadka, R. (2018). Short-horizon beta or long-horizon alpha? The Journal of Portfolio Management, 45(1), 96-105.Koelbl, M. (2020). Is the MD&A of US REITs informative? A textual sentiment study. Journal of Property Investment and Finance.Li, F. (2010). The Information Content of Forward-Looking Statements in Corporate Filings-A Naive Bayesian Machine Learning Approach. Journal of Accounting Research, 48(5), 1049-1102. doi:10.1111/j.1475-679X.2010.00382.xLi, M., Wu, H., Xiao, M., & You, J. (2019). Beyond cheap talk: management`s informative tone in corporate disclosures. Accounting and Finance, 59(5), 2905-2959.Liu, S., & Han, J. (2020). Media tone and expected stock returns. International Review of Financial Analysis, 70, 101522.Loughran, T., & McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10‐Ks. The Journal of Finance, 66(1), 35-65.Loughran, T., & McDonald, B. (2016). Textual Analysis in Accounting and Finance: A Survey. Journal of Accounting Research, 54 4, 1187-1230.Lyle, M. R., Stephan, A., & Yohn, T. L. (2019). The speed of the market reaction to pre-open versus post-close earnings announcements. Kelley School of Business Research Paper(17-75).Mayew, W. J., & Venkatachalam, M. (2012). The power of voice: Managerial affective states and future firm performance. The Journal of Finance, 67(1), 1-43.Myšková, R., Hġjek, P., & Olej, V. (2018). Predicting Abnormal Stock Return Volatility Using Textual Analysis of News ? A Meta-Learning Approach. www.amfiteatrueconomic.ro, 20, 185. doi:10.24818/EA/2018/47/185Ongkoseputro, M. F. (2019). MANAGEMENT’S DISCUSSION AND ANALYSIS ON MANUFACTURING COMPANIES LISTED IN INDONESIA STOCK EXCHANGE 2011-2014. RIMA-Research In Management and Accounting, 2(2), 104-119.Park, K. H., Byun, J., & Choi, P. M. S. (2020). Managerial Overconfidence, Corporate Social Responsibility Activities, and Financial Constraints. Sustainability, 12(1). doi:ARTN 6110.3390/su12010061Price, S. M., Doran, J. S., Peterson, D. R., & Bliss, B. A. (2012). Earnings conference calls and stock returns: The incremental informativeness of textual tone. Journal of Banking and Finance, 36(4), 992-1011.Renault, T. (2017). Intraday online investor sentiment and return patterns in the US stock market. Journal of Banking and Finance, 84, 25-40.Rich, K. T., Roberts, B., & Zhang, J. X. (2018). Linguistic Tone of Municipal Management Discussion and Analysis Disclosures and Future Internal Control Quality. Journal of Governmental and Nonprofit Accounting, Forthcoming.Schwert, G. W. (1990). Stock market volatility. Financial Analysts Journal, 46(3), 23-34.Tama-Sweet, I. (2009). Do managers alter the tone of their earnings announcements around stock option grants and exercises? University of Oregon,Tandelilin, E. (2010). Portofolio dan Investasi, edisi pertama. Yogyakarta: Kanisius, 1(1).Tetlock, P. C. (2007). Giving Content to Investor Sentiment: The Role of Media in the Stock Market. Journal of Finance, 62 3, 1139-1168.Tetlock, P. C., Saar-Tsechansky, M., & Macskassy, S. (2008). More Than Words: Quantifying Language to Measure Firms` Fundamentals. Journal of Finance, 63 3, 1437-1467.Xu, Q., Fernando, G., Tam, K., & Zhang, W. (2019). Financial report readability and audit fees: a simultaneous equation approach. Managerial Auditing Journal.Yekini, L. S., Wisniewski, T. P., & Millo, Y. (2016). Market reaction to the positiveness of annual report narratives. The British Accounting Review, 48(4), 415-430. 描述 碩士
國立政治大學
會計學系
108353029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108353029 資料類型 thesis dc.contributor.advisor 諶家蘭 zh_TW dc.contributor.author (Authors) 林勇光 zh_TW dc.creator (作者) 林勇光 zh_TW dc.date (日期) 2021 en_US dc.date.accessioned 2-Sep-2021 15:36:35 (UTC+8) - dc.date.available 2-Sep-2021 15:36:35 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2021 15:36:35 (UTC+8) - dc.identifier (Other Identifiers) G0108353029 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136824 - 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) 108353029 zh_TW dc.description.abstract (摘要) 由於網路科技之發展演變，投資人會接受到各式各樣之文本資訊，並受到該訊息進一步影響他們的投資決策，惟並非任何訊息都會被投資人所信賴及使用，而本次研究之重點為台灣公司上市每年所發布年報中之管理階層討論與分析段落(MD&A)，年報為公司內部之管理人員所編製，其中內容有關公司目前及未來之業務發展，對於投資人來說信賴度以及影響勢必相較其他文本來的深遠。本次研究以人工判讀之方式建置了適用於中文財經領域以及台灣公司之管理階層討論與分析段落的「財經正負向情緒辭典」，使用情緒分析之單詞袋分類法研究年報中之MD&A文本，以觀察文本情緒與累積異常報酬率(CAR)間之關聯性。本次研究結果顯示，MD&A段落之情緒中，以負面情緒語調在短、中、長期之事件窗期與CAR皆有較顯著之影響，間接證實在台灣股票市場中，管理階層討論與分析段落所包含之文本情緒與股價市場波動之間存在一定之關聯，進一步推測其對於投資人投資決策變化之關係。 zh_TW dc.description.abstract (摘要) Due to the development of internet technology, investors will receive a variety of textual information, from which they can assess the overall market trend, and the information will further affect their investment decisions, but not all information will be trusted and used by investors.The focus of this study is the management discussion and analysis (MD&A) paragraph in the annual report issued by Taiwanese listed firms every year. The annual report is compiled by the company’s internal management personnel. The content is about the company’s current and future business development, the trustworthiness and influence for investors are bound to be far-reaching compared to other texts. In this study, a "Finanical Sentiment Dictionary", which is suitable for discussion and analysis paragraphs in the Chinese financial sector and the management of Taiwanese companies, was constructed by manual interpretation. The bag of words classification method of sentiment analysis was used to study the MD&A in the annual report.We observe the correlation between the sentiment of the text and the Cumulative Abnormal Return (CAR).The results of this research show that in the emotions discussed and analyzed by the management, the negative sentiment tone has a significant impact on the short, medium, and long-term time event windows and the CAR. Indirectly confirms that in the Taiwan market, there is a certain correlation between the sentiment of the text contained in the discussion and analysis paragraphs of the management and the fluctuation of the stock price market, and further speculates its relationship to the changes in investors` investment decisions. en_US dc.description.tableofcontents 目錄 iii圖目錄 iv表目錄 v壹、緒論 1第一節 研究背景 1第二節 研究問題 6第三節 研究流程 8貳、文獻探討 10第一節 管理階層討論與分析 10第二節 情緒分析 13第三節 文本分析 15第四節 股價波動 17參、研究方法 19第一節 研究假說 19第二節 資料蒐集 22第三節 研究設計 24第四節 研究模型 29第五節 變數解釋 33肆、研究結果 37第一節 敘述統計 37第二節 相關分析 39第三節 實證結果 42伍、研究結論 47第一節 研究討論 47第二節 研究限制 49參考文獻 51附錄一 財經正向情緒辭典 55附錄二 財經負向情緒辭典 71 zh_TW dc.format.extent 3581094 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108353029 en_US dc.subject (關鍵詞) 管理階層討論與分析 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) 累積異常報酬率 zh_TW dc.subject (關鍵詞) 情緒分析 zh_TW dc.subject (關鍵詞) Management Discussion and Analysis(MD&A) en_US dc.subject (關鍵詞) Event Study en_US dc.subject (關鍵詞) Cumulative Abnormal Return(CAR) en_US dc.subject (關鍵詞) Sentiment Analysis en_US dc.title (題名) 探討管理階層討論與分析之情緒分析與股價之關聯性 zh_TW dc.title (題名) Exploring the Association between Management Discussion and Analysis (MD&A) Sentiment Analytics and Stock Price en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 湯明勳. (2019). 新聞情緒分析與系統風險之關聯性研究. 國立政治大學會計學系學位論文, 1-92.Ahern, K. R., & Sosyura, D. (2014). Who writes the news? Corporate press releases during merger negotiations. The Journal of Finance, 69(1), 241-291.Ahmad, K., Han, J., Hutson, E., Kearney, C., & Liu, S. (2016). Media-Expressed Negative Tone and Firm-Level Stock Returns. Journal of Corporate Finance, 37, 152-172. Retrieved from 10.1016/j.jcorpfin.2015.12.014Amir, E., & Lev, B. (1996). Value-relevance of nonfinancial information: The wireless communications industry. Journal of Accounting and Economics, 22(1-3), 3-30.Ammann, M., & Schaub, N. (2016). Social interaction and investing: Evidence from an online social trading network. Unpublished draft.Arslan-Ayaydin, Ö., Boudt, K., & Thewissen, J. (2016). Managers set the tone: Equity incentives and the tone of earnings press releases. Journal of Banking and Finance, 72, S132-S147.Baginski, S., Demers, E., Wang, C., & Yu, J. (2016). Contemporaneous verification of language: evidence from management earnings forecasts. Review of Accounting Studies, 21(1), 165-197.Ball, R., & Kothari, S. P. (1991). Security Returns around Earnings Announcements. Accounting Review, 66 4, 718-738.Bannier, C. E., Pauls, T., & Walter, A. (2017). CEO-speeches and stock returns.Bian, S., Jia, D., Li, F., & Yan, Z. (2019). A New Chinese Financial Sentiment Dictionary for Textual Analysis in Accounting and Finance. Available at SSRN 3446388.Bochkay, K., & Levine, C. B. (2019). Using MD&A to improve earnings forecasts. Journal of Accounting, Auditing and Finance, 34(3), 458-482.Boylan, D. H. (2016). The innovative use of Twitter technology by bank leadership to enhance shareholder value. Purdue University,Brown, S. V., & Tucker, J. W. (2011). Large-Sample Evidence on Firms` Year-over-Year MD&A Modifications. Journal of Accounting Research, 49 2, 309-346.Carlini, F., Cucinelli, D., Previtali, D., & Soana, M. G. (2020). Don`t talk too bad! stock market reactions to bank corporate governance news. Journal of Banking and Finance, 121, 105962.Chen, Y.-J., Wu, C.-H., Chen, Y.-M., Li, H.-Y., & Chen, H.-K. (2017). Enhancement of fraud detection for narratives in annual reports. International Journal of Accounting Information Systems, 26, 32-45.Core, J. E. (2001). A Review of the Empirical Disclosure Literature: Discussion. Journal of Accounting and Economics, 31 1-3, 441-456.Davis, A. K., & Tama-Sweet, I. (2012). Managers` Use of Language across Alternative Disclosure Outlets: Earnings Press Releases versus MD&A. Contemporary Accounting Research/Recherche Comptable Contemporaine, 29 3, 804-837.Dechow, P. M., Sloan, R. G., & Sweeney, A. P. (1995). Detecting earnings management. Accounting Review, 193-225.Demers, E. A., & Vega, C. (2014). The impact of credibility on the pricing of managerial textual content. Available at SSRN 1153450.Durnev, A., & Mangen, C. (2020). The spillover effects of MD&A disclosures for real investment: The role of industry competition. Journal of Accounting and Economics, 70(1), 101299.Dutta, S., Fuksa, M., & Macaulay, K. (2019). Determinants of MD&A sentiment in Canada. International Review of Economics and Finance, 60(C), 130-148.Feldman, R., Govindaraj, S., Livnat, J., & Segal, B. (2010). Management`s Tone Change, Post Earnings Announcement Drift and Accruals. Review of Accounting Studies, 15 4, 915-953. Retrieved from 10.1007/s11142-009-9111-xFerguson, N. J., Philip, D., Lam, H. Y. T., & Guo, J. M. (2015). Media Content and Stock Returns: The Predictive Power of Press. Multinational Finance Journal, 19 1, 1-31. RetrievedFerris, S. P., Hao, Q., & Liao, M.-Y. (2013). The effect of issuer conservatism on IPO pricing and performance. Review of Finance, 17(3), 993-1027.Firth, M., Wang, K., & Wong, S. M. (2015). Corporate transparency and the impact of investor sentiment on stock prices. Management Science, 61(7), 1630-1647.Garcia, D. (2013). Sentiment during recessions. The Journal of Finance, 68(3), 1267-1300.Henry, E., & Leone, A. J. (2016). Measuring qualitative information in capital markets research: Comparison of alternative methodologies to measure disclosure tone. The Accounting Review, 91(1), 153-178.Hájek, P., & Boháčová, J. (2016). Predicting abnormal bank stock returns using textual analysis of annual reports–a neural network approach. Paper presented at the International Conference on Engineering Applications of Neural Networks.Hájek, P., Olej, & Myšková, R. (2014). Forecasting corporate financial performance using sentiment in annual reports for stakeholders’ decision-making. Technological and Economic Development of Economy, 20. doi:10.3846/20294913.2014.979456Huang, X., Teoh, S. H., & Zhang, Y. (2014). Tone management. The Accounting Review, 89(3), 1083-1113.Jegadeesh, N., & Wu, D. (2013). Word Power: A New Approach for Content Analysis. Journal of Financial Economics, 110 3, 712-729. Retrieved from 10.1016/j.jfineco.2013.08.018Jiang, Y. (2011). Investor sentiment and stock market response to earnings announcement. Paper presented at the 2011 International Conference on Management and Service Science.Kamara, A., Korajczyk, R., Lou, X., & Sadka, R. (2018). Short-horizon beta or long-horizon alpha? The Journal of Portfolio Management, 45(1), 96-105.Koelbl, M. (2020). Is the MD&A of US REITs informative? A textual sentiment study. Journal of Property Investment and Finance.Li, F. (2010). The Information Content of Forward-Looking Statements in Corporate Filings-A Naive Bayesian Machine Learning Approach. Journal of Accounting Research, 48(5), 1049-1102. doi:10.1111/j.1475-679X.2010.00382.xLi, M., Wu, H., Xiao, M., & You, J. (2019). Beyond cheap talk: management`s informative tone in corporate disclosures. Accounting and Finance, 59(5), 2905-2959.Liu, S., & Han, J. (2020). Media tone and expected stock returns. 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