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題名 財務報導一致性與市場反應之關係
The Relationship between the Financial Reporting Consistency and the Market Response
作者 施傑仁
貢獻者 周濟群
施傑仁
關鍵詞 管理階層討論與分析
一致性
市場反應
分析師預測修正
累計異常報酬
MD&A
consistency
market response
analyst revision
calculative abnormal return
日期 2015
上傳時間 13-Jul-2015 11:05:07 (UTC+8)
摘要 本研究欲探討財務報導中管理階層討論與分析（Management Discussion and Analysis, MD&A）語調與企業財務績效一致性對市場反應之關係，選取自2004至2013年美國上市公司為研究樣本，使用文字探勘TFIDF及TFICF等技術分析10-K年報中MD&A資訊，並比對財務資訊中的八大財務構面，形成一致性指標，進而探討與分析師預測修正幅度、預測錯誤幅度及市場累計異常報酬之關係。本研究發現當財務績效與MD&A語調不一致且情況屬樂觀時，分析師預測修正幅度較大，預測錯誤幅度較小，且市場投資人給予負向評價，此外，本研究發現不一致情況為樂觀時，分析師傾向下修其預測值，說明投資人與分析師看穿此不一致情況，一致性指標具有資訊價值。
This study investigates the relationship between the financial reporting consistency and the market response. I collect data for firms in the United States during 2004 and 2013. I develop the consistency index via comparing eight financial ratios to MD&A tone, which is extracted from 10-K using TFIDF and TFICF analysis. I mainly examine the relationship of consistency index with analyst revision variances, error variances, and calculative abnormal return. The results suggest that the inconsistency, specific to an ‘optimistic’ index, between financial performance and MD&A tone has a positive effect on analyst revision variances, while a negative effect on analyst error variances and calculative abnormal returns. I also find that analysts prone to lower the revised forecast value when there is an ‘optimistic’ inconsistency. The results indicate that analysts and market investors have seen through the inconsistency between the MD&A disclosure and financial performance. In sum, the consistency index can be viewed as one new type of information for the stock market.
參考文獻 Abrahamson, E., and E. Amir. 1996. The information content of the president’s letter to shareholders. Journal of Business Finance & Accounting 23(8): 1157-1182.
Amir, E., and B. Lev. 1996. Value-relevance of nonfinancial information: The wireless communications industry. Journal of Accounting and Economics 22(1): 3-30.
Atiase, R. K. 1985. Predisclosure information, firm Capitalization, and security price behavior around earnings announcements. Journal of Accounting Research 23(1): 21-36.
Back, B., J. Toivonen, H. Vanharanta, and A. Visa. 2001. Comparing numerical data and text information from annual reports using self-organizing maps. Accounting Information Systems 2(4): 249-269.
Baginski, S., J. Hassell, and M. Kimbrough. 2004. Why do managers explain their earnings forecasts? Journal of Accounting Research 42 (1): 1–29.
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(1): 75-109.
Beaver, W. H. 1973. What should be the FASB’s objectives? The Journal of Accountancy (August): 49-56.
Brown, S. V., and J. W. Tucker. 2011. Large-sample evidence on firms’ year-over-year MD&A modifications. Journal of Accounting Research 49(2): 309-346.
Bryan, S. H. 1997. Incremental information content of required disclosures contained in management discussion and analysis. The Accounting Review 72(2): 285-301.
Callahan, C. M., and R. E. Smith. 2004. Firm Performance and Management’s Discussion and Analysis Disclosures: An Industry Approach. Working paper, University of Arkansas-Fayetteville
Callahan, C. M., and R. E. Smith. 2005. How transparent are annual report MD&A disclosures? Bank Accounting and Finance (February): 7-16.
Choudhary, P., K. J. Merkley, and J.D. Schloetzer. 2011. Form 10-K timing and information asymmetry. Research project, Georgetown University.
Clarkson, P. M., J. Kao, and G. D. Richardson. 1994. The voluntary inclusion of forecasts in the MD&A section of annual reports. Contemporary Accounting Research 11(1): 423-450.
Clarkson, P. M., J. Kao, and G. D. Richardson. 1999. Evidence that management discussion and analysis (MD&A) is a part of a firm`s overall disclosure package. Contemporary Accounting Research 16(1): 11-34.
Cole, C. J., and C. L. Jones. 2004. The usefulness of MD&A disclosures in the retail industry. Journal of Accounting, Auditing & Finance 19(4): 361-388.
Core, J. E. 2001. A Review of the Empirical Disclosure Literature: Discussion. Journal of Accounting and Economics 31(1): 441-456
Eccles, R., and S. Mavrinac. 1995. Improving the corporate disclosure process. Sloan Management Review 36(4): 11-25.
Eikner, A. E., H. Hefzi, and G. W. Glezen. 2000. Prospective information in managements’ discussion and analysis: A test of incremental information content. The Journal of Interdisciplinary Studies 13: 13-22.
Engelberg, J. 2008. Costly information processing: Evidence from earnings announcements. American Finance Association Annual Meeting, San Francisco. Available at SSRN: http://ssrn.com/abstract=1107998
Epstein, M. J., and K. G. Palepu. 1999. What financial analysts want. Strategic Finance 80(10): 48–52.
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(4): 915-953.
Frazier, K. B., R. W. Ingram, and B. M. Tennyson. 1984. A methodology for the analysis of narrative accounting disclosures. Journal of Accounting Research 22(1): 318-331.
Francis, J., K. Schipper, and L. Vincent. 2002. Expanded disclosures and the increased usefulness of earnings announcements. The Accounting Review 77 (3): 515–546.
Glassman, C. A., commissioner of U.S. Securities and Exchange Commission (SEC). 2006. MD&A report card. Journal of Accountancy. Remarks at
the 10th Annual Corporate Counsel Institute, Washington, D.C. from http://www.journalofaccountancy.com/Issues/2006/Aug/MdAReportCard.htm
Grant, E. B. 1980. Market implications of differential amounts of interim information. Journal of Accounting Research 18(1): 255-268.
Griffin, P. A. 2003. Got information? Investor response to form 10-K and form 10-Q EDGAR filings. Review of Accounting Studies 8(4): 433-460.
Herreman, I. M. and J. Ryans. 1995. The case for better measurement and reporting of marketing performance. Business Horizons 38(5): 51-60.
Hildebrandt, H. W. and R. D. Snyder. 1981. The pollyanna hypothesis in business writing: Initial results, suggestions for research. Journal of Business Communication 18(1): 5-15.
Kothari, S., X. Li, and J. Short. 2009. The effect of disclosures by management, analysts, and financial press on cost of capital, return volatility, and analyst forecasts: A study using content analysis. The Account-ing Review 84 (5): 1639–1670.
Lang, M. H., and R. J. Lundholm. 1996. Corporate disclosure policy and analyst behavior. The Accounting Review 71(4): 467-492.
Li, F. 2010. The information content of forward-looking statements in corporate filings—A naïve Bayesian machine learning approach. Journal of Accounting Research 48(5): 1049-1102.
Maines, L. A., and L. S. McDaniel. 2000. Effects of comprehensive-income characteristics on nonprofessional investors’ judgments: The role of financial-statement presentation format. The Accounting Review 75(2): 179-207.
Pava, M. L., and M. Epstein. 1993. How good is MD&A as an investment tool? Journal of Accountancy 175(3): 51-53.
Patell, J. 1976. Corporate forecasts of earnings per share and stock price behavior: Empirical tests. Journal of Accounting Research (Autumn): 246-276.
Plumlee, M. A. 2003. The effect of information complexity on analysts’ use of that information. The Accounting Review 78(1): 275-296.
Rogers, R. K., J. Grant. 1997. Content analysis of information cited in reports of sell-side financial analysts. Journal of Financial Statement Analysis 3(1): 17-30.
Roulstone, D. 2011. Discussion of Large-Sample Evidence on Firms’ Year-over-Year MD&A Modifications. Journal of Accounting Research 49(2): 347-357.
Schick, A. G., L. A. Gordon, and S. Haka. 1990. Information overload: A temporal Approach. Accounting, Organizations and Society 15(3): 199-220.
Schroeder, N., C. Gibson. 1990. Readability of Management`s Discussion and Analysis. Accounting Horizons 4(4): 78-87.
Sun, Y. 2010. Do MD&A disclosures help users interpret disproportionate inventory increases? The Accounting Review 85(4): 1411-1440.
Tetlock, P. C. 2007. Giving content to investor sentiment: The role of media in the stock market. Journal of Finance 62(3): 1139-1168.
Zhang, X. F. 2006. Information uncertainty and analyst forecast behavior. Contemporary Accounting Research 23(2): 565-590.
描述 碩士
國立政治大學
會計研究所
102353010
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102353010
資料類型 thesis
dc.contributor.advisor 周濟群zh_TW
dc.contributor.author (Authors) 施傑仁zh_TW
dc.creator (作者) 施傑仁zh_TW
dc.date (日期) 2015en_US
dc.date.accessioned 13-Jul-2015 11:05:07 (UTC+8)-
dc.date.available 13-Jul-2015 11:05:07 (UTC+8)-
dc.date.issued (上傳時間) 13-Jul-2015 11:05:07 (UTC+8)-
dc.identifier (Other Identifiers) G0102353010en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76409-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 102353010zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 本研究欲探討財務報導中管理階層討論與分析（Management Discussion and Analysis, MD&A）語調與企業財務績效一致性對市場反應之關係，選取自2004至2013年美國上市公司為研究樣本，使用文字探勘TFIDF及TFICF等技術分析10-K年報中MD&A資訊，並比對財務資訊中的八大財務構面，形成一致性指標，進而探討與分析師預測修正幅度、預測錯誤幅度及市場累計異常報酬之關係。本研究發現當財務績效與MD&A語調不一致且情況屬樂觀時，分析師預測修正幅度較大，預測錯誤幅度較小，且市場投資人給予負向評價，此外，本研究發現不一致情況為樂觀時，分析師傾向下修其預測值，說明投資人與分析師看穿此不一致情況，一致性指標具有資訊價值。zh_TW
dc.description.abstract (摘要) This study investigates the relationship between the financial reporting consistency and the market response. I collect data for firms in the United States during 2004 and 2013. I develop the consistency index via comparing eight financial ratios to MD&A tone, which is extracted from 10-K using TFIDF and TFICF analysis. I mainly examine the relationship of consistency index with analyst revision variances, error variances, and calculative abnormal return. The results suggest that the inconsistency, specific to an ‘optimistic’ index, between financial performance and MD&A tone has a positive effect on analyst revision variances, while a negative effect on analyst error variances and calculative abnormal returns. I also find that analysts prone to lower the revised forecast value when there is an ‘optimistic’ inconsistency. The results indicate that analysts and market investors have seen through the inconsistency between the MD&A disclosure and financial performance. In sum, the consistency index can be viewed as one new type of information for the stock market.en_US
dc.description.tableofcontents 壹、 緒論 1
一、 研究背景 1
二、 研究目的 4
三、 研究架構 4
貳、 文獻探討 6
一、 MD&A資訊預測性之相關研究 6
二、 MD&A資訊與市場反應之相關研究 8
參、 研究方法 9
一、 研究步驟 9
二、 樣本選取 11
三、 研究假說 12
四、 研究模型 14
肆、 實證結果與分析 20
一、 敘述統計分析 20
二、 相關係數分析 21
三、 迴歸結果分析 26
伍、 結論與建議 36
參考文獻 37		zh_TW
dc.format.extent 716703 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102353010en_US
dc.subject (關鍵詞) 管理階層討論與分析zh_TW
dc.subject (關鍵詞) 一致性zh_TW
dc.subject (關鍵詞) 市場反應zh_TW
dc.subject (關鍵詞) 分析師預測修正zh_TW
dc.subject (關鍵詞) 累計異常報酬zh_TW
dc.subject (關鍵詞) MD&Aen_US
dc.subject (關鍵詞) consistencyen_US
dc.subject (關鍵詞) market responseen_US
dc.subject (關鍵詞) analyst revisionen_US
dc.subject (關鍵詞) calculative abnormal returnen_US
dc.title (題名) 財務報導一致性與市場反應之關係zh_TW
dc.title (題名) The Relationship between the Financial Reporting Consistency and the Market Responseen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Abrahamson, E., and E. Amir. 1996. The information content of the president’s letter to shareholders. Journal of Business Finance & Accounting 23(8): 1157-1182.
Amir, E., and B. Lev. 1996. Value-relevance of nonfinancial information: The wireless communications industry. Journal of Accounting and Economics 22(1): 3-30.
Atiase, R. K. 1985. Predisclosure information, firm Capitalization, and security price behavior around earnings announcements. Journal of Accounting Research 23(1): 21-36.
Back, B., J. Toivonen, H. Vanharanta, and A. Visa. 2001. Comparing numerical data and text information from annual reports using self-organizing maps. Accounting Information Systems 2(4): 249-269.
Baginski, S., J. Hassell, and M. Kimbrough. 2004. Why do managers explain their earnings forecasts? Journal of Accounting Research 42 (1): 1–29.
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(1): 75-109.
Beaver, W. H. 1973. What should be the FASB’s objectives? The Journal of Accountancy (August): 49-56.
Brown, S. V., and J. W. Tucker. 2011. Large-sample evidence on firms’ year-over-year MD&A modifications. Journal of Accounting Research 49(2): 309-346.
Bryan, S. H. 1997. Incremental information content of required disclosures contained in management discussion and analysis. The Accounting Review 72(2): 285-301.
Callahan, C. M., and R. E. Smith. 2004. Firm Performance and Management’s Discussion and Analysis Disclosures: An Industry Approach. Working paper, University of Arkansas-Fayetteville
Callahan, C. M., and R. E. Smith. 2005. How transparent are annual report MD&A disclosures? Bank Accounting and Finance (February): 7-16.
Choudhary, P., K. J. Merkley, and J.D. Schloetzer. 2011. Form 10-K timing and information asymmetry. Research project, Georgetown University.
Clarkson, P. M., J. Kao, and G. D. Richardson. 1994. The voluntary inclusion of forecasts in the MD&A section of annual reports. Contemporary Accounting Research 11(1): 423-450.
Clarkson, P. M., J. Kao, and G. D. Richardson. 1999. Evidence that management discussion and analysis (MD&A) is a part of a firm`s overall disclosure package. Contemporary Accounting Research 16(1): 11-34.
Cole, C. J., and C. L. Jones. 2004. The usefulness of MD&A disclosures in the retail industry. Journal of Accounting, Auditing & Finance 19(4): 361-388.
Core, J. E. 2001. A Review of the Empirical Disclosure Literature: Discussion. Journal of Accounting and Economics 31(1): 441-456
Eccles, R., and S. Mavrinac. 1995. Improving the corporate disclosure process. Sloan Management Review 36(4): 11-25.
Eikner, A. E., H. Hefzi, and G. W. Glezen. 2000. Prospective information in managements’ discussion and analysis: A test of incremental information content. The Journal of Interdisciplinary Studies 13: 13-22.
Engelberg, J. 2008. Costly information processing: Evidence from earnings announcements. American Finance Association Annual Meeting, San Francisco. Available at SSRN: http://ssrn.com/abstract=1107998
Epstein, M. J., and K. G. Palepu. 1999. What financial analysts want. Strategic Finance 80(10): 48–52.
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(4): 915-953.
Frazier, K. B., R. W. Ingram, and B. M. Tennyson. 1984. A methodology for the analysis of narrative accounting disclosures. Journal of Accounting Research 22(1): 318-331.
Francis, J., K. Schipper, and L. Vincent. 2002. Expanded disclosures and the increased usefulness of earnings announcements. The Accounting Review 77 (3): 515–546.
Glassman, C. A., commissioner of U.S. Securities and Exchange Commission (SEC). 2006. MD&A report card. Journal of Accountancy. Remarks at
the 10th Annual Corporate Counsel Institute, Washington, D.C. from http://www.journalofaccountancy.com/Issues/2006/Aug/MdAReportCard.htm
Grant, E. B. 1980. Market implications of differential amounts of interim information. Journal of Accounting Research 18(1): 255-268.
Griffin, P. A. 2003. Got information? Investor response to form 10-K and form 10-Q EDGAR filings. Review of Accounting Studies 8(4): 433-460.
Herreman, I. M. and J. Ryans. 1995. The case for better measurement and reporting of marketing performance. Business Horizons 38(5): 51-60.
Hildebrandt, H. W. and R. D. Snyder. 1981. The pollyanna hypothesis in business writing: Initial results, suggestions for research. Journal of Business Communication 18(1): 5-15.
Kothari, S., X. Li, and J. Short. 2009. The effect of disclosures by management, analysts, and financial press on cost of capital, return volatility, and analyst forecasts: A study using content analysis. The Account-ing Review 84 (5): 1639–1670.
Lang, M. H., and R. J. Lundholm. 1996. Corporate disclosure policy and analyst behavior. The Accounting Review 71(4): 467-492.
Li, F. 2010. The information content of forward-looking statements in corporate filings—A naïve Bayesian machine learning approach. Journal of Accounting Research 48(5): 1049-1102.
Maines, L. A., and L. S. McDaniel. 2000. Effects of comprehensive-income characteristics on nonprofessional investors’ judgments: The role of financial-statement presentation format. The Accounting Review 75(2): 179-207.
Pava, M. L., and M. Epstein. 1993. How good is MD&A as an investment tool? Journal of Accountancy 175(3): 51-53.
Patell, J. 1976. Corporate forecasts of earnings per share and stock price behavior: Empirical tests. Journal of Accounting Research (Autumn): 246-276.
Plumlee, M. A. 2003. The effect of information complexity on analysts’ use of that information. The Accounting Review 78(1): 275-296.
Rogers, R. K., J. Grant. 1997. Content analysis of information cited in reports of sell-side financial analysts. Journal of Financial Statement Analysis 3(1): 17-30.
Roulstone, D. 2011. Discussion of Large-Sample Evidence on Firms’ Year-over-Year MD&A Modifications. Journal of Accounting Research 49(2): 347-357.
Schick, A. G., L. A. Gordon, and S. Haka. 1990. Information overload: A temporal Approach. Accounting, Organizations and Society 15(3): 199-220.
Schroeder, N., C. Gibson. 1990. Readability of Management`s Discussion and Analysis. Accounting Horizons 4(4): 78-87.
Sun, Y. 2010. Do MD&A disclosures help users interpret disproportionate inventory increases? The Accounting Review 85(4): 1411-1440.
Tetlock, P. C. 2007. Giving content to investor sentiment: The role of media in the stock market. Journal of Finance 62(3): 1139-1168.
Zhang, X. F. 2006. Information uncertainty and analyst forecast behavior. Contemporary Accounting Research 23(2): 565-590.		zh_TW