學術產出-學位論文
文章檢視/開啟
書目匯出
-
題名 財務報導與財經新聞資訊內涵之差異分析研究
Financial Reporting and Financial News - An Information Content Gap Analysis作者 黃冠穎 貢獻者 諶家蘭
黃冠穎關鍵詞 累積異常報酬
新聞報導
內容分析法
財報附註
cumulative abnormal return
financial news articles
content analysis
footnotes to financial statements日期 2015 上傳時間 13-七月-2015 11:05:36 (UTC+8) 摘要 新聞報導在現今社會中為最便利與即時的資訊來源，也是公司與管理階層用來發布年度表現與其他重要消息的管道。本研究想要去找出新聞報導的內容與股票市場的反應之間的關連性，以及財務報表附註提供比新聞報導更多的其他資訊。本研究以2013年度臺灣90家上市公司為樣本去探討股票市場與新聞報導及財報附註之間的關係。藉由內容分析法的方式去評估新聞報導與財報附註中的正向、負向情緒以及兩者之間的資訊差異以及兩者對股票市場的影響。藉由兩種不同的資訊來源，找出股票市場對於此兩者是否有不同的反應，並從中判斷兩種資訊內容的差異。本研究發現新聞報導中的正向情緒與股票市場有正向的關連性，然而無法顯著證明在市場反應方面，財報附註能提供比新聞報導更豐富的資訊。
Financial news articles are the most convenient and timely information in today’s world. Companies and managers can announce current year performance and other concurrent disclosures to investors and stakeholders by financial news articles. This study hopes to find the relationships between financial news articles and the stock market and the information content gap between financial news articles and footnotes to financial statements.This study uses 90 listed companies in TSE of 2013 to test stock market responses to the information content in the financial news articles and footnotes to financial statements. This study implements content-analysis technique, which count words for characterizing as optimistic and negative tone and helps to decide the abundancy of information content elaborated, to find the information content to stock market reactions and compare the information content gap between financial news articles and footnotes to financial statements. This study finds that optimistic sentiment expressed in financial news articles positively relates to the stock price movement. However, this study is unable to reach a conclusion that information disclosed in the footnotes to financial statements is significantly enough to represent the existence of information content gap as compared to financial news articles.參考文獻 Asquith, P., M. B. Mikhail, and A. S. Au. 2005. Information content of equity analyst reports. Journal of Financial Economics 75 (2):245-282.Baker, M., and J. Wurgler. 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance 61 (4):1645-1680.Baker, M., and J. Wurgler. 2007. Investor sentiment in the stock market. National Bureau of Economic Research Cambridge, Mass., USA.Beaver, W., R. Lambert, and D. Morse. 1980. The information content of security prices. Journal of Accounting and Economics 2 (1):3-28.Cecchini, M., H. Aytug, G. J. Koehler, and P. Pathak. 2010. Making words work: Using financial text as a predictor of financial events. Decision Support Systems 50 (1):164-175.Chen, K.-T., H.-M. Lu, T.-J. Chen, S.-H. Li, J.-S. Lian, and H. Chen. 2011. Giving context to accounting numbers: The role of news coverage. Decision Support Systems 50 (4):673-679.Daniel, K. 2004. Discussion of: “Testing behavioral finance theories using trends and sequences in financial performance,” (by Wesley Chan, Richard Frankel, and S.P. Kothari). Journal of Accounting and Economics 38 (0):51-64.Davis, A. K. 2008. Managers’ Use of Pessimistic Tone Across Alternative Disclosure Outlets: Earnings Press Releases Versus MD&A. Paper read at Financial Economics and Accounting.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 (3):845-868.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 (3):804-837.Demers, E., and C. Vega. 2008. Soft information in earnings announcements: News or noise?: Federal Reserve Board.Engelberg, J. 2008. Costly information processing: Evidence from earnings announcements. Paper read at AFA 2009 San Francisco Meetings Paper.Fama, E. F. 1965. The behavior of stock-market prices. Journal of business:34-105.Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work*. The Journal of Finance 25 (2):383-417.Fama, E. F. 1991. Efficient capital markets: II. The Journal of Finance 46 (5):1575-1617.Fama, E. F., and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3-56.Francis, J., K. Schipper, and L. Vincent. 2002. Expanded disclosures and the increased usefulness of earnings announcements. The Accounting Review 77 (3):515-546.Garcia, D. 2013. Sentiment during recessions. The Journal of Finance 68 (3):1267-1300.Gidófalvi, G., and C. Elkan. 2001. Using news articles to predict stock price movements. Department of Computer Science and Engineering, University of California, San Diego.Gilson, R. J. 1986. The law and finance of corporate acquisitions: Foundation Pr.Henry, E. 2008. Are investors influenced by how earnings press releases are written? Journal of Business Communication 45 (4):363-407.Hirshleifer, D., and S. H. Teoh. 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 36 (1):337-386.Hirshleifer, D. A., and S. H. Teoh. 2009. The psychological attraction approach to accounting and disclosure policy. Available at SSRN 1359967.Holthausen, R. W., and R. L. Watts. 2001. The relevance of the value-relevance literature for financial accounting standard setting. Journal of Accounting and Economics 31 (1):3-75.Hoskin, R. E., J. S. Hughes, and W. E. Ricks. 1986. Evidence on the incremental information content of additional firm disclosures made concurrently with earnings. Journal of Accounting Research:1-32.Katz, S. B. 2001. Language and Persuasion in Biotechnology Communication with the Public: How to Not Say What You`re Not Going to Not Say and Not Say It.Kothari, S. P. 1992. Price Earnings Regressions in the Presence of Prices Leading Earnings - Earnings Level Versus Change Specifications and Alternative Deflators. Journal of Accounting & Economics 15 (2-3):173-202.Kothari, S. 2001. Capital markets research in accounting. Journal of Accounting and Economics 31 (1):105-231.Kothari, S. P., and R. G. Sloan. 1992. Information in prices about future earnings: Implications for earnings response coefficients. Journal of Accounting and Economics 15 (2):143-171.Lavrenko, V., M. Schmill, D. Lawrie, P. Ogilvie, D. Jensen, and J. Allan. 2000. Language models for financial news recommendation. Paper read at Proceedings of the ninth international conference on Information and knowledge management.Lee, C. M. 2001. Market efficiency and accounting research: a discussion of ‘capital market research in accounting’by SP Kothari. Journal of Accounting and Economics 31 (1):233-253.Levin, I. P., S. L. Schneider, and G. J. Gaeth. 1998. All frames are not created equal: A typology and critical analysis of framing effects. Organizational behavior and human decision processes 76 (2):149-188.Livnat, J., and R. R. Mendenhall. 2006. Comparing the post–earnings announcement drift for surprises calculated from analyst and time series forecasts. Journal of Accounting Research 44 (1):177-205.Ma, Z., O. R. Sheng, and G. Pant. 2009. Discovering company revenue relations from news: A network approach. Decision Support Systems 47 (4):408-414.Mahoney, W., and J. Lewis. 2004. The IR book.Mian, G. M., and S. Sankaraguruswamy. 2012. Investor sentiment and stock market response to earnings news. The Accounting Review 87 (4):1357-1384.Mittermayer, M.-A. 2004. Forecasting intraday stock price trends with text mining techniques. Paper read at System Sciences, 2004. Proceedings of the 37th Annual Hawaii International Conference on.Morris, M. W., O. J. Sheldon, D. R. Ames, and M. J. Young. 2005. Metaphor in stock market commentary: Consequences and preconditions of agentic descriptions of price trends. Papier de recherche.Muntermann, J. 2009. Towards ubiquitous information supply for individual investors: A decision support system design. Decision Support Systems 47 (2):82-92.Odean, T. 1998. Are investors reluctant to realize their losses? The Journal of Finance 53 (5):1775-1798.Ren, J. S., H. Ge, X. Wu, G. Wang, W. Wang, and S. Liao. 2013. Effective sentiment analysis of corporate financial reports. Paper read at Thirty Fourth International Conference on Information Systems, Milan.Sadique, S., F. H. In, and M. Veeraraghavan. 2008. The impact of spin and tone on stock returns and volatility: Evidence from firm-issued earnings announcements and the related press coverage. Available at SSRN 1121231.Schleicher, T. 2012. When is good news really good news? Accounting and Business Research 42 (5):547-573.Schumaker, R. P., Y. Zhang, C.-N. Huang, and H. Chen. 2012. Evaluating sentiment in financial news articles. Decision Support Systems 53 (3):458-464.Tama-Sweet, I. 2014. Changes in earnings announcement tone and insider sales. Advances in Accounting 30 (2):276-282.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., M. SAAR‐TSECHANSKY, and S. Macskassy. 2008. More than words: Quantifying language to measure firms` fundamentals. The Journal of Finance 63 (3):1437-1467.Tsao, A. 2002. When a stock’s rating and target collide. Business Week Online.Wuthrich, B., V. Cho, S.-W. Leung, K. Sankaran, and J. Zhang. 1998. Daily stock market forecast from textual web data. Paper read at Systems, Man, and Cybernetics, 1998. 1998 IEEE International Conference on. 描述 碩士
國立政治大學
會計研究所
102353022
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102353022 資料類型 thesis dc.contributor.advisor 諶家蘭 zh_TW dc.contributor.author (作者) 黃冠穎 zh_TW dc.creator (作者) 黃冠穎 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 13-七月-2015 11:05:36 (UTC+8) - dc.date.available 13-七月-2015 11:05:36 (UTC+8) - dc.date.issued (上傳時間) 13-七月-2015 11:05:36 (UTC+8) - dc.identifier (其他 識別碼) G0102353022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76412 - 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) 102353022 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 新聞報導在現今社會中為最便利與即時的資訊來源，也是公司與管理階層用來發布年度表現與其他重要消息的管道。本研究想要去找出新聞報導的內容與股票市場的反應之間的關連性，以及財務報表附註提供比新聞報導更多的其他資訊。本研究以2013年度臺灣90家上市公司為樣本去探討股票市場與新聞報導及財報附註之間的關係。藉由內容分析法的方式去評估新聞報導與財報附註中的正向、負向情緒以及兩者之間的資訊差異以及兩者對股票市場的影響。藉由兩種不同的資訊來源，找出股票市場對於此兩者是否有不同的反應，並從中判斷兩種資訊內容的差異。本研究發現新聞報導中的正向情緒與股票市場有正向的關連性，然而無法顯著證明在市場反應方面，財報附註能提供比新聞報導更豐富的資訊。 zh_TW dc.description.abstract (摘要) Financial news articles are the most convenient and timely information in today’s world. Companies and managers can announce current year performance and other concurrent disclosures to investors and stakeholders by financial news articles. This study hopes to find the relationships between financial news articles and the stock market and the information content gap between financial news articles and footnotes to financial statements.This study uses 90 listed companies in TSE of 2013 to test stock market responses to the information content in the financial news articles and footnotes to financial statements. This study implements content-analysis technique, which count words for characterizing as optimistic and negative tone and helps to decide the abundancy of information content elaborated, to find the information content to stock market reactions and compare the information content gap between financial news articles and footnotes to financial statements. This study finds that optimistic sentiment expressed in financial news articles positively relates to the stock price movement. However, this study is unable to reach a conclusion that information disclosed in the footnotes to financial statements is significantly enough to represent the existence of information content gap as compared to financial news articles. en_US dc.description.tableofcontents 1. INTRODUCTION 11.1 RESEARCH PURPOSE AND MOTIVATION 11.2 RESEARCH ISSUE 51.3 RESEARCH PROCESS 62. LITERATURE REVIEW 82.1 EFFICIENT MARKET HYPOTHESIS 82.2 SOURCES OF FINANCIAL INFORMATION 112.3 CONTENT ANALYSIS 132.4 DISSCUSSION 163. REASERCH METHOD 253.1 HYPOTHESIS DEVELOPMENT 253.2 DATA AND SAMPLE SELECTION 303.3 CONTENT ANALYSIS METHOD 353.4 REGRESSION MODEL 394. RESEARCH RESULTS AND ANALYSIS 424.1 DESCRIPTIVE EVIDENCE 424.2 EMPIRICAL RESULTS 475. CONCLUSION AND DISCUSSION 545.1 RESEARCH DISCUSSION AND CONTRIBUTION 545.2 LIMITATION AND FUTURE RESEARCH WORK 56REFERENCES 58APPENDIX 62 zh_TW dc.format.extent 1324345 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102353022 en_US dc.subject (關鍵詞) 累積異常報酬 zh_TW dc.subject (關鍵詞) 新聞報導 zh_TW dc.subject (關鍵詞) 內容分析法 zh_TW dc.subject (關鍵詞) 財報附註 zh_TW dc.subject (關鍵詞) cumulative abnormal return en_US dc.subject (關鍵詞) financial news articles en_US dc.subject (關鍵詞) content analysis en_US dc.subject (關鍵詞) footnotes to financial statements en_US dc.title (題名) 財務報導與財經新聞資訊內涵之差異分析研究 zh_TW dc.title (題名) Financial Reporting and Financial News - An Information Content Gap Analysis en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Asquith, P., M. B. Mikhail, and A. S. Au. 2005. Information content of equity analyst reports. Journal of Financial Economics 75 (2):245-282.Baker, M., and J. Wurgler. 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance 61 (4):1645-1680.Baker, M., and J. Wurgler. 2007. Investor sentiment in the stock market. National Bureau of Economic Research Cambridge, Mass., USA.Beaver, W., R. Lambert, and D. Morse. 1980. The information content of security prices. Journal of Accounting and Economics 2 (1):3-28.Cecchini, M., H. Aytug, G. J. Koehler, and P. Pathak. 2010. Making words work: Using financial text as a predictor of financial events. Decision Support Systems 50 (1):164-175.Chen, K.-T., H.-M. Lu, T.-J. Chen, S.-H. Li, J.-S. Lian, and H. Chen. 2011. Giving context to accounting numbers: The role of news coverage. Decision Support Systems 50 (4):673-679.Daniel, K. 2004. Discussion of: “Testing behavioral finance theories using trends and sequences in financial performance,” (by Wesley Chan, Richard Frankel, and S.P. Kothari). Journal of Accounting and Economics 38 (0):51-64.Davis, A. K. 2008. Managers’ Use of Pessimistic Tone Across Alternative Disclosure Outlets: Earnings Press Releases Versus MD&A. Paper read at Financial Economics and Accounting.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 (3):845-868.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 (3):804-837.Demers, E., and C. Vega. 2008. Soft information in earnings announcements: News or noise?: Federal Reserve Board.Engelberg, J. 2008. Costly information processing: Evidence from earnings announcements. Paper read at AFA 2009 San Francisco Meetings Paper.Fama, E. F. 1965. The behavior of stock-market prices. Journal of business:34-105.Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work*. The Journal of Finance 25 (2):383-417.Fama, E. F. 1991. Efficient capital markets: II. The Journal of Finance 46 (5):1575-1617.Fama, E. F., and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3-56.Francis, J., K. Schipper, and L. Vincent. 2002. Expanded disclosures and the increased usefulness of earnings announcements. The Accounting Review 77 (3):515-546.Garcia, D. 2013. Sentiment during recessions. The Journal of Finance 68 (3):1267-1300.Gidófalvi, G., and C. Elkan. 2001. Using news articles to predict stock price movements. Department of Computer Science and Engineering, University of California, San Diego.Gilson, R. J. 1986. The law and finance of corporate acquisitions: Foundation Pr.Henry, E. 2008. Are investors influenced by how earnings press releases are written? Journal of Business Communication 45 (4):363-407.Hirshleifer, D., and S. H. Teoh. 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 36 (1):337-386.Hirshleifer, D. A., and S. H. Teoh. 2009. The psychological attraction approach to accounting and disclosure policy. Available at SSRN 1359967.Holthausen, R. W., and R. L. Watts. 2001. The relevance of the value-relevance literature for financial accounting standard setting. Journal of Accounting and Economics 31 (1):3-75.Hoskin, R. E., J. S. Hughes, and W. E. Ricks. 1986. Evidence on the incremental information content of additional firm disclosures made concurrently with earnings. Journal of Accounting Research:1-32.Katz, S. B. 2001. Language and Persuasion in Biotechnology Communication with the Public: How to Not Say What You`re Not Going to Not Say and Not Say It.Kothari, S. P. 1992. Price Earnings Regressions in the Presence of Prices Leading Earnings - Earnings Level Versus Change Specifications and Alternative Deflators. Journal of Accounting & Economics 15 (2-3):173-202.Kothari, S. 2001. Capital markets research in accounting. Journal of Accounting and Economics 31 (1):105-231.Kothari, S. P., and R. G. Sloan. 1992. Information in prices about future earnings: Implications for earnings response coefficients. Journal of Accounting and Economics 15 (2):143-171.Lavrenko, V., M. Schmill, D. Lawrie, P. Ogilvie, D. Jensen, and J. Allan. 2000. Language models for financial news recommendation. Paper read at Proceedings of the ninth international conference on Information and knowledge management.Lee, C. M. 2001. Market efficiency and accounting research: a discussion of ‘capital market research in accounting’by SP Kothari. Journal of Accounting and Economics 31 (1):233-253.Levin, I. P., S. L. Schneider, and G. J. Gaeth. 1998. All frames are not created equal: A typology and critical analysis of framing effects. Organizational behavior and human decision processes 76 (2):149-188.Livnat, J., and R. R. Mendenhall. 2006. Comparing the post–earnings announcement drift for surprises calculated from analyst and time series forecasts. Journal of Accounting Research 44 (1):177-205.Ma, Z., O. R. Sheng, and G. Pant. 2009. Discovering company revenue relations from news: A network approach. Decision Support Systems 47 (4):408-414.Mahoney, W., and J. Lewis. 2004. The IR book.Mian, G. M., and S. Sankaraguruswamy. 2012. Investor sentiment and stock market response to earnings news. The Accounting Review 87 (4):1357-1384.Mittermayer, M.-A. 2004. Forecasting intraday stock price trends with text mining techniques. Paper read at System Sciences, 2004. Proceedings of the 37th Annual Hawaii International Conference on.Morris, M. W., O. J. Sheldon, D. R. Ames, and M. J. Young. 2005. Metaphor in stock market commentary: Consequences and preconditions of agentic descriptions of price trends. Papier de recherche.Muntermann, J. 2009. Towards ubiquitous information supply for individual investors: A decision support system design. Decision Support Systems 47 (2):82-92.Odean, T. 1998. Are investors reluctant to realize their losses? The Journal of Finance 53 (5):1775-1798.Ren, J. S., H. Ge, X. Wu, G. Wang, W. Wang, and S. Liao. 2013. Effective sentiment analysis of corporate financial reports. Paper read at Thirty Fourth International Conference on Information Systems, Milan.Sadique, S., F. H. In, and M. Veeraraghavan. 2008. The impact of spin and tone on stock returns and volatility: Evidence from firm-issued earnings announcements and the related press coverage. Available at SSRN 1121231.Schleicher, T. 2012. When is good news really good news? Accounting and Business Research 42 (5):547-573.Schumaker, R. P., Y. Zhang, C.-N. Huang, and H. Chen. 2012. Evaluating sentiment in financial news articles. Decision Support Systems 53 (3):458-464.Tama-Sweet, I. 2014. Changes in earnings announcement tone and insider sales. Advances in Accounting 30 (2):276-282.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., M. SAAR‐TSECHANSKY, and S. Macskassy. 2008. More than words: Quantifying language to measure firms` fundamentals. The Journal of Finance 63 (3):1437-1467.Tsao, A. 2002. When a stock’s rating and target collide. Business Week Online.Wuthrich, B., V. Cho, S.-W. Leung, K. Sankaran, and J. Zhang. 1998. Daily stock market forecast from textual web data. Paper read at Systems, Man, and Cybernetics, 1998. 1998 IEEE International Conference on. zh_TW
