盈餘重述對宣告公司之衝擊

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姓名

朱志弘(Chih-Hung Chu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

盈餘重述對宣告公司之衝擊
(The Impact of Earnings Restatements Announcements on Restatement Firms--- An Intraday Analysis)

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摘要(中)

本文使用2002年美國公司的日內資料對盈餘重述事件對公司股價的影響進行分析，並以市場微結構的分析方法為主。
結果發現盈餘重述事件對宣告公司的股價有負面的影響，而且此影響在短期內即被反應在股價內，而且在事件發生幾分鐘內，每分鐘交易次數有明顯的增加，另外，事件期的價差與有效價差均較估計期低，事件期的的價格深度則較估計期為高，相較於估計期的交易量，事件期的交易量則在事件發生一天前暴增，在事件發生時差距達到最大。在多變量分析中，交易量與價差有負向的關係，卻與價格深度有正向的關係。

摘要(英)

This paper uses the data of intraday of the American company of 2002 the earnings restatements that the impact on company’’s stock price of the incident will be analyzed correctly, the analytical method relies mainly on micro-structure analytical method of the market.
Finding finally that earnings restatements that there is negative influence in declaring the stock price of the company in the incident, and this influence is reflected in the stock price in a short time, and happen in several minutes in the incident, trade number of times see a obvious increase in one minute. In addition, spread, effective spread of event period is also low relative to the estimation period. Depth of event period is higher than estimation period. Relative to trading volume of estimation period, the trading volume increase suddenly before the event happen and it reach the biggest difference at the event time. In the multivariate analysis, trading volume and spread have positive relation, but have negative relation to depth.

關鍵字(中)

★ 盈餘重述

關鍵字(英)

★ restate
★ restatement
★ restating
★ restates
★ restated

論文目次

1. Introduction 1
2. The review of earnings restatements literatures 5
3. Data and Sample selection 8
4. Methodology 12
4.1 The Impact of Earnings Restatements on Price and Trading 12
4.2 The Impact of Earnings Restatements on Liquidity 14
5. The Impact of Earnings Restatements on Price and Trading 18
5.1 Magnitude of Price Response 18
5.2 Speed of Price Response 20
5.3 Cross-Sectional Determinants of Price Impact 21
5.4 Trading Profitability 23
5.5 Trading Activity 25
6. The Impact of Earnings Restatements on Liquidity 27
6.1 Univariate Test Results 27
6.2 Multivariate Test Results 29
7. Conclusion 33
References 36

參考文獻

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指導教授

周冠男、陳聖賢
(Robin K. Chou、Sheng-Syan Chen)

審核日期

2006-1-25

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