非財務型危機對台灣上市公司股價的影響; Non-financial crisis impact on the Taiwan-based listed company's share price.

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题名:	非財務型危機對台灣上市公司股價的影響;Non-financial crisis impact on the Taiwan-based listed company's share price.
作者:	顏劭軒;Shao hsuan
贡献者:	企業管理研究所
关键词:	資訊不對稱;異常報酬;信號發射;Information asymmetry;Abnormal returns;Signal Theory
日期:	2011-07-19
上传时间:	2012-01-05 15:07:38 (UTC+8)
摘要:	信號發射理論說明了投資者可以藉由企業所發出的信號，做為財務預測的依據，消除企業與投資者間資訊不對稱的情況，然而企業所放出的好消息，未必代表企業將來表現的會更好，但企業出現壞消息、產生危機時，則表示企業目前的表現確實是被高估的，公司股價有被下修的必要。財務型危機，損失容易計算，投資者可依據公司發佈的相關財報對該公司做出投資決策的調整；但發生非財務型危機時，損失不易以金錢衡量，此時投資者資訊的來源來自媒體的相關報導。依據效率市場理論，在半強勢效率市場下，公司的股價會反應現有已公開資訊，即事件發生時，市場應立刻調整至最適價位，而DeBondt and Thaler（1985）提出的代表性（Representativeness）原則，指出投資者常常傾向於反應過度；Vijay Singal（2004）則提出了保守（conservation）的論點，發現投資者對於新資訊發生所做的調整速度非常緩慢，Andrew Lo and Craig Mackinlay（1988）的也認同上述的論點，其研究指出，一個好消息或壞消息不斷被宣告時，投資者無法認知到這眾多的資訊其實全是在描述同一件事情，使投資者在事件第一次宣告時，時常反應不完全，而且對之後的每一次宣告又再度做出回應，使市場股價的調整出現過度且緩慢慢反應的情況。而資訊的傳遞需要依靠媒體，當公司發生非財務型危機事件時，媒體大量的報導是否會造成投資者的過度反應，媒體對該事件的評價是否能左右股價的變動，這是本研究要探討的主題。本研究利用事件研究法，研究台灣上市公司在發生非財務型危機時，是否會產生負向的異常報酬，而產生的異常報酬和新聞報紙的報導是否關。而研究結果發現，非財務型危機事件發生，在事件日當天和事發後一天皆會產生負向的異常報酬；而報紙報導篇數較多的事件，得到的負向異常報酬亦高於篇數較少的事件；報紙的負面評價亦會影響公司的股價，負面評價比例高的事件，負向異常報酬高於比例低的事件，表示當危機發生時，媒體的報導對公司股價變動確實會有影響。 Signaling theory tell us Investors based on information provided by enterprises to make investment decisions. With the release of the signal to reduce the information asymmetry between companies and investors. Enterprise release of good news, not necessarily represent the company's future performance will be better. Enterprises have bad news, resulting in a crisis, said the company's current performance is indeed overvalued, the company's share price has been under repair necessary. Type of financial crisis, the loss is easily calculated, investors can be based on relevant company's earnings report to make investment decisions adjustment; but non-financial type of crisis, the loss is not easy to measure, then investors can only rely on media reports to make investment decisions Based on efficient market theory, in the semi-strong efficient market, the company's share price will reflect the public information that the event occurs, the market should immediately adjust to the optimal price. The DeBondt and Thaler (1985) proposed Representativeness principle that investors often tend to overreact; Vijay Singal (2004) proposed conservation, he thought that investors react slowly to new information. Andrew Lo and Craig Mackinlay (1988) also agree with the above point, the study pointed out that good news or bad news was announced, Investors are not understanding that a large number of information describing all the same thing, so Investors do response to any information, It make market share over-adjustment and slow reaction.Could media coverage result in investors' overreaction? Could evaluation of the media make stock price changes? Which is the subject of this research to explore. This study use event study method to test the listed companies in Taiwan in the event of non-financial type of crisis, the impact of the media reports. The results showed that the more reports or more worse evaluations, generate more negative abnormal returns but also the more affected the longer the time.
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