公司非預期盈餘之市場反應： 利用多種非預期盈餘模型進行比較

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姓名

賈玉如(Ru-Yu Chia) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

公司非預期盈餘之市場反應：利用多種非預期盈餘模型進行比較
(A Study on the Market Reaction to Earnings Surprises: A Comparison of Different SUE Models)

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摘要(中)

本研究探討長短期的市場反應是否會因不同形式的未預期盈餘所改變。我們使用時間序列以及分析師預期形成的八種模型去計算未預期盈餘。此八種模型之間的相關性顯示，雖然模型間彼此有相同的資訊內容，但每一種模型都仍有其他模型沒有、僅自己獨有的特別資訊。實證結果發現使用分析師預期的未預期盈餘模型反應出的短期市場反應會高於使用時間序列的未預期盈餘模型，尤其是使用分析師預測的中位數作為預期盈餘。在長期的市場反應方面，我們發現大部分的盈餘宣告後股價延遲反應發生在贏家投組中，而使用時間序列的未預期盈餘模型更為顯著，該發現表示當使用分析師預期所形成的未預期盈餘模型反應不足相對較小。除此之外，雖然使用分析師預測的模型解釋較多，但時間序列和分析師預期的模型都仍有大量能力去預測未來股價報酬。市場反應的延後會因不同定義的未預測盈餘模型而有所改變，但較少證據顯示盈餘宣告後股價的延遲反映是由於使用某一種特定模型所產生的。

摘要(英)

This study examines whether the short-term and long-term market reactions to earnings surprises (SUE) can be altered by different styles of SUE. Eight SUE models, including time-series based SUE models and analyst forecast based SUE models, are implemented into SUE calculation. Correlations among eight models show that, though sharing some common information contents, each model has a certain amount of information contents which are not related to others. We find that the short-term market reactions using analyst forecast based SUE models, especially the model using analyst mean as expected earnings, are higher than those using time-series based SUE models. In terms of long-term market reaction, most of post-earnings-announcement drifts are from the winner portfolio and more significant using time-series based SUE models, indicating that the underreaction to SUE is relatively smaller when using analyst forecast based SUE model. In addition, although analyst forecast based SUE explains more, time-series based SUE and analyst forecast based SUE both have substantial abilities to anticipate future stock returns. Overall, the delayed market reactions are altered by different definitions of SUE but less evidence shows that post-earnings-announcement is an illusion from a specific SUE model.

關鍵字(中)

★ 非預期盈餘
★ 市場反應
★ 短期反應
★ 長期反應
★ 盈餘公告後股價延遲反應
★ 分析師預測之未預期盈餘模型
★ 時間序列之未預測盈餘模型

關鍵字(英)

★ Earnings surprises
★ SUE
★ Market reaction
★ Short-term reaction
★ Long-term reaction
★ Post-earnings-announcement drift
★ Analyst forecast based SUE model
★ Time-series based SUE model

論文目次

List of Tables V
1 Introduction 1
2 Literature Review 2
2.1 Post-earnings-announcement Drift 2
2.2 Delayed Price Response 3
2.3 Detailed Information in Earnings: Revenue Surprises 4
2.4 Comparison of Earnings Surprises Models 5
3 Research Questions 6
4 Methodology 7
4.1 Measures of Earnings Surprises 7
4.2 Comparison of Various SUE Models 13
4.3 Compute Abnormal Return 14
5 Data and Empirical Work 15
5.1 Data 15
5.2 Earnings Surprises Statistics 16
5.3 SUE Correlation 17
6 Empirical Results 18
6.1 Short-term Reaction 18
6.2 Long-term Performance 21
6.3 Regression Analysis 23
7 Conclusion 26
References 28
Appendix A 47
Appendix B 49
Apendix B.1 Buy-and-hold Return 49
Apendix B.2 Excess Buy-and-hold Return 57
Apendix B.3 Cumulative Abnormal Return 65

參考文獻

Ball, Ray and Philip Brown (1968), “An Empirical Evaluation of Accounting Income Numbers”, Journal of Accounting Research, 6, 159-178.
Bernard, Victor L. and Jacob K. Thomas (1989), “Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?”, Journal of Accounting Research, 27, 1-36.
Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok (1996), “Momentum Strategies”. Journal of Finance, 51, 1681-1713.
Foster, George (1977), “Quarterly Accounting Data: Time-Series Properties and Predictive-Ability Results”, Accounting Review, 52, 1-21.
Foster, George, Chris Olsen, and Terry Shevlin (1984), “Earnings Releases, Anomalies, and the Behavior of Security Returns”, Accounting Review, 59, 574-603.
Jegadeesh, Narasimhan and Joshua Livnat (2006a), “Post-Earnings-Announcement Drift: The Role of Revenue Surprises”, Financial Analysts Journal, 62, 22-34.
Jegadeesh, Narasimhan and Joshua Livnat (2006b), “Revenue Surprises and Stock Returns”, Journal of Accounting and Economics, 41, 147-171
Livnat, Joshua and Richard R. Mendenhall (2006), “Comparing the Post–Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts”, Journal of Accounting Research, 44, 177-205.

指導教授

陳鴻毅(Hong-Yi Chen)

審核日期

2013-7-18

推文