年報揭露資訊品質之市場效果;Market Effects of Annual Report Disclosure Quality

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题名:	年報揭露資訊品質之市場效果;Market Effects of Annual Report Disclosure Quality
作者:	劉和利;LIU, HO-LI
贡献者:	企業管理學系
关键词:	可驗證性;資訊揭露;資金成本;股票流動性;報酬波動性;文字探勘;Verifiability;Information Disclosure;Cost of Capital;Stock Liquidity;Return Volatility;Textual Analysis
日期:	2025-08-14
上传时间:	2025-10-17 11:43:06 (UTC+8)
出版者:	國立中央大學
摘要:	本研究旨在探討年報中敘述性揭露的「可驗證性」(Verifiability) 對資本市場所產生的經濟效果。在充滿主觀判斷的敘述性文本中，可驗證性（即陳述能被客觀數據支持的程度）是區分可靠「硬資訊」與模糊「軟資訊」的關鍵，然而其對市場的全面影響尚待系統性檢驗。本研究以台灣 2014 年至 2023 年全體上市櫃公司為樣本，透過文字探勘技術，以年報中非年份相關的數字詞彙密度來量化「可驗證性」。接著，運用多元迴歸模型，檢驗可驗證性對三個核心資本市場指標的影響：資金成本、股票流動性（以買賣價差衡量）及股票報酬波動性。實證結果顯示，在控制其他公司特徵與年度效果後，年報的可驗證性愈高，公司的（1）資金成本顯著愈低、（2）買賣價差顯著愈窄（流動性愈高），以及（3）股票報酬波動性顯著愈低。此結果意味著，提供更具體、可查證的資訊，能有效降低投資者面臨的資訊不對稱與估計風險，從而全面改善公司的資本市場表現。為進一步釐清不同資訊品質維度的相對重要性，本研究亦進行額外測試，檢驗「絕對語調」（表達風格）與「可比性」（結構形式）的效果。結果發現，這兩個維度的影響力相對局限，主要體現在提升流動性上。此對比結果更突顯了「可驗證性」此一「內容實質」維度的根本重要性。本研究的貢獻在於，從實證上區分了不同資訊品質維度的經濟意涵，並為企業管理者與監管單位提供了具體的策略指引，即強化資訊揭露的客觀性與可驗證性，是提升企業價值與市場效率的有效途徑。 ;This study investigates the economic consequences of "verifiability" in the narrative disclosures of annual reports. In a landscape of subjective textual information, verifiability—the extent to which statements can be substantiated by objective data—is crucial for distinguishing reliable "hard information" from ambiguous "soft information." However, its comprehensive market impact has yet to be systematically examined. Using a sample of all companies listed on the Taiwan Stock Exchange (TWSE) and Taipei Exchange (TPEx) from 2014 to 2023, this study employs textual analysis to quantify verifiability by measuring the density of non-year-related numerical terms in annual reports. We then utilize multiple regression models to test the effect of verifiability on three key capital market outcomes: cost of capital, stock liquidity (proxied by the bid-ask spread), and stock return volatility. The empirical results show that, after controlling for various firm characteristics and year fixed effects, higher annual report verifiability is significantly associated with (1) a lower cost of capital, (2) a narrower bid-ask spread (higher liquidity), and (3) lower stock return volatility. These findings imply that providing more concrete and verifiable information effectively reduces information asymmetry and estimation risk for investors, thereby comprehensively improving a firm′s capital market performance. To further delineate the relative importance of different disclosure quality dimensions, this study also conducts additional tests on "unsigned tone" (expressive style) and "comparability" (structural form). The results show that the effects of these dimensions are comparatively limited, primarily influencing stock liquidity. This contrast highlights the fundamental importance of verifiability, which represents the "substantive content" of disclosure. This research contributes to the literature by empirically distinguishing the economic implications of different information quality dimensions and offers practical guidance for managers and regulators, suggesting that enhancing the objectivity and verifiability of disclosures is an effective strategy for increasing firm value and market efficiency.
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