法人說明會能否促進市場價格發現?以台灣股票市場為例

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姓名

呂學典(Hsueh-Tien Lu) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

法人說明會能否促進市場價格發現?以台灣股票市場為例
(Do conference calls facilitate market price discovery? Evidence from Taiwan)

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至系統瀏覽論文 ( 永不開放)

摘要(中)

本研究探討是否法人說明會能讓市場與分析師更快速的反應當年度盈餘中應計項目成分對未來盈餘的隱含意義。以2001至2014年間，台灣上市櫃公司為樣本，我們發現：(1)市場對於召開法人說明會公司之盈餘資訊，在宣告後12個月內的延遲反應較為輕微；(2)公司召開法人說明會能明顯提升分析師盈餘預測準確程度。本研究結果顯示透過法人說明會傳遞盈餘中應計項目相關資訊，能提升投資人與分析師對於盈餘宣告的反應效率。

摘要(英)

This study examines whether conference calls accelerate the speed at which the market and analysts understand the implications of the accrual components of current earnings on future earnings. Using Taiwan’s listed firms from 2001 through 2014, we find that: (1) delayed market reactions to earnings news over the next 12 months are smaller for firms hosting conference calls; and (2) conference calls are associated with a significant improvement in the accuracy of analysts’ earnings forecasts. Our results provide evidence that conference calls improve the efficacy of investors’ and analysts’ reactions to earnings announcements by conveying information on the accrual components of reported earnings.

關鍵字(中)

★ 應計項目
★ 分析師
★ 法人說明會
★ 市場延遲反應

關鍵字(英)

★ Accruals
★ Analysts
★ Conference calls
★ Delayed market reactions

論文目次

Abstract in Chinese........................................................................................................ i
Abstract in English...................................................................................................... ii
Table of Contents...................................................................................................... iii
List of Tables............................................................................................................... iv
List of Figures............................................................................................................. iv
Chapter 1. Introduction................................................................................................. 1
Chapter 2. Literature review......................................................................................... 7
　　2.1. The information content of conference calls..................................................... 7
　　2.2. Disclosure and accrual anomaly....................................................................... 10
　　2.3. Analyst underreaction and accruals.................................................................. 11
Chapter 3. Hypotheses development............................................................................. 12
　　3.1. The effect of conference calls on delayed market reactions to accruals........... 12
　　3.2. The effect of conference calls on analysts’ earnings forecast errors................ 14
Chapter 4. Sample selection and descriptive statistics................................................ 15
　　4.1. Sample selection................................................................................................ 16
　　4.2. Descriptive statistics.......................................................................................... 19
Chapter 5. Empirical results.......................................................................................... 25
　　5.1. Conference calls and subsequent stock returns................................................. 25
　　5.2. Discretionary accruals...................................................................................... 31
　　5.3. Conference calls and one-year-ahead earnings forecast errors....................... 33
　　5.4. Conference calls and one-year-ahead earnings forecast dispersions............... 39
Chapter 6. Robustness tests........................................................................................... 44
　　6.1. Selection bias..................................................................................................... 44
　　6.2. Conducting our tests with working capital accruals......................................... 47
　　6.3. Using ranks in lieu of the actual values of the explanatory variables.............. 48
　　6.4. Using an alternative window to identify earnings-related conference calls..... 48
　　6.5. Within-firm analyses.......................................................................................... 49
Chapter 7. Conclusion.................................................................................................... 49
References....................................................................................................................... 53
Appendix 1. Variable definitions................................................................................... 58

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指導教授

曹壽民(Shou-Min Tsao)

審核日期

2016-9-21

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