盈餘重述對宣告公司之衝擊

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：22

、訪客IP：3.12.148.180

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)

相關論文

★ 上市公司財務主管異動宣告對股價報酬與企業經營績效之影響	★ 國內綜合證券商轉投資海外子公司內部控制實務探討
★ IPO承銷新制對市場波動性、效率性及流動性之影響	★ 探討影響本益比之各項變數－IC設計產業之實證研究
★ 避險基金交易策略在台灣市場獲利性之研究	★ 財富管理業務與顧客行為之研究－以本國銀行業為例
★ 購併活動與資訊揭露—以公開收購為例	★ 臺灣證券期貨市場後台作業整合模式之研究
★ 道瓊指數、日經225指數、美國及日本10年期公債利率與日圓匯率之相互關係	★ 銀行投資公債業務之探討分析
★ 所得稅法新制對債券流通市場之影響	★ 私募基金入主國內銀行之認購價格實證研究-以凱雷入主大眾銀行為例
★ 虛擬銀行之可行性分析－以HSBC為例	★ 台灣中小企業融資、客群經營模式與經營策略問題之探討-以C銀行為例
★ 美元兌新台幣匯率與台灣股市關聯性之理論探討與實證分析	★ 動態投資組合保險策略之應用— 以紐約證券交易所發行之ETFs為實證

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 ( 永不開放)

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

Bessembinder, 2003, Issues in assessing trade execution costs, Journal of Finance Market 6, 233-257.
Busse, Green T. C., 2002, Market efficiency in real time, Journal of Financial Economics 65, 415-437.
Callen, J. L., Livnat J. and Segal D., 2003, Accounting restatements: Are they always bad news for investors?, University of Toronto.
Chordia, Roll R., and Subrahmanyam A., 2001, Market liquidity and trading activity, Journal of Finance 56, 577-605.
Easley, O’Hara M., 1992, Time and the process of security price adjustment, Journal of Finance 47, 577-605.
Ells, Michaely R., and O’Hara M., 2000, The accuracy of trade classification rules: evidence from Nasdaq, Journal of Finance and Quantitative Analysis 35, 529-551.
Elayzn, Li J., and Meyer T. O., 2003, Accounting irregularities, management compensation structure and information asymmetry, Southwest Missouri State University.
Harris, Raviv A., 1993, Differences of opinion make a horse race, Review of Financial Studies 6, 473-506.
Livnat, Tan C. E. L, 2004, Restatements of Quarterly Earnings: Evidence on Earnings Quality and Market Reactions to the Originally Reported Earnings, New York University.
Kim, Verrecchia R. E., 1994, Market liquidity and volume around earnings announcements, Journal of Accounting and Economics 17, 41-67.
Lee, Ready M., 1991, Inferring trade direction from intraday data, Journal of Finance 46, 733-746.
Lee, Mucklow B., and Ready M. J., 1993, Spreads, depths and the impact of earnings information: an intraday analysis, The Review of Financial Studies 6, 345-374.
Libby, Mathieu R., and Robb S. W. G., 2002, Earnings announcements and information asymmetry: an intra-day analysis, Contemporary Accounting Research 19, 449-472.
Hirschey, Palmrose Z., and Scholz S., 2003, Long-term Market Underreaction to Accounting Reststements, University of Kansas.
Wu, 2002, Earnings restatements: A capital market perspective, New York University.
Richardson, Tuna I., and Wu M., 2002, Predicting earnings management: The case of earnings restatements, University of Pennsylvania.
Richardson, Tuna I., and Wu M., 2003, Capital market pressures and earnings management: The case of earnings restatements, University of Pennsylvania.
Kedia, 2003, Do executive stock options generate incentives for earnings management? Evidence from accounting restatements, Harvard Business School & Ohio State University.
Soffer, Thiagarajan S. R., and Walther B. R., 2002, Earnings preannouncement strategies, Review of Accounting Studies 5, 5-26.
Palmrose, Richardson V. J., Scholz S., 2004, Determinants of market reactions to restatement announcements, Journal of Accounting and Economics 37, 59-89.

指導教授

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

審核日期

2006-1-25

推文