早期的購併股價績效研究，多以短期CAR模型作為衡量方式，但購併行為的促成與否，多以長期是否有綜效的出現來決定。故本研究以短期與長期股價績效衡量之結果，來看市場是否可以真實在購併當下反映出購併兩至三年後的價值，發現(1)購併股價績效以短期方式衡量都沒有異常報酬的出現，顯示市場並不預期購併對於主併公司會出現綜效或損失，所以股價並沒有異常報酬；(2)以長期方式衡量，則會因使用的模型不同而使結果出現分歧，全體、非金融、相關樣本長期績效以AMAR及BHAR模型衡量，會出現負向異常報酬，顯示市場不能在購併當時立即股價反應購併價值；以三因子模型衡量，卻顯示無異常報酬，可能原因為其與AMAR、BHAR模型在選取預期報酬的標準不同導致。(3)金融樣本則是在長、短期都不會出現異常報酬，表示金融業購併沒有綜效出現，且此一事實會立刻被市場反應。(4)非相關樣本在長期績效的衡量上以三種不同模型會得到三種不同結果，無法確實區分出其長期績效為何。(5)綜效動機下的購併行動以長期方式檢測有負向異常報酬，而短期則無，可能是因為在分群時被資訊誤導，自傲假設或代理人問題的購併行動被誤判為綜效動機，導致長期市場發現沒有綜效而調整股價，使股價下跌。(6)非綜效動機下的購併樣本，以長、短期方式檢測都無異常報酬，表示在購併宣告時，市場已經認為將來該購併不會有綜效出現，因此股價沒有異常反應，而長期觀之，市場也確實沒有異常報酬的產生，完全依照市場機制的運行。 關鍵字：購併、長期績效、短期股價績效、市場反應

恩隆（Enron）等管理當局舞弊案，是資訊不對稱所造成。為減少資訊不對稱之問題，各國對公司資訊揭露之範圍與內容規範甚多，沙氏法案（Sarbanes-Oxley Act of 2002）對公司財務揭露之要求即為例證，惟資訊不對稱之情形在資本市場中仍然很嚴重。 本文探討在市場資訊不對稱之情形下，投資人做投資決策時，是否考量公司資訊揭露之程度。本研究以Ohlson (1995)、Barth (1998)、Sloan (1996)及Fama and French (1992, 1995)作為理論基礎建構模型，探討資訊揭露程度對公司價值之影響。具體而言，本研究將揭露程度分為：「財務與營運」、「董事會及股權結構」及「公司網站」三類，針對傳統產業公司之資訊揭露程度與股價、權益市值及股票報酬等三類公司價值之關係進行實證研究。 實證結果發現，除了會計資訊對公司價值具有攸關性外，公司整體資訊揭露程度對公司之價值亦有顯著之正向影響。其中，「財務與營運」的揭露程度對三類公司價值均具有顯著的正向關係，「董事會及股權結構」的揭露程度對股價與權益市值具有顯著之正向關係，「公司網站」的揭露程度則與各公司價值間皆僅為正向但不顯著之關係。 / Information asymmetry may cause serious business fraud like Enron case. Countries around the word devote much effort enforcing regulation on the disclosure financial information, such as the requirements of Sarbanes-Oxley Act of 2002 in the USA. Based on Ohlson (1995), Barth (1998), Sloan (1996), and Fama and French (1995), this study investigates the market reaction to the financial information disclosure. The disclosure of financial information is decomposed into three categories including financial and operating disclosure, board and ownership structure disclosure, and website disclosure. How the stock price, market value and stock return are related to these financial disclosures is examined. As the results show, in addition to the fact that the accounting information is value relevant, the comprehensive financial disclosure has significantly positive effect on stock price, market value, and stock return, as the financial and operating disclosure does. However, the disclosure of board and ownership structure has significant positive effect only on both stock price and market value, but the market does not have significant reaction to the financial disclosure on website.

為了使公司帳面價值符合穩健原則，我國財務會計準則委員會於民國九十三年七月一日公布財務會計準則公報第三十五號 -- 「資產減損之會計處理」。此公報規定當資產之帳面價值高於可回收金額，對於超過的部分即須認列減損損失。本文之目的即在於藉由探討資產減損認列之決定因素，係經濟因素或報導誘因，以瞭解第三十五號公報之實施是否真能達到當初制定之目的，而使公司財報更為透明，更能反映公司的經營績效與價值，而非淪為管理階層盈餘管理之工具。此外，本文亦探討公司資產減損之認列與其股價之關係，以瞭解投資人對資產減損資訊之反應，以及第三十五號公報對市場之影響。 本研究之主要發現如下：（1）國內上市公司認列資產減損之決定因素主要係經濟因素，但亦有藉以平穩其盈餘之現象；以及（2）整體而言，資產減損對股價不具有顯著之影響力，顯示市場對於資產減損並無顯著之反應。但市場對於未提前適用之公司所認列之資產減損，則有顯著之負向反應。 / In July 2004, Financial Accounting Standards Board in Taiwan issued SFAS No. 35: Accounting for Impairment of Assets, to enhance the conservatism in corporate financial statements. SFAS No. 35 requires that when an asset’s book value is lower than its recoverable amount, a company should recognize the difference as an impairment loss. The purpose of this study is to investigate the determinants (economic factors and reporting incentives) of reported impairment losses to evaluate whether SFAS No. 35 achieves its purpose. In addition, this study examines the relationship between reported impairment losses and stock prices to determine the impact of SFAS No. 35 on the capital market investors. Our empirical results show that economic factors are the main determinants of reported impairment losses of the listed firms in Taiwan. There is also a high association between reported impairment losses and corporate “income smoothing” behavior. Overall, reported impairment losses do not have significant impact on stock prices. However, after excluding the early adopting firms, the capital market reacts negatively to reported impairment losses.

本論文主要是應用過去探討盈餘反應係數（ERC）的研究模型，驗證公司與分析師預測值間正負預測誤差的方向性與幅度對於市場反應之影響；並且在公司持續一致存在正/負向誤差的情況之下，探討市場對於此種趨勢的反應，並進一步以實證結果分析影響經理人員進行盈餘管理的可能原因。主要的研究問題有三： (1)當公司超出分析師預測時，市場獎勵公司的程度，是否更甚於當公司未達分析師預測時，市場懲罰公司的程度? (2)在控制未預期盈餘（unexpected earnings）的幅度之下，當公司超出分析師預測時，市場獎勵公司的程度，是否更甚於當公司未達分析師預測時，市場懲罰公司的程度? (3)當公司存在持續一致報導正/負向預測誤差趨勢的情況下，市場對於公司的此種趨勢給與的獎勵或懲罰的性質及程度為何? 本研究係以在台灣證券市場上市公司為研究對象，研究期間為民國77年至民國90年共計14年。研究方法分別使用Pooled regression與Annual regression兩種迴歸模式分別對樣本觀察值進行複迴歸。共計三個迴歸模型，六個迴歸結果。 本研究結果如下： 一、在是否超過分析師預測方面，當公司超過分析師預測時所得到的市場獎勵程度，並不一定大於當公司未能達到分析師預測時所得到市場懲罰的程度。因此就此部分之結論而言，公司為了得到市場獎勵而從事盈餘管理與公司為了逃避市場懲罰因素而從事盈餘管理，兩種行為之動機程度並無明顯差別。 二、倘若在控制未預期盈餘的幅度的情況之下，當公司超過分析師預測時所得到的市場獎勵程度，則是顯著的大於當公司未能達到分析師預測時所得到市場懲罰的程度。因此就本研究此部分之結論而言，公司為了得到市場獎勵的盈餘管理動機程度甚於避免受到市場懲罰之盈餘管理動機程度。 三、在是否存在持續一致報導正/負向預測誤差趨勢方面，可區分為兩部分說明： （1）對於有持續一致未達分析師預測趨勢的公司而言： 持續一致未達的未預期盈餘部分（系統因子），市場會對該系統化部分之行為失去信心而給予其懲罰。 然而，非一致性未達的未預期盈餘部分（非系統因子），相較於其他沒有持續一致未達分析師預測趨勢之公司，市場則不一定會對該部分之行為失去信心而給予其超額懲罰。意即因非系統未達之部分所得到的市場懲罰，並不一定大於沒有持續一致未達分析師預測趨勢之公司。 （2）對於有持續一致超出分析師預測之趨勢的公司而言： 持續一致超出的未預期盈餘部分（系統因子），市場不一定會將該系統化部分之行為視為經理人員從事盈餘管理之結果而給予懲罰。 然而，非一致性超出的未預期盈餘部分（非系統因子），相較於其他未能持續一致超出分析師預測之公司，市場則亦不一定予以實質肯定並給予其超額獎勵。意即因非系統超出之部分所得到的市場獎勵，並不一定大於未能持續一致超出分析師預測的公司。 / This study investigates whether the market rewards（penalizes）firms for beating（missing）analysts’ earnings forecasts. Specifically, we examine the market response to positive and negative forecast errors. In addition, we examine whether the sensitivity of stock prices to positive or negative forecast errors is affected by the firms’ history of consistently beating or missing analysts’ forecasts. In this paper, we provide empirical evidence on three issues: (1) is there a differential market response to the level of unexpected earnings for firms that beat analysts’ forecasts versus those that do not? (2) does the market respond to whether firms beat or miss analysts’ forecasts independent of the magnitude of the forecast error? (3) whether the market gives rewards or penalties for firms with a historical tendency to report positive / negative forecast errors? The results indicate that the earnings multiple applied to positive unexpected earnings is not significantly greater than for negative unexpected earnings. However, we find that after controlling for the magnitude of the forecast error, the market penalty for missing forecasts is significantly greater in absolute terms than the response to beating forecasts. Finally we find that for the firms that consistently beat analysts’ forecasts, the market doesn’t give penalties to the systematic component of the forecast error, and doesn’t give excess rewards to the unsystematic component. But for the firms that consistently miss analysts’ forecasts, the market gives penalties to the systematic component of the forecast error, and doesn’t give excess penalties to the unsystematic component.

本研究探討台灣會計師公費揭露的市場反應，並以累計異常報酬（CAR）來衡量市場反應。第一階段針對是否揭露會計師公費研究其不同的反應；第二階段再將有揭露會計師公費的公司區分為主動揭露與被動揭露，並探討是否會造成不同的影響；第三階段更進一步將被動揭露的公司依其所符合的法規揭露原因再做細分，特別探討因為非審計公費過高而揭露公費者之市場反應。 研究結果發現，相較於不揭露會計師公費的公司，市場對於有揭露會計師公費資訊的公司會給予較正面的反應；其中，有揭露會計師公費的公司，若屬於主動揭露，市場更是會給予正面的肯定；相反的，有揭露會計師公費的公司，若是因非審計公費達審計公費之四分之一以上者而被動揭露者，市場會對此公司之會計師之獨立性有所懷疑，故給予負面的反應。可見會計師公費的資訊對投資大眾而言確實是一項有意義且重要的資訊。本研究並加入公司治理的相關變數，研究結果發現，若公司之治理程度較差，但「有揭露」會計師公費資訊者，投資大眾會給予正面的反應，此外，相對於被動揭露者，市場對於「主動揭露」之公司會給予更正面的肯定。另一方面，若公司之治理程度較佳，但其揭露原因是屬於非審計公費達審計公費四分之一以上而被動揭露者，市場會對會計師獨立性有所質疑，故對於此種公司仍給予負面的反應。 / This study attempts to examine audit fee disclosure and market reactions. We use Cumulative Abnormal Returns to measure market reactions. First, we analyze whether audit fee disclosure has any market reactions at all. Second, we divide the samples into voluntary disclosure and forced disclosure groups. Third, we make further segmentation from the forced disclosure group according to their disclosure reasons, and specially focus on the disclosure reason of high non-audit fees. We find that market reactions are significantly more positive for firms with audit fee disclosures than for firms without fee disclosure. Market reactions are also significantly better for firms with voluntary disclosure than the forced disclosure group. In contrast, market reactions are significantly lower for firms which disclose audit fees due to high levels of non-audit fees. Our evidence supports that audit fee is a piece of useful and important information to investors. Additionally, we include corporate governance variables in the analysis. We find that when firms’ corporate governance is not good, if they choose to disclose audit fee voluntarily, the market responds with positive reactions. In contrast, if a firm’s corporate governance is quite good but discloses audit fees due to high levels of non-audit fee, the market then reacts with negative returns.

本研究以中國2007年至2013年盈餘預測的A股上市公司為主體。探討管理當局發佈強制性盈餘預測的預測形態、預測誤差以及市場反應與管理當局能力之關聯性，並進一步檢測管理當局能力是否影響到其對於強制性盈餘預告門檻的規避以及對於來年發佈自願性業績預測的意願。 實證的結果顯示管理當局能力越好其提供的強制性盈餘預測的形式越精準其預告資訊含量越多；再者，管理當局能力越好，其盈餘預測的誤差越低；實證結果也證明了市場對於能力較佳之管理當局所發佈的強制性盈餘預測的反應程度也較高。增額測試的結果顯示管理當局能力佳者盈餘品質較佳，具體表現為：相較於能力差的管理者，管理當局能力較好時不會通過盈餘管理去避免導因於產生增長50%或是下降50%而強制發佈盈餘預告的門檻。另外，管理當局能力越好，其在隔年度發佈自願性盈餘預測的幾率也越高。 關鍵詞：管理當局能力、強制性盈餘預測、預測形態、盈餘預測誤差、市場反應 / This thesis focuses on mandatory forecast issued from 2007 to 2013 in China and investigate whether managerial ability is related to mandatory forecasts types, forecast error and market reaction. Additionally, this thesis also examines whether managerial ability decrease the likelihood to avoid mandatory forecast thresholds. Finally, whether the managerial ability will increase the probability of issuing voluntary forecasts in the following year is an interesting but unsolved issue; I will fill the gap. Empirical results show that managers with superior ability tend to issue mandatory forecasts in the more precise type. As for the accuracy, the mandatory forecasts issued by better managers tend to have less error. I also find that managerial ability can promotes the informativeness of management earnings forecasts for the public. Additionally, high ability managers are less likely to avoid the thresholds of mandatory forecasts. Furthermore, better managers are more likely to issue voluntary forecasts in the following year of mandatory forecasts. Key Words: Managerial Ability, Mandatory Earnings Forecast, Forecast Format, Forecast Error, Market Reaction.