The research paper explores the value of information content incorporated in the first-time going concern opinion from the perspective of investors. The signaling effects of the auditors’ opinion with going concern remark issued to financially distressed companies are of a great value in case the auditor statements deliver new information content which has not been incorporated in the previously disclosed financial information. Otherwise a going concern audit opinion remains not relevant for the purpose of investors’ decision making. If the going concern audit opinion adds new information content, we gain an ability to detect a stock market reaction to the relevant public announcement. The paper examines the Australian stock market reaction to public announcements of going concern audit opinion in a short term period for the sample of the 29 first-time going concern listed companies during the 2007 to 2009 years observation period. High sample criteria are determined in order to avoid contamination effects of other price sensitive information. The impact of both the preliminary financial report and the final annual report is examined by means of the parametric and non-parametric tests aligned with the event study methodology. Consistent with previous studies in Australia, no significant financial market reaction to the final going concern audit opinion announcements inherent to the Australian environment has been found. We document that the more negative impact on the market reaction is caused by the preliminary financial report rather than the final report, which contains an audit opinion note. Correspondently, the audit opinions with going concern qualification do not add new information content for the Australian stock market participants, who base their expectations on the previously disclosed financial information.

本文主要探討出售長期資產對公司股價的影響,由於金融性資產時間序列資料有異質變異數現象,傳統事研究以最小平方法無法正確描述殘差項之變異,故使用一般自我迴歸異質變異數(GARCH)模型.由實証發現,市場對公司出售資產的反應視其處分目的而定,對為了改善營運而出售資產的公司,一般相信公司營運能提升,有助於增進公司價值;對為了改善財務而出售資產的公司,由於公司本身財務狀況不佳,雖藉出售資產取得資金,但市場反應仍不佳.另外,由迴歸分析也發現處分目的為宣告期間累積異常報酬重要的解釋變數.