This paper will analyze the usefulness of depreciation expense to investors. Depreciation expense is a broad allocation accounting practice that treats different types of assets the same. I argue that there are two types of industries: those with wasting assets, and those with real property. The first type experiences true deprecation and deterioration while the second type of asset does not. A simplified model using the earnings response coefficient will measure the relationship between earnings and returns for these different industries; this measurement is a way to quantify usefulness of accounting information. I hypothesize that investors of companies with high wasting assets will find depreciation more useful than those invested in companies with more real property. However, the results were not consistent with my hypothesis – depreciation did not matter more to investors of the industry with high wasting assets. The data set only included two distinct industries, which limited the sample size considerably, and might explain the results. Alternatively, the two groups of assets could be defined more broadly to include more industries for future research.

自Ball & Brown研究盈餘報酬關係以來，諸位學者亦探討其關係之相關性，因此引進ERC之決定因素來增強盈餘報酬關係，在此類研究無論在決定因素之取捨與方法論改良，均有許多學者加入探討，而在臺灣僅有陳志愷君有類似的研究。本研究大致遵循Collins & Kothari之研究，採關聯性研究，以逆迴歸來建立盈餘報酬之模型，並以ARIMA(1，1)來分離恆常所得與暫時性所得以經濟成長機會、無風險利率、系統風險、殖利率、恆常係數為決定因素。本研究探討三項主題:一、傳統盈餘報酬之關係二、探討ERC之決定因素在盈餘報酬模型中的關係三、探討考慮ERC之決定因素與未考慮時之比較。本研究之結論為一、傳統盈餘報酬模型中並未有顯著關係二、決定因素大致與預期符號相符險且有經濟成長機會、系統風險、殖利率呈顯著關係三、考慮決定因素之前後並未有顯著差異。

Vi studerar om aktierekommendationer bidrar med mer precis information på marknaden genom att tolka och sprida innehållet i delårsrapporter som publiceras av företag. Vi studerar även om säljrekommendationer har ett högre informationsinnehåll än köprekommendationer och neutrala rekommendationer. Studien sker av företag listade på OMXS30 under perioden 2017-01-01 till 2019-12-31. I studien tillämpar vi en eventstudiemetod och studerar kumulativ onormal avkastning under ett tre-dagars eventfönster fokuserat runt publiceringen av delårsrapporter. Vi finner att de event där delårsrapporter ackompanjeras av samtida publicerade aktierekommendationer har en signifikant högre marknadsreaktion, givet en viss nivå i oväntat resultat, än event där det inte har publicerats en aktierekommendation. Resultatet visar att investerare värdesätter analytikernas arbete, vilket i samband med publicering av delårsrapporter är att tolka och sprida information. Genom att studera kumulativ onormal avkastning för negativa förändringar till säljrekommendationer jämfört med övriga rekommendationer finner vi inte stöd för tidigare studier som finner att säljrekommendationer har högre informationsinnehåll än övriga rekommendationer. / This paper aims to study whether stock recommendations help investors interpret the information content of earnings reports by processing the information as well as making the information more precise. We also investigate the information content of sell recommendations in contrast to buy recommendations as well as neutral recommendations. Our study object is firms listed on OMXS30 between 2017-01-01 and 2019-12-31. We base our study on the theory that higher information content causes a larger market reaction. By conducting an event study which focuses on earnings releases and whether a stock recommendation has been released in the same three day event window, we show that the release of a stock recommendation in connection with an earnings report leads to a higher earnings response coefficient. This result is along the lines of similar research which states that more precise, relative to previous information, newly published information leads to a larger price reaction. Previous research also shows that high processing costs leads to a slower price response. By comparing the abnormal returns of companies that get recommendation downgrades to sell with the abnormal returns of companies that get upgraded or unchanged recommendations we find no support in favor of previous studies which have shown that the information content of sell recommendations are higher than those of neutral or buy recommendations.

This study uses the Securities and Exchange Commission's (SEC) comment letters to investigate the SEC's role as a monitor of financial reporting. I examine whether the SEC effectively comments on firms with poor disclosure quality. I utilize forward earnings response coefficients (FERC) as a measure of the market's perception of disclosure quality. I expect comment letter firms to have lower disclosure quality and thus lower FERCs. Secondly, within the firms selected for comment, I investigate whether the Division allocates a greater amount of resources towards firms with more severe disclosure deficiencies. Results indicate that comment letter recipients have significantly lower forward earnings response coefficients than non- recipients. Results also document that comment letter recipients have lower contemporaneous earnings response coefficients than non-recipients. These findings are consistent with the DCF being effective in selecting firms that are perceived by the market as having low disclosure and earnings quality. However, within comment letter firms, I am unable to provide any evidence that the DCF allocates more resources to firms with lower forward earnings response coefficients. / Ph. D.

<p>Lic.-avh. Stockholm : Handelshögskolan, 2013</p>

本研究主要探討審計品質與盈餘反應係數之關係，擬回達下列之研究問題：接受高品質會計師事務所查核之公司，其盈餘反應係數是否較接受低品質會計師事務所查核之公司為高。 　　本論文以台灣股票市場民國70年至82年之更換會計師公司為樣本，首先採用未預期盈餘(UE)與股票市場累積異常報酬(CAR)的簡單迴歸分析，嘗試驗證盈餘資訊與股票報酬間之關係；採用盈餘反應係數決定因素的複迴歸分析探討審計品質是否會影響盈餘反應係數。實證結果顯示： 　　一、如以曾經由六大會計師事務所查核財務報表更換為非六大會計師事務所之上市公司，或曾經由非六大會計師事務所更換為六大會計師事務所查核簽證財務報表之上市公司為樣本公司，台灣股票市場之未預期盈餘與異常報酬間方向是一致的，但並不具統計顯著性。 　　二、審計品質是否會影響盈餘反應係數之實證結果：六大會計師事務所客戶之盈餘反應係數是大於非六大的客戶，但亦並不具顯著性。 　　換言之，以國內會計師事務所與美國六大結盟作為衡量高品質的審計品質，其與盈餘反應係數之關係並未如預期呈顯著的正相關。

台灣對國際貿易市場依賴程度極高，總體經濟環境極易受到國際經濟變數的影響，其中尤以匯率的變動，係我國進出口貿易最直接並重要的影響因素之一。為了生產及銷售競爭之需要，我國企業積極對海外投資並設立海外子公司或據點以進行國際分工，企業的國際化更加重所面臨匯率波動所產生的外匯暴露。 本研究基於我國企業面對的外匯暴露程度，探討影響我國企業外匯暴露及操作衍生性金融商品規避外匯暴露的公司治理因素，並針對外匯避險是否具有盈餘資訊內涵進行研討，具體而言，本研究將探討下列問題： 一、操作衍生性金融商品規避外匯暴露與外匯暴露程度的關聯性； 二、公司治理對操作衍生性金融商品規避外匯暴露的影響程度； 三、操作衍生性金融商品規避外匯暴露是否具有資訊內涵。 本研究的結果發現，操作衍生性金融商品係有助於規避外匯風險；而公司治理中的董事能力及董事會的獨立性則對我國企業在是否選擇操作衍生性金融商品避險時，有重大影響力。基於外匯暴露是我國企業普遍面臨的風險，上述結果應有助於我國企業在面對外匯風險時，決定是否採用衍生性金融商品規避外匯風險上，有一定的助益。本研究並發現企業操作衍生性金融商品避險是具有盈餘資訊內涵的，此對文獻中較少針對企業面對風險的避險決策是否對股票報酬有所影響的議題，可作為該領域研究方向及結果的補強。 / Due to an extremely high level of dependence on international trade, the macroeconomic environment in Taiwan is affected by international economic variables deeply. Particularly, the change of foreign exchange rates is one of the most direct and significant factors for the international trade of Taiwan. Further, the internationalization of local enterprises by actively expanding their investment internationally and setting up overseas subsidiaries makes these enterprises suffer more from the exposure of foreign exchange rate fluctuations. This study therefore investigates the following issues: 1. The association between hedging foreign exchange rate fluctuation by derivatives and the foreign exchange rate exposure. 2. The impact of corporate governance on the hedging decisions of the management. 3. Is there any information content of the hedging against foreign exchange rate exposure? The results of this study show that: (1) The hedging against foreign exchange rate fluctuation by derivatives decreases the foreign exchange rate exposure; (2) Two of corporate governance factors namely finance expertise and independence of the board of directors have significant effects on the hedging decisions; and (3) Hedging against the foreign exchange rate fluctuation by derivatives provides information content of earnings. This study contributes to the practice and the academics in the following ways: (1) As an aid for the management to decide whether to hedge against foreign exchange rate fluctuation by derivatives when facing foreign exchange rate exposure; (2) As an extension of the literature on the association between hedging decisions and the stock returns.

本研究的目的在比較研究中國大陸與台灣股市，其上市公司的財務資訊特性，以及這些財務資訊在這兩個股市中的有用性。大陸股市迄今年齡尚輕，僅七歲。唯大陸股市的法規，散戶多，同文同種等與台灣股市相近；不同之處在於，例如國家對上市公司所持有的股份仍佔一定比例、法人極少（中國大陸自五月份始方開放共同基金的發行）、股市分為 A、B 及 H 股等。因此在不同的股市特性及股市環境下，到底公開資訊被使用的情形如何？這種比較分析可令我們深入瞭解，在不同股市特性及股市環境（包括證&#21173;管理環境）下，投資者使用公開財資訊的深度與廣度。因此本研究以公開財務報表為例，探討並比較台灣股市與中國大陸間資訊有用性及有用程度。 本研究採用傳統盈餘／股價關係的研究設計來探討其間的關係，根據　Easton and Harris(1991)及 Lev(1989)的建議，在傳統的盈餘反應係數模式中加入二個與盈餘相關變數，一為「當期盈餘水準除以期初股價」的盈餘水準變數；另一為「當期盈餘變動除以期初股價」的未預期盈餘變數，以此二盈餘變數實證比較兩岸股市，其相對盈餘資訊內涵。其次，依據 Lipe(1986)的建議及其所建立的實證模式，本研究測試盈餘組成分子是否具備增額資訊內涵，並比較兩岸盈餘組成分子增額資訊內涵是否顯著不同。最後，本研究借用 ERC 模式，並依據 Collins and kothari(1989)加入 ERC 決定因素如公司系統風險、盈餘持續度、公司成長機會等，來增進盈餘／股會間關係的解釋能力，以期在最具解釋力的模式下，比較兩盈餘資訊內涵。本研究台灣方面以台灣證&#21173;交所股票上市公司為對象，研究期間自民國 77 年至 85 年止，共計 9 年為樣本期間，大陸則以在上海、深圳交易所上市的股票上市公司樣本，研究期間則為 1994 年至 1996 年研究結果顯示： 1.兩岸之資訊環境存在顯著差異性。 2.兩岸之盈餘資訊皆具有用性。 3.盈餘組成項目均具增額資訊內涵。 4.考慮 ERC 模式後可增加模式之解釋力。 / This study mainly applies ERC (Earnings Response Coefficient) model to compare the information contents of earnings in Taiwan and China stock markets. In addition, this study investigates the disclosure rules of these two markets in order to develop related hypotheses. This study includes four hypotheses: (1) information environment hypothesis, (2) earning level hypothesis, (3) earnings components hypothesis, and (4) ERC determinants hypothesis. The samples strategically select from. listed companies in Taiwan and China to facilitate our comparisons. The findings can be summarized as follows. 1. In the Taiwan stock market, the firm size is not a significant factor for determining optimal return window; but in the China stock market, the response of larger firms is earlier than smaller firms to the earnings announcement (information environment hypothesis). 2. The Easton-Harris earnings level variable can significantly increase the explanatory power of ERC in the Taiwan stock market; but it cannot significantly increase the explanatory power of ERC in the China stock market (earnings level hypothesis). 3. The earnings components can increase the explanatory power of earnings/return relationship in both Taiwan and China stock markets. In addition, the non-operating components have better explanatory power than operating components in earnings (earnings components hypothesis). 4. The determinants of ERC can increase the explanatory power of earnings/return relationship; but the determinants of ERC have negative effects of the explanatory power of earnings/return relationship.