本研究探討財務年報公布時間點的早晚是否對股票報酬率有定價的能力。我們透過盈餘管理、訊號效果與資訊不對稱理論推論財務年報公布時間點的早晚會與下一年的股票報酬率有相關。本研究的樣本來自1995年到2016年所有上市上櫃公司（但不含金融股）的財報資料及市場資料。
實證結果顯示沒有充分證據能說明財務年報公布時間點的早晚會對股票報酬率有定價的能力。此結果支持Fama (1970)提出的效率市場假說(Efficient-market hypothesis)，即當證券市場中的公司股價完全反映出包括公司財務資訊與公布時間點的差異等所有可以獲得的信息帶來的影響，我們就認為市場為效率市場。即使是在較早公布的資訊中好消息的比重較高的情況下，投資人對提早公布財務年報的公司進行投資也無法獲取較高的報酬，反映出公布時間的早晚對股票報酬率不具定價的能力。 / This study examines the relation between the early or late annual report disclosure and the changes of the return on portfolios over time. Empirical results suggest that the stock returns are not significantly related to the disclosure time of annual report. The fact that financial characteristics and stock returns are not related to the sooner or later annual report disclosure supports the Efficient-market hypothesis. However, in the long run, we did not find the annual report disclosure with the predictive power of the systemic risk of companies. Furthermore, firms with early disclosures are more likely to beat analysts' prediction than firms with late disclosures, but we still do not find such disclosure with significant pricing power of stock returns.
| Identifer | oai:union.ndltd.org:CHENGCHI/G1043570281 |
| Creators | 尉林傑, Wei, Lin-Jie |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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