- 作者: 林宜勉
- 作者服務機構: 國立中興大學事業經營研究所
- 中文摘要: The theoretical literature shows that predisclosure information asymmetry causes investors to establish differential predisclosure expectations, which induce differential belief revisions when an earnings announcement is made. The differential belief revisions, in turn, lead investors to trade. Changes in the risk of securities after a public announcement can also induce investors to trade in order to realign the risk of their portfolio with their risk preferences. On the other hand, previous studies have documented that trading volume around annual earnings announcements is related to the information content of the announcement and firm size. Under this framework, this paper examines whether abnormal trading volume around the time of an annual earnings announcement is related to the risk clientele effect of portfolio rebalancing and the level of predisclosure information asymmetry, after controlling for firm size and the information effect of the announcement. The empirical results are as follows. First, the magnitude of trading volume reaction is an increasing function of the magnitude of abnormal returns. Second, generally, the risk change and the two proxies for predisclosure information asymmetry are significantly positively related to trading volume reactions, after controlling for the magnitude of the associated price reaction. Third, trading volume around the time of an earnings announcement is an increasing function of the risk level before the announcement. Finally, there still exist a risk clientele effect, information effect, and predisclosure information asymmetry effect even after controlling for firm size.
- 英文摘要: 理論文獻證明,宣告前資訊不對稱將造成投資人形成不同的宣告前預期,致使公開宣告後投資人有不同的看法修正,並產生交易量;而公開宣告後的證券風險變動,也易造成投資人按個人風險偏好來重組投資組合。本研究主要係採用證券分析師的盈餘預測來衡量資訊不對稱水準,藉以探討其對盈餘宣告附近交易量的影響。由於以往的實證文獻大多指出每年會計盈餘宣告時的交易量與宣告的資訊內涵有關,故本文在調查資訊不對稱與交易量的關係時,將藉由異常報酬來控制宣告的資訊內涵。除了驗證資訊不對稱水準與交易量對會計揭露的反應外,尚檢驗交易量是否與宣告前的風險以及宣告前後證券的風險變動有關,即是否存在風險客戶效果。同時,本文亦探討在控制公司規模後,是否會影響前述資訊不對稱與風險客戶效果的結論。實證結果發現:(1)異常交易量與異常報酬大致呈顯著正相關。(2)經由累積異常報酬控制了價格反應後,宣告前資訊不對稱水準與盈餘宣告鄰近幾天的交易量反應大致呈顯著正相關。(3)在控制了宣告的資訊內涵後,盈餘宣告日鄰近幾天的交易量與宣告前風險、宣告前後風險變動皆大致呈顯著正相關。(4)在控制公司規模後,仍存在風險客戶效果、資訊內涵效果與宣告前資訊不對稱效果。
- 中文關鍵字: earnings announcement, risk clientele effect, analysts' forecasts, predisclosure information asymmetry level
- 英文關鍵字: 盈餘宣告,風險客戶效果,分析師預測,揭露前資訊不對稱水準