An Empirical Study on the Information Content of Annual Earnings Announcement

Autor: WANG HUEI-YUN, 王慧雲
Rok vydání: 1999
Druh dokumentu: 學位論文 ; thesis
Popis: 87
The purpose of this study is to investigate the effects of the annual earnings on stock’s return for Taiwan stock market. That is to say that it wants to investigate the information content of annual earnings. This study uses the GARCH model to investigate the heteroscedasticity variance phenomenon. Then it tests the relationship between a earnings and a stock return to observe the information content of annual earnings. This study also examines the earning reaction coefficients(ERCs) of different industries and different years. Besides, this study uses two unexpected earnings proxies to compare the explanation power. Finally, this study examines the forecast accuracy of management. The sample period is from 1993 to 1997. 69 companies and 18 industries have been observed. The empirical results can be summarized as follows: 1. Most ERCs of various industries are not significant. That might be due to the observations are not enough, or investors don’t emphasize on accounting information. 2. During 1993 to 1997, the number of significant ERCs increases gradually. That might be that investors concern more accounting information. It means that investors concern more fundamental analysis gradually. 3. Among two unexpected earnings proxies, the explanation power of analysts’ forecast is not superior to random walk model. 4. Most ERCs of various companies are not significant. 5. Earning forecasts provided by corporate management didn’t been overestimated.
Databáze: Networked Digital Library of Theses & Dissertations