An Empirical Study for the Casuality between Earnings and Stock Prices
| Autor: | Lee, Kuan-Hau, 李冠豪 |
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| Rok vydání: | 2000 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 88 Title of Thesis : An Empirical Study for the Casuality Total page : 95 between Earnings and Stock Prices Key word : information content、earnings、stock prices、Granger causality Name of Institute : Tamkang University, Graduate Institute of Accounting Graduate Date : June 12, 2000 Degree Conferred : Master Name of student : Lee Kuan-hao Advisor : Dr. Yeh Chin-chen 李冠豪 葉金成 博士 Abstract： The relation between earnings and stock prices is always an important issue in accounting and finance. Ball＆Brown(1968) initially associate accounting and finance and prove the information content of earnings by an empirical study. Then Beaver, Lambert＆Morse(1980) infer the information content of stock prices upon the reaction of earnings to unanticipated events behind stock prices. Recently, Beaver, NcAnally＆Stinion（1997）suggest earning and stock price are jointly affected by information, they are interactive. Under the three claims, it makes us doubtful. What is the really relation between earnings and stock prices? Earnings lead stock prices, stock prices lead earnings or they are interactive. Under the three fundamental hypotheses, what is the role of earnings and stock prices? What is the direction of the information flow? If it is still unclear, the result of related research will be tremendously influenced. Our samples are chosen from the firms traded in the Taiwan Stock Exchange from 1986 to 1998. We use Granger causality techniques testing samples to examine the direction of the information flow directly. Our findings are as follows. 1.The direction of information flow between earnings and stock prices: the most is the feedback; secondly, earnings leading stock prices; then stock prices leading earnings; and the least is the independent. 2.Earnings and stock prices have the information content respectively, but vary in different firms. 3.For the time span of information transmission, earnings lead stock prices with three seasons, and stock prices lead earnings with two seasons. 4.The inconsistent finding of those studies concerning the information content of earning in domestic may be attributed to the uncertainty of the causality between earnings and stock prices. In addition, it will underestimate the information content of earnings or stock prices by improper grouping techniques. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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