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系統識別號 U0002-2606200621454400
中文論文名稱 銷貨收入、盈餘與股利資訊對股價之影響:互補或替代效果
英文論文名稱 The Effect of Revenue, Earnings and Dividend on Stock Returns :Complement or Substitute
校院名稱 淡江大學
系所名稱(中) 會計學系碩士班
系所名稱(英) Department of Accounting
學年度 94
學期 2
出版年 95
研究生中文姓名 林佑宗
研究生英文姓名 Yu-Tsung Lin
學號 692470858
學位類別 碩士
語文別 中文
口試日期 2006-06-16
論文頁數 52頁
口試委員 指導教授-黃志仁
委員-陳妙珍
委員-林允永
委員-黃志仁
中文關鍵字 收入  盈餘  股利  替代性  互補性 
英文關鍵字 Revenue  Earnings  Dividend  Complement  Substitute 
學科別分類 學科別社會科學商學
中文摘要 在財務資訊中,收入、盈餘與股利資訊皆具有資訊內涵,因此不同訊息之間,資訊內涵的重疊性以及較接近的發佈時點,會造成宣告效果產生交互影響。本研究之主要目的,在於比較收入、盈餘與股利訊息之間替代性和互補性,以了解投資人如何「接收、評估」這三種訊息,並反應在公司價值的認知上。
本研究採用迴歸分析與事件研究兩種方法進行實證分析,並以1996年至2004年美國上市公司為研究對象。研究結果顯示:(一)根據迴歸分析的結果,三種資訊間並無明顯的替代或互補關係。(二)將樣本分組後的結果顯示,在某些情況下會產生互補或替代效果。整體而言,收入、盈餘與股利資訊是否存在互補或替代關係無一致結論,僅能從個別情況下觀察。
英文摘要 In the financial information, revenue, earnings and dividends have information content. Both the similarity of information contents and the timing-adjoining of announcements induce the interaction between market effects. The purpose of this research is to identify the complementary and substitute effects between revenue, earnings and dividends announcements.
This research uses data from year 1996 to 2004 in U.S security market and develops two methods for the study purpose: cross-sectional regression and event study. The results are as follows: 1.from the result of regression, they do not generate significant complement or substitute effects. 2.from the result of comparison across subsamples, they would generate complement or substitute in some conditions. As the whole, whether revenue, earnings and dividend have complement or substitute, we can not get a consistent conclusion. We only observe from different individual conditions.
論文目次 目錄
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 論文架構 5
第貳章 文獻探討 6
第一節 銷貨收入與盈餘間關係之研究 6
第二節 盈餘與股利間關係之研究 10
第三節 盈餘與股利資訊對股價影響之相關研究 14
第參章 研究設計 16
第一節 研究架構 16
第二節 研究假說與方法 17
第三節 變數定義 21
第四節 研究方法 23
第五節 資料來源與選樣標準 30
第肆章 實證結果與分析 32
第一節 樣本敘述性統計分析 32
第二節 迴歸分析結果 33
第三節 累積異常報酬分析結果 36
第伍章 結論與建議 47
第一節 結論 47
第二節 研究限制與後續研究方向建議 48
參考文獻 50

表目錄
表 3-1:樣本分類表 16
表 3-2:樣本彙總表 31
表 3-3:各年度樣本數31
表 4-1:變數統計分析32
表 4-2:變數之相關係數分析32
表 4-3:變異數膨脹分析33
表 4-4:迴歸模式(一)之結果34
表 4-5:迴歸模式(二)之結果35
表 4-6:累積異常報酬檢定表:收入與盈餘資訊36
表 4-7:各組累積異常報酬T檢定:收入與盈餘資訊37
表 4-8:累積異常報酬檢定表:分組之結果 38
表 4-9:各組累積異常報酬T檢定38
表 4-10:累積異常報酬檢定表:盈餘與股利資訊39
表 4-11:各組累積異常報酬T檢定40
表 4-12:各組累積異常報酬T檢定41
表 4-13:累積異常報酬檢定表:盈餘與股利資訊41
表 4-14:各組累積異常報酬T檢定42
表 4-15:累積異常報酬檢定表43
表 4-16:各組累積異常報酬T檢定43
表 4-17:累積異常報酬檢定表44
表 4-18:各組累積異常報酬T檢定45
表 4-19:研究結果彙總表46

圖目錄
圖 1-1:論文架構 5
圖 3-1:盈餘宣告日在股利宣告日之後16
圖 3-2:盈餘宣告日在股利宣告日之前16
圖 3-3:估計期與事件期 23


參考文獻 中文部分
1.黃志仁,2002,子公司操作母公司股票:操作行為、宣告效果與內部人交易,中央大學財務金融系博士班未出版博士論文。

英文部分
1.Aharony, J. and I. Swary, 1980 ,Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis, The Journal of Finance 35 (March), 1-12.
2.Ball, R. J., and P. Brown, 1968, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research 6, 159-178.
3.Beaver W. H., 1968, The Information Content of Annual Earnings Announcements , Journal of Accounting Research 6, 67-92.
4.Beaver, W. H., R. Clarke, and W. F. Wright, 1979, The Association Between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors, Journal of Accounting Research 17(2), 316-340.
5.Bernard, V. L., and J. K. Thomas, 1989, Post-earnings-announce drift: Delayed price response or risk premium?, Supplement to the Journal of Accounting Research 27, 1-36.
6.Chang, S. J. and S. N. Chen,1991, Information Effects of Earnings and Dividend Announcements on Common Stock Returns: Are They Interactive?, Journal of Economics and Business 43 (May), 179-192.
7.Chen, C.R., Lin J.W. and Sauer D.A.,1997, Earnings Announcements, Quality and Quantity of Information , and Stock Price Change, Journal of Financial Research 4, 483-502.
8.Conroy,R. M., K. M. Eades, and R. S. Harris, 2000, A Test of the Relative Pricing Effects of Dividends and Earnings:Evidence form Simultaneous Announcements in Japan, Journal of Finance 55 (June), 1199-1227.
9.Corrado, C. J., 1989, A Nonparametric Test for Abnormal Security-price Performance in Event study, Journal of Financial Economics 23, 385-395.
10.Easton,S., 1991, Earnings and Dividends: Is There an Interaction Effect? , Journal of Business Finance & Accounting 18 (January), 255-266.
11.Ertimur,Y., j.Livnat, 2003, Differential Market Reactions to Revenue and Expense Surprises, Review of Accounting Studies 8, 185-211.
12.Firth, M., 1996, Dividend Changes, Abnormal Returns, and Intra-Industry Firm Valuations, Journal of Financial and Quantitative Analysis 31, 189-211.
13.Hopwood, W.S. and J. C. McKeown, 1985, the Incremental Informational Content of Interim Expenses over Interim Sales, Journal of Accounting Research 23(1), 161-174.
14.Hoskin, R. E., J. S. Hoghes, and W. E. Ricks, 1986,Evidence on the Incremental Information content of Additional Firm Disclosures Made Concurrently with Earnings, Journal of Accounting Research 24(1), 1-32.
15.How, J. C. Y., C. S. Teo, and H. Y. Izan , 1992, The Interaction Effect of Earnings and Dividend Announcements on Share Price:Australian Evidence, Managerial Finance 18, 22-33.
16.Jegadeesh, N., 2002, Revenue growth and Stock Returns, Working paper, University of Illinois at Urbana-Champaign.
17.John, K, and J. Williams, 1985, Dividend , Dilution, and Taxes:A signaling Equilibrium, The Journal of Finance 40(September), 1053-1070.
18.Kane, A., Y. K. Lee, and A. Marcus, 1984, Earnings and Dividend Announcements: Is There a Corroboration Effect?, The Journal of Finance 39(September), 1091-1099.
19.John, K., and L. Lang, 1991, Insider Trading Around Dividend Announcement:Theory and Evidence, Journal of Finance 46, 1361-1389.
20.Johnson, D. J., J. M. Serrano, and G. R. Thompson, 1996, Seasonal Equity Offerings for New Investment and the Information Content of Insider Trades, Journal of Financial Research 19, 91-103.
21.Leftwich, R., and M. E. Zmijewski, 1994, Contemporaneous announcements of dividends and earnings, Journal of Accounting, Auditing & Finance 9 (Fall), 725-762.
22.Livant, J., 2003, Post-Earnings-Announcement Drift:The Role Revenue Surprises, Working paper, New York University.
23.Miller, M., and K.Rock, 1985, Dividend Policy under Asymmetric Information. The Journal of Finance 40(September), 1031-1051.
24.Nissim, D., and A. Ziv, 2001, Dividend Change and Future Profitability, Journal of finance 56, 2111-2131.
25.Phillips, A.L., H.K. Baker and R.B. Edelman, 1997, The Market Reaction to Discontinuing Regular Stock Dividend, Financial Review 32, 801-819.
26.Peterson, P. P., 1989, Event Study:A Review of Issue and Methodology, Quarterly Journal of business and Economics 28(Summer), 36-66.
27.Rees, L. and K. Sivaramakrishnan, 2001, Valuation Implications of Revenue Forecasts, Working Paper, Texas A&M University.
28.Rendleman, R. J., C. P. Jones and H. A. Latan, 1982, Empirical anomalies based on unexpected earnings and the importance of risk adjustments, Journal of Financial Economics 10, 269-287.
29.Rimbey, J. N., and D. T. Officer, 1992, Market Response to Subsequent Dividend Actions of Dividend-Initiating and Omitting Firms, Quarterly Journal of Business and Economics 31, 3-20
30.Swaminathan, S. and J. Weintrop, 1991, The Information Content of Earnings, Revenues, and Expenses, Journal of Accounting Research 29 (Autumn), 418-427.
31.Watts, R., 1978, Systematic ‘abnormal’ returns after quarterly earnings announcements, Journal of Financial Economics 6, 172-150.
32.White, H., 1980, A Heteroscedasticity Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity, Econometrics 48, 817-838.
33.Wilson, G. P., 1986, the Relative Information Content of Accruals and Cash Flows:Combined Evidence at the Earnings Announcement and Annual Report Release Date, Journal of Accounting Research 24, 165-200.
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