財務比率與股票超額報酬之關聯性－關係企業合併財務報表、母子公司合併財務報表與母公司財務報表之比較
Date Issued
2004
Date
2004
Author(s)
徐政緯
DOI
zh-TW
Abstract
Consolidated financial statements of affiliated corporations have started to be compiled since 1999, and it can provide investors with another reference when they want to make decisions. This study probes into information content about three kinds of financial statements: Consolidated financial statement of affiliated corporations, consolidated financial statement, and separate financial statement of parent corporations because related researches are very deficient. This study hopes to find out the best financial statement in decision usefulness. This study uses linear multiple regression analysis to compare the explanatory power of financial ratios to stock excess returns among three kinds of financial statements. The conclusion of this study could be drew inferences about which kind of financial statement has better decision usefulness.
The multiple regression models in this study define dependent variable as stock excess returns, which are calculated in two methods: the market-adjusted model (using annual data) and the market model (using daily data). This study defines independent variables as seven financial ratios and signals chosen from TEJ and CPA firm signal in accordance with the research of Lev & Thiagarajan (1993), and these financial ratios and signals are the independent variables of model 1 in this study. Besides, this study also chooses fifteen financial ratios based on the regulations of SEC in Taiwan as the independent variables of model 2. The data are gathered from TEJ, and the sample is restricted to the public corporations that had issued the three kinds of financial statements simultaneously from 2000 to 2001. This study uses multiple regression analysis. At first we use coefficient of multiple determination to make initiated judgement; then we use JA-test to do statistical estimates. Finally we try to find out independent variables that have explanatory power.
The research findings are as follows:
I. If stock excess returns are calculated based on market-adjusted model in model 1, none of the three kinds of financial statements is the best about explanatory power of financial ratios and signals to stock excess returns. If cumulative abnormal returns are calculated based on market model in model 1, the results are the same.
II. If stock excess returns are calculated based on market-adjusted model in model 2, the result is that the model established by consolidated financial statements of affiliated corporations is more excellent than the model established by consolidated financial statements and it is statistically significant. That means hypothesis 3 is tenable. If cumulative abnormal returns are calculated based on market model in model 2, the result is that the model established by consolidated financial statements of affiliated corporations is more excellent than the model established by consolidated financial statements and separate financial statements of parent corporations and it is statistically significant. That means hypothesis 1 and 3 are tenable.
Ⅲ. Only if cumulative abnormal returns are calculated based on market model in model 2, among these independent variables, EPS and IBTR can explain stock excess returns effectively. None of these independent variables has explanatory power in other situations.
Ⅳ. The empirical results are different because of discrepancy in models and calculation methods of stock excess returns.
Subjects
財務報表
股票超額報酬
財務比率
financial ratios
CAR
financial statements
Type
other
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