期中財務報告表達方式、季盈餘時間序列結構與股票報酬
Other Title
Integral Approach, Quarterly Earnings, and Stock Returns
Date Issued
2000
Date
2000
Author(s)
DOI
892416H002013
Abstract
Taiwanese financial accounting standards No. 23 states that interim reports should be viewed as an
integral part of an annual report. Therefore, firms
should estimate related sales, cost and other deferred and accrual amounts on an annual basis, and then
allocate appropriate amounts to the quarter reported.
Under this integral approach, the time series of
quarterly earnings must present certain auto-regression
structure. This is not surprising given the
empirical evidence found in Brown and Rozeff (1979)
and numerous followers. However, since there is no
prior research examining the data on the domestic
market There are some interesting local issues. They
are:
1. How well does the market anticipate this auto-regression
structure? Does the market under or
over react to the structure?
2. Does the integral approach reinforce the auto-regression
structure for quarters within the same
fiscal year?
3. Is it possible to utilize the knowledge on the
structure to earn abnormal returns?
4. Would the auto-regression structure caused by
the integral approach affected by other factors,
for example, capital intensity and variance of
quarterly revenue?
This research shall pursue the answers for the
above questions.
Subjects
interim reporting
quarterly
earnings
earnings
unexpected earnings
cumulative abnormal returns
Publisher
臺北市：國立臺灣大學會計學系暨研究所
Type
report
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