台灣股票市場是否充分反應已公開之財務資訊--月營收與季報資訊之結合
Date Issued
2001
Date
2001
Author(s)
DOI
892416H002067
Abstract
This study investigates whether
Taiwan’s stock market reacts to public
information efficiently. Ou & Penman
(1989a, 1989b)，Abarbanell & Bushee (1997,
1998)，Chung （1998 ）and Chen （1998 ）
examine similar issues and found market
seems not reacting to public information fast
enough.
Our research combines information on
monthly sales announcements and quarterly
reports to analyze whether fundamental
analysis is useful to market participants.
This idea differs the existing literature in that
we use a more timely monthly announcement
data to test the usefulness of accounting data.
This is potentially important, since most passed empirical research only find
association between accounting numbers and
stock prices. The use of more timely
information stands a better chance to finds
the value of accounting information through
fundamental analysis.
Empirical results shows that three
fundamental index constructed by this
research are able to create positive abnormal
returns (under 10% significant test level).
Subjects
monthly sales
quarterly reports
fundamental analysis
abnormal returns
Publisher
臺北市：國立臺灣大學會計學系暨研究所
Type
other
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