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The Relationship between the Financial Reporting Consistency and the Market Response
calculative abnormal return
|Issue Date: ||2015-07-13 11:05:07 (UTC+8)|
|Abstract: ||本研究欲探討財務報導中管理階層討論與分析（Management Discussion and Analysis, MD&A）語調與企業財務績效一致性對市場反應之關係，選取自2004至2013年美國上市公司為研究樣本，使用文字探勘TFIDF及TFICF等技術分析10-K年報中MD&A資訊，並比對財務資訊中的八大財務構面，形成一致性指標，進而探討與分析師預測修正幅度、預測錯誤幅度及市場累計異常報酬之關係。本研究發現當財務績效與MD&A語調不一致且情況屬樂觀時，分析師預測修正幅度較大，預測錯誤幅度較小，且市場投資人給予負向評價，此外，本研究發現不一致情況為樂觀時，分析師傾向下修其預測值，說明投資人與分析師看穿此不一致情況，一致性指標具有資訊價值。|
This study investigates the relationship between the financial reporting consistency and the market response. I collect data for firms in the United States during 2004 and 2013. I develop the consistency index via comparing eight financial ratios to MD&A tone, which is extracted from 10-K using TFIDF and TFICF analysis. I mainly examine the relationship of consistency index with analyst revision variances, error variances, and calculative abnormal return. The results suggest that the inconsistency, specific to an ‘optimistic’ index, between financial performance and MD&A tone has a positive effect on analyst revision variances, while a negative effect on analyst error variances and calculative abnormal returns. I also find that analysts prone to lower the revised forecast value when there is an ‘optimistic’ inconsistency. The results indicate that analysts and market investors have seen through the inconsistency between the MD&A disclosure and financial performance. In sum, the consistency index can be viewed as one new type of information for the stock market.
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0102353010|
|Data Type: ||thesis|
|Appears in Collections:||[會計學系] 學位論文|
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