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| Title: | COVID-19疫情期間財務資訊揭露之研究
Two Essays on Financial Information Disclosure in COVID-19 Pandemic |
| Authors: | 方東杰
Fang, Dong-Jie |
| Contributors: | 林士貴
張興華
Lin, Shih-Kuei
Chang, Hsing-Hua
方東杰
Fang, Dong-Jie |
| Keywords: | 10-K & 10-Q財報
法説會
自然語言處理
盈餘慣性
有限注意力理論
Forms 10-K & 10-Q
Earnings call
Natural language processing
Post-earnings announcement drift
Limited attention theory |
| Date: | 2024 |
| Issue Date: | 2025-08-04 14:31:10 (UTC+8) |
| Abstract: | 本博士學位論文規劃將包含兩篇實證論文，主要探討財務資訊揭露中非結構化文本資料對金融市場的影響。
第一篇論文探究企業在面對SARS、2008年次貸危機與COVID-19所引起之經濟衰退時的反應狀況。本文基於美國上市企業10-K、10-Q財報之管理層討論與分析（Management's Discussion and Analysis, MD&A）章節及企業法説會（earnings call）逐字稿，建立三個反應變數加以衡量：條件曝露（conditional exposure）、條件情緒（conditional sentiment）與條件風險（conditional risk）。實證結果表明，10-K、10-Q財報與企業法説會之反應變數會對事件發生後之股票持有報酬產生不同影響。本文透過三種拆解方式進一步研究造成該差異之原因。與過往研究發現不同：在談論經濟衰退時，相較於法説會中分析師的提問，市場對管理層的論述有更强烈的反應。但與此同時，分析師在質詢過程中確實提出了值得注意的風險。另一方面，管理層可能透過在法説會中掩蓋與風險相關的訊息，從而減少其對股票報酬的負面影響。
第二篇論文以COVID-19疫情為例，探討系統性衝擊下盈餘慣性（post-earnings announcement drift, PEAD）。不同於過往文獻所發現之盈餘慣性的減弱，本文發現這一異象在疫情期間仍然存在。基於有限注意力理論，本文探討該現象之成因。實證結果表明，就信號傳遞的角度而言，對於系統性衝擊的廣泛揭露導致盈餘慣性更為強烈。然而，對COVID-19的消極揭露削弱了盈餘慣性，而這可被負面偏差（Negative Bias）所解釋。另一方面，本文發現法說會的延遲召開、與10-K及10-Q財報發佈的更大時間間隔，以及兩者提及疫情時情緒表達的更不一致會透過增加投資者的信息處理成本而强化盈餘慣性。
This Ph.D. dissertation consists of two essays that primarily investigate the impact of unstructured textual data in financial information disclosure on financial markets.
The first essay examines how corporates respond to economic recessions triggered by events such as SARS, the 2008 subprime crisis, and COVID-19. Based on the Management's Discussion and Analysis (MD&A) section in the 10-K and 10-Q filings and the earnings calls transcripts of listed stocks in the United States, three response variables are constructed: conditional exposure, conditional sentiment, and conditional risk. Empirical results show that the response measures in 10-K & 10-Q filings have different impacts on post-release returns from those in earnings calls. We further explore the causes of this difference through three decompositions. Different from prior research, we find that when discussing economic recessions, the market more react to management narratives than analysts' questions during earnings calls. Nevertheless, analysts do bring up significant risks during the questioning process. On the other hand, management may obscure risk-related information in earnings calls, reducing its negative impact on stock returns.
The second essay examines the post-earnings announcement drift (PEAD) under the systemic shock by taking the COVID-19 pandemic as an example. Though much prior literature has proved the decline of PEAD, I find this anomaly still existed during the global pandemic. Based on the limited attention theory, I investigate the cause of such a phenomenon. From the perspective of signaling, the empirical results show that the broad disclosure of unexpected systemic shock leads to a stronger PEAD. However, firms with negative disclosure about COVID-19 have weaker PEAD due to the negative bias. On the other hand, I find that a later convening of the earnings conference, a larger time gap, and more inconsistent emotional expressions between the earnings call and Forms 10-K & 10-Q strengthen the PEAD by increasing the investors’ information processing cost. |
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| Description: | 博士
國立政治大學
金融學系
108352506 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352506 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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