應用GARCH探討財務報表重編對股價之影響

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Title:	應用GARCH探討財務報表重編對股價之影響
Authors:	葉力瑋
Contributors:	會計學系
Keywords:	財務報表重編 financial restatement 一般化自我迴歸異質變異模式 generalized autoregressive conditional heteroscedasticity 事件研究法 event study 市場模式 market model
Date:	2012
Issue Date:	2012-11-20 10:37:38 (UTC+8)
Abstract:	本研究主旨在於探討財務報表重編事件對台灣證券市場的影響。以財務報表重編為研究事件，並應用事件研究法(event study)分析該事件對股價所造成的影響。本研究以市場模建立迴歸模式，而為了避免股價報酬出現波動聚集的現象，本文以一般化自我迴歸條件異質變異模式(generalized autoregressive conditional heteroscedasticity, GARCH)進行市場模式迴歸係數的估計。而根據Richardson, Tuna, and Wu (2002)實證結果顯示，對於不同類型的重編市場的反應會不同，因此本研究將財務報表重編分類為自願重編與強制重編兩類進行分析。此外本研究為了探討台灣電子產業與其他產業是否存在差異，故將強制性財報重編公司與自願性財報重編公司進一步分為電子業與非電子業進行分析。實證結果顯示，自願重編公司在重編後財報公告之後的短期內有負的異常報酬，而強制重編公司有正的異常報酬。而無論是屬於強制性重編或者是自願性重編的類型，電子業與非電子業確實存在顯著性的差異。 This study aimed to explore the impact of the financial restatements on the stock market in Taiwan. The financial restatements for research event, Using the event study methodology to examine the impact of financial restatements on stock price. In this study, using the market model to build the regression model, and in order to avoid the stock return volatility clustering, using the generalized autoregressive conditional het-eroscedasticity to estimate regression coefficients. According to Richardson, Tuna, and Wu's (2002) empirical results, the market reaction will be different from the kinds of financial restatements. So the financial restatements are divided into the two parts for voluntary and mandatory. In order to explore the differences between Taiwan’s electronics industry and other industries, we divide all industry include the voluntary restatements and mandatory to electronics industry and non-electronics in-dustry. The empirical results show that the firms, voluntary restatement, have negative abnormal returns in the short-tern. And the firms, mandatory restatement, have positive abnormal returns. And whether it is a voluntary restatement or mandatory restatement, the electronics and non-electronics industry is the existence of significant differences.
Appears in Collections:	[Department of Accounting & Graduate Institute of Accounting] Thesis

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