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系統識別號 U0026-0812200915094503
論文名稱(中文) 產業多角化與資訊不對稱之實證:法律制度與全球的觀點
論文名稱(英文) The Effect of Industry Diversification on Asymmetric Information: the Legal System and International Evidence
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 97
學期 2
出版年 98
研究生(中文) 謝明瑾
研究生(英文) Ming-Chin Hsieh
電子信箱 r8696102@mail.ncku.edu.tw
學號 r8696102
學位類別 碩士
語文別 英文
論文頁數 84頁
口試委員 指導教授-王明隆
口試委員-黎明淵
口試委員-黃炳勳
中文關鍵字 資訊不對稱  分析師預測  產業多角化 
英文關鍵字 Industrial Diversification  Asymmetric Information  Analyst Forecast 
學科別分類
中文摘要 本篇論文主要探討公司產業多角化對資訊不對稱的影響。本研究以分析師預測值和盈餘宣告後市場異常報酬為衡量資訊不對稱之代理變數來檢驗公司多角化與資訊不對稱之間的關係。另外,本篇論文也依照法律體系來檢驗公司多角化所造成的資訊不對稱程度在不同法律體系的國家間是否有異同。資料來源方面,我們採用2000至2006年間符合同時存在於I/B/E/S與Worldscope資料庫的全球樣本。實證結果顯示全球公司多角化的程度越高,則分析師的盈餘預測誤差以及分歧越高,但公司多角化的程度越高,盈餘宣告後異常報酬越低。就美國公司而言,多角化的程度越高,分析師的盈餘預測誤差和分歧,以及盈餘宣告後異常報酬越低。而日本公司,多角化的程度越高,分析師的盈餘預測誤差越高,但分析師的盈餘預測分歧以及盈餘宣告後異常報酬越低。另外,實證結果顯示法系法律體系公司進行多角化後會比非法系法律體系公司有更高的分析師盈餘預測分歧,但卻有較低的分析師盈餘預測誤差以及盈餘宣告後異常報酬。
英文摘要 The objective of this paper is to examine the effect of industrial diversification on asymmetric information. In this study, analysts’ earning forecast error, forecast dispersion among analysts, and the market reactions after the earning announcement date are proxies to measure asymmetric information, and the Entropy index is the proxy to measure the level of industrial diversification. This paper tests the relation between diversification and the asymmetric problem. We obtain data from I/B/E/S and Worldscope datasets during the period from 2000 to 2006. The empirical evidence shows that the higher level of diversification accompany larger analysts’ forecast error and dispersion, but smaller market reaction after earning announcement. For the U.S. firms, the higher level of diversification accompany lower analysts’ forecast error, lower analysts’ forecast dispersion, and lower market reaction after earning announcement. For the Japanese firms, the higher level of diversification accompanies higher analysts’ forecast error but smaller dispersion among analysts and smaller market reaction after earning announcement. In addition, the French legal system firms implement diversification would have higher analysts forecast dispersion but lower analysts’ forecast error and smaller market reaction after earning announcement than the non-French legal system firms.
論文目次 CHAPTER 1 INTRODUCTION 1
1.1 RESEARCH MOTIVATIONS AND BACKGROUND 1
1.2 RESEARCH CONTRIBUTION 7
1.3 RESEARCH FRAMEWORK 8
CHAPTER 2 LITERATURE REVIEW AND HYPOTHESIS 10
2.1 LITERATURE REVIEW OF DIVERSIFICATION AND INFORMATION ASYMMETRY 10
2.2 LITERATURE REVIEW OF LAW AND FINANCE 13
2.3 HYPOTHESIS DEVELOPMENT 15
CHAPTER 3 DATA AND EMPIRICAL DESIGN 18
3.1 DESCRIPTION OF SAMPLES 18
3.2 DEFINITIONS OF THE VARIABLES 19
3.2.1 Diversification Measure 19
3.2.2 Information Asymmetry Measure 22
3.2.3 The control variables for ERROR and DISPERSION 24
3.2.4. The control variables for AR 27
3.3 METHODOLOGY 29
3.3.1 Analysts’ earning forecast error as a proxy for asymmetric information 29
3.3.2 Analysts’ earning forecast dispersion as a proxy for asymmetric information 30
3.3.3 Abnormal return after earning announcement as a proxy for asymmetric information 31
CHAPTER 4 EMPIRICAL RESULTS 33
4.1 THE RESULT OF UNIVARIATE COMPARISONS 33
4.2 THE REGRESSIONS RESULTS OF FORECAST ERROR 37
4.3 THE REGRESSIONS RESULTS OF FORECAST DISPERSION 43
4.4 THE REGRESSIONS RESULTS OF PRICE IMPACT OF EARNING SURPRISES 50
CHAPTER 5 CONCLUSION 57
5.1 RESEARCH CONCLUSIONS 57
5.2 RESEARCH CONSTRAINS AND SUGGESTIONS 59
REFERENCE 61
TABLE 1 SAMPLES CHARACTERISTICS AND DISTRIBUTION OF COUNTRY 65
TABLE 2 FREQUENCY OF OBSERVATIONS BY YEAR AND FIRM TYPE 66
TABLE 3 DESCRIPTIVE STATISTICS OF VARIABLES BY FIRMS 67
TABLE 4 REGRESSIONS OF ANALYST’S FORECAST ERROR 70
TABLE 5 REGRESSIONS OF ANALYST’S FORECAST DISPERSION 75
TABLE 6 REGRESSIONS OF EARNING ANNOUNCEMENT ABNORMAL RETURNS 80
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