公司被動發布訊息說明之市場反應研究－－以電子及傳統產業為例

Research on The Market Reaction Toward The Information Announced Passively by Companies - Using The Electronics and Traditional Industries as an Example

公司發布重大訊息時，市場投資人全盤相信公司的說法嗎？又當媒體發布公司消息於先，公司卻澄清媒體說法於後，投資人是相信媒體或公司呢？本文以上市電子工業與鋼鐵、塑膠及建材營造等三大傳統產業為研究對象，將公司發布之訊息分為天災、人為事件與回應媒體報導等三類驗證之。實證結果發現，當天災發生，公司發布不受天災影響之訊息時，市場較相信電子工業之公司說法，負的異常報酬有限。當人為事件發生公司發布不受人為事件影響之訊息時，傳產業在此危機事件之聲明較能得到投資人之信任。當媒體發布公司負面消息時，傳產業較能於公司回應澄清說明後股價回穩，當媒體發布公司正面消息時，電子工業即使在公司出面否定訊息時，仍能持續維持上升的異常報酬。再者，電子工業在公司否定媒體報導有關資本結構異動之消息時，市場仍回報以正的異常報酬來支持公司。最後，當公司未明確回應媒體報導有關公司正面財務預測之消息時，投資人依舊相信媒體的報導，市場反應出正的異常報酬。由此觀察，在資訊不對稱下，媒體實扮演了舉足輕重的角色。

Do investors believe what companies say in major announcements? Do investors buy into the clarification from companies regarding media coverage? This paper examines listed companies in the electronics industry and the three traditional industries of steel, plastics, and building materials and construction. It further classifies company announcements into the three categories of natural disasters, man-induced events, and responses to media reports. The empirical results suggest that when natural disasters strike, the market finds 'business-as-usual' announcements from electronics companies to be more convincing than similar statements from companies in the traditional industries, resulting in limited abnormal and negative returns. However, in the case of negative man-made events, the market finds 'business-as-usual' announcements from companies in the traditional industries to be more convincing than similar statements from electronics companies. After negative news coverage in the media, the share prices for companies in traditional industries will stabilize after clarifications from the companies (in comparison to electronics companies). For electronics companies, after good news coverage, the share prices will continue to rise and the companies will react positively and have abnormal returns, even when the companies deny the media stories. The market will also react positively and has abnormal returns when electronics companies deny the media coverage concerning changes to their capital structures. Finally, investors will remain convinced of the media coverage and the market will react positively and has abnormal returns if companies do not specifically respond to positive news concerning their financial forecasts. In sum, the media plays a pivotal role in the context of information asymmetry. Regression analysis finds that the market to book ratio is the important factor that affects the market reaction toward the information announced passively by companies.