會計準則、資訊不對稱對中國大陸證券市場盈餘宣告之市場反應的影響

Effects of Accounting Principles and Information Asymmetry on the Earnings Response in the Chinese Stock Exchanges

先前文獻曾質疑財務報表只需要遵循充分揭露原則（full-disclosure principle），而不必重視會計準則的選擇。然而，目前許多資本市場仍然規範財務報表必須依據特定會計準則編製。本研究比較中國大陸的公司在盈餘宣告時，以國際會計準則揭露之盈餘資訊與市場報酬的關聯性，是否高於以中國會計準則揭露之盈餘資訊與市場報酬的關聯性。研究模型並且納入機構投資人之影響效果，以分析公司與投資大眾之資訊不對稱程度是否改變市場之盈餘反應狀況。本研究發現：（一）盈餘宣告期間，B股市場會反應以國際會計準則設算之未預期盈餘資訊；而A股市場未能反應以中國或國際會計準則設算之未預期盈餘資訊。（二）國際會計準之盈餘與B股股票報酬的攸關性較高，隱涵國際會計準則的資訊品質較中國會計準則為佳。（三）研究結果並未支持公司與投資大眾之資訊不對稱程度會影響盈餘反應狀況。

Previous literature suggests that the regulations of financial statements should emphasize on full disclosure principle more than selection of specific accounting standards. However, in reality firms are required to prepare their financial statements according to specific accounting principles in the certain stock markets. The objective of this research is to analyze the relevance between market value and accounting earnings based on different accounting standards. We compare the relations between returns and earnings based on IAS with those between returns and earnings based on the Chinese GAAP. In addition, we also construct a new model with factors of institutional holdings to study the effect of information asymmetry on earnings response. The results show that the Chinese B-share market reacts to the information of earnings based on IAS, while the Chinese A-share market does not react to the information of earnings based on either Chinese GAAP or IAS. The findings imply that earnings based on IAS are more relevant to the B-share stock returns. However, our findings do not support the hypothesis that earnings response is related to institutional holdings in the new model.