The Impact of SFAS No.35 Application on th Listed Firms' Stock Performance in Taiwan

本研究的目的在於探討兩個問題：一、上市公司因應財務會計準則公報第三十五號公報的採用而宣告資產減損，市場的反應是正面的(positive)還是負面的(negative)？亦即，資產減損宣告對公司價值的影響為何？二、投資人對於資產減損宣告會過度反應(over-reaction)還是反應不足(under-reaction)？由於財務會計準則公報第三十五號公報的實施截至目前為止尚不足兩年，本研究對於本課題的研究著重在資產減損宣告和股價的關係突顯了這個課題的獨特性和重要性。本研究係採事件研究法以檢驗台灣上市公司採用財務會計準則公報第三十五號公報對於其股價的表現是否會造成影響。除了全數樣本的分析之外，亦將全數樣本依照減損公司的特性和減損資產的特性分成子樣本；或在事件研究法中傳統的市場模型當中加入利率因素或產業因素兩個控制變數並區分成對金融業和非金融業加以分析——目的在於探討這些分類或因素是不是造成資產減損宣告對股價反應的原因。實證結果發現：一、不論是採用哪一種子樣本的分類方式，市場對資產減損宣告的反應都是負向的；二、和利率因素相比，產業因素比較能解釋資產減損宣告前後的股價反應，且對於金融業或非金融業結論皆然；三、30天期的股價反應顯示，投資人對於資產減損宣告有過度反應的現象，因為在產業分類之下股價在12天至18天左右有迴轉(reversal)的現象。The purpose of this paper is to answer two questions: 1. Does the market react positively or negatively to asset write-down announcements? Or, what is the impact of asset impairment on the firm value? 2. Do investors over-react or under-react to asset write-down announcements? Given the recent enforcement of SFAS No.35 about asset write-down, this study supplements the importance of that pronouncement by demonstrating the relation between write-downs and security prices. This study employs the event study methodology to examine the impact of SFAS No.35 on the stock performance of those listed firms (i.e., whose stocks are listed on the Taiwan Stock Exchange) that apply the regulation. Partitions methods based on write-down asset and write-down firm characteristics are adopted. Moreover, two other control variables—industry factor or interest rate factor—are added to the traditional market model for the financial industry and non-financial industries to see if these factors can also explain the market reaction around write-down announcements. The result shows that the market reacts negatively to asset written-down announcement whatever the partition method is adopted. And the industry return is proved to be the better factor that can explain the market reaction than the interest rate factor. The near-term stock performance in the (-30, 30) period shows that investors tend to over-react to write-down announcements, for the stock price signals a reversal after the announcement date