A Study on the Relationship between the Information Disclosure and Transparency Ranking System and Stock Prices

[[abstract]]摘 要 本研究係探討35號公報實施後對於股票市場之影響，研究以GARCH模型研討(1)2005、2006、2007年度公司認列在宣告日前後股價異常報酬。(2)2005、2006、2007年度認列損失達兩億元以上之公司，在宣告日前後股價之異常報酬。(3)2005、2006、2007年度認列損失在兩億元以下之公司在宣告日前後股價之異常報酬。 實證結果顯示，公司認列資產減損對股價是會產生負向異常報酬。其中認列資產減損金額達兩億元以上，對股價造成負向異常報酬，較認列資產減損在兩億元以下對股價造成負向異常報酬大。[[abstract]]Abstract This thesis investigates the impact of the implementation of SFAS No. 35 on the stock market. The thesis uses the GARCH model to estimate the coefficients of the market model and uses the event study method to investigate: (1) abnormal returns around the day of the asset impairment announcement in the years from 2005 to 2007, (2) abnormal returns after TSE listed companies announce a asset impairment loss of more than two hundreds millions in the years from 2005 to 2007, and (3) abnormal returns after TSE listed companies announce a asset impairment loss of less than two hundreds millions in the years from 2005 to 2007. The empirical results show that there are negative abnormal returns when TSE listed companies announce the asset impairment. Additionally, the negative abnormal returns are greater for the asset impairment loss of more than two hundreds millions than for the asset impairment loss of less than two hundreds millions