The Effect of Financial Forecast on the Risk and Trading Volume

• Main Authors: Yu-Huan Chao, 趙宇桓
• Other Authors: Wei-Heng Lin
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/12406114416360918617

碩士 === 中原大學 === 會計研究所 === 91 === Abstract Most of study followed “event study” to verify the effects of financial information on the market, and it assumed that the systematic risk β is stable. But recent studies foundβmay shift by time. If βshift is a fact, related researches have better control the influence of βshift in order to avoid bias. This study applied dimson model (1979) to estimate βvalue and its shift during financial forecast announcement. The results indicated that more than 10% of samples had the facts of βshift under 10% significant level. Otherwise, we found that the smaller size the company is, the larger βshift the company had, and the more precise of company’s financial forecast announcement, the smaller βshift the company had. And by examining different time interval during the year, we also found that the influence of announcement was getting weaker and weaker when the time was close to the end of the year. This result implied that the main value of financial forecast is “forecast”, when the time of forecast period decreased, the effect of the “forecast value” would decrease. Trading volume is another important measurement to examine the effect of financial announcement on the market. After examining whether the β shifts or not, this study also tested the abnormal trading volume during financial forecast announcement is influenced by βshift or information content. The results indicated that abnormal trading volume was impacted by both of them, but information content had stronger relation with it.