The Comparison of Information Content for Financial Data - the Evidence of Taiwan Stock Market

• Main Authors: Chao-Jen Lai, 賴昭仁
• Other Authors: Cheng-Yu Chen
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/89877104598656914142

碩士 === 國立屏東商業技術學院 === 財務金融系(所) === 101 === In this study, we extend the stock assessment model of Collins, Maydew and Weiss(1997) with revenue per share, operating income percentage and gross margin percentage to investigate the relationship between stock price and financial data for Taiwan listed companies. We also take into account the time and industry factors for our study. On the other hand, we use the JA-test proposed by Chan and Seow (1996) to determine which information deserve the most investor’s attention. Empirical results are as follows: From multiple regression models for the whole sample, we learned the book value per share’s T-statistic is greater than the earnings per share’s. There’s similar situation for the third quarter of 2008 to the third quarter of 2012 and traditional industries, which are in line with Collins, Maydew and Weiss (1997) empirical results. But such comparison is not rigorous; it cannot represent the book value per share information content are greater than the information content of earnings per share. For the relative information content JA-test empirical results show that the information content of Book values per share are equal to of earnings per share are equal in the whole sample, and more than the revenue per share. First quarter of 2006 to the second quarter of 2008, and electronic industry have the similar situation, book value per share and earnings per share have the equal information content, and in turn greater than the operating income percentage, gross margin percentage and revenue per share. This shows that before the 2008 financial crisis the electronics industry are the focus of trading and observation. Third quarter of 2008 to the third quarter of 2012, traditional production, services and other have the similar situation: Book values per share, earnings per share, gross margin percentage and revenue per share have the equal information content. This shows that after the 2008 financial crisis is the traditional production, services and other are the focus of trading and observation. For the incremental information content JA-test empirical results show: The more financial data do not necessarily have more information content. When increasing the revenue per share data, it did not increase the information content to book values per share and earnings per share, but to make the information content offset from each other. Additional financial data may interfere with the original financial information , and result in the reduction of the information content.