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1 Ball and Brown (1968) Beaver, Clark, and Wrigh (1979) Ball and Brown (1968) abnormal reurns, CAR) (cumulaed DeFond, Hung, and Trezevan, 2007; 1992) (Sronger and Walker, 1993; (Jones, 1991; Schipper, 1989; Was and Zimmerman, 1978; 2002) Was and Zimmerman (1978) (2002) - 1 -

2 ?

4 Davidson, Sickney, and Weil (1987) principles, GAAP) (generally accep accouning Schipper (1989) (GAAP) - 4 -

5 Healy and Wahlen (1999) Was and Zimmerman (1978) (posiive accouning heory) : (he bonus plan hypohesis) (he deb covenan hypohesis) 3. (he poliical cos hypohesis) ( ) Healy (1985) ( ) (big bah) - 5 -

6 (2009) ( ) DeFond and Jiambalvo (1994) Sweeney(1994) (2002) ( ) - 6 -

7 Jones (1991) (1992) Jones (1991) Cahan ( ) (Jones, 1991) (GAAP) ( ) - 7 -

8 ( ) : (Healy, 1995), (DeAngelo, 1986; Dechow, Sloan, and Sweeney, 1995; Healy, 1985; Jones, 1991; Kohari, Leone, and Wasley, 2005) ( )Healy model Healy (1995) Healy NDA TA / T (2-1) DA TA NDA (2-2) - 8 -

9 NDA : DA : TA : T: 1, 2, 3 T T: ( ) DeAngelo model DeAngelo (1986) Healy (1985) NDA (2-3) TA 1 DA TA NDA (2-4) ( ) Jones Model NDA : DA : TA : : Jones (1991) Healy (1995) Deangelo (1986) Jones model - 9 -

10 NDA 1/ A ) ( REV / A ) ( PPE / A ) (2-5) 1( NDA ˆ (1/ A ) ˆ ( REV / A ) ˆ ( PPE / A ) (2-6) DA TA / A NDA (2-7) 1 NDA : A 1: REV : PPE : DA : TA : ˆ ˆ : 1 ˆ 2 3 ( )modified Jones model Dechow, e al., (1995) Jones model NDA 1/ A ) ( REV REC )/ A ( PPE / A ) (2-8) 1( NDA ˆ (1/ A ) ˆ ( REV REC ) / A ˆ ( PPE / A ) (2-9)

11 DA TA / A NDA (2-10) 1 NDA : A 1: REV : PPE : REC : DA : TA : ˆ ˆ : 1 ˆ 2 3 ( ) modified Jones model Jones model modified Jones model (Dechow e al.,1995; Guay, Kohari, and Was, 1996) Kohari e al., (2005) modified Jones model ROA) Jones model (reurn on asse, NDA ˆ (1/ A ) ˆ 1 2[( REV REC ) / A ˆ ( PPE / A ˆ ROA ) ] (2-11) DA TA / A NDA (2-12)

12 NDA : A 1: REV : PPE : REC : ROA : DA : TA : ˆ ˆ : 1 ˆ 2 3 ( ) (performance-mached approach) Kohari e al., (2005) Jones model Kohari e al., (2005) modified Ball and Brown (1968)

13 Ball and Brown (1968) Beaver (1966) Ball and Brown (1968), performance index, API) (abnormal API API API Ball and Brown (1968) (Sco, 2003) (slope coefficien)

14 2-15 CAR i 0 1UE i i (2-13) CAR i AR i T 1 (2-14) UE i Ei Ei, 1 (2-15) CAR i : i AR i : i UE i : i 0 : 1 : E i : i E : i -1 i, 1 Beaver e al., (1979) Ball and Brown (1968) Ball and Brown (1968) 25 Spearman Freeman (1987)

15 sign rank (size effec) Wilcoxon Aisase (1985) (over-he-couner marke, OTC) ( ) (size effec) Kormendi and Lipe (1987) ERC ARIMA (2, 1, 0) Sronger and Walker (1993) Collins, Maydew, and Weiss (1997) Ohlson (1995)

16 Collins e al Xie (2001) Jones model ,506 Chrisensen, Smih, and Suerke (2004) (ERC) ERC Ghosh, Gu, and Jain (2005) ,783 Defond e al., (2007) ,197

17 Wilson (2008) (1992) ERC ERC ERC ERC (2001) ERC

18 ERC ERC ERC (2005) pooled cross-secional disribuion approach

19 (mean-adjused reurns model) 2. (marke-adjused reurns model) 3. (marke model) 4.GARCH ( 2000) : ( ) (ex ane) : i 2-16 ( Rˆ 1 1 i ) R T i T E (2-16) 1 1 ( ) E Rˆ ) : i ( i R i : i R m ) 2-17 ( E( Rˆ i ) R m (2-17) ( ) E Rˆ ) : i ( i R i : i

20 Markowiz, Sharpe i Ri (ordinary leas suaremodel, OLS) R i 1 R (2-18) i m i R i : i R m: 1 : i i: i i : i E( Rˆ i ) R (2-19) i i m E Rˆ ) : i ( i R m: i : i i: i

21 ( )GARCH Engel (1982) auoregressive condiional heeroskedasicy esimaion, ARCH Bollerslev (1986) (generalized auoregressive condiional heeroscedasiciy, GARCH) ARCH (GARCH) GARCH(1,1) ARCH GARCH (1, 1) R i 1 R (2-20) i m i ~ N(0, h ) (2-21) i / 1 i h i (2-22) 2 0 1hi, 1 r i, 1 R i : i R m: 1 : i i: i

22 i : i 1 : -1 h i : i

23 al., 2007) (Ball and Brown, 1968; Defond e (ERC) Choi and Salamon (1989) Holhansen and Verrecchia (1998) (noise) Penman and Zhang (2002) ,540 (1994) ERC ( ) ERC ERC (CAR) (2006)

24 (2008) (2008) Miller and Modigliani(1996) Ohlson(1995)

25 , (ERC)

26 Ball and Brown (1968) (Beaver, Clarke, and Wrigh, 1979; Choi and Salamon, 1989; Holhansen and Verrecchia, 1998; ) (Was and Zimmerman, 1978; Schipper, 1989; Kohari e al., 2005; 2009) (2009) (1994) DeAngelo (1986)? (2008)

27 ( )? H 1 H (Taiwan Economic Journal, TEJ) 3, ,012 ( DA > 0) (

28 DA < 0) 1,444 1,568 3, ,629 (395) (26) (31) (165) 3, (17.80%) 265 (16.90%) (18.91%) 307 (19.58%) (19.73%) 331 (21.11%) (19.67%) 350 (22.32%) (23.89%) 315 (20.09%) 660 1,444 (100%) 1,568 (100%) 3,

29 (CAR) (UE) (ADA) (UE ADA) (SG) (LEV) (OCF) (IH) (MH) (NB) (SIZE) (β) (CAR) (AR) AR i R E Rˆ ) (3-1) i ( i CAR i AR i 1, (3-2) : CAR i : i AR i : i ( ) (UE)

30 (ERC) Sronger and Walker(1993) 3-3 NI NI i i 1 UE i (3-3) TAi 1 ( ) (ADA) Jones model UE i : i NI i : i NI i 1 : i -1 TA i 1: i Kohari e al., (2005) modified ( ) (UE ADA) ( ) (SG) (2007) ( ) (LEV)

31 Dhaliwal (1991) ( ) (OCF) (Becker e al., 1998; Dechow e al., 1995;) ( ) (IH) 1999) ( ) (MH) ( 2008) ( Jenson and Meckling (1976) ( ) (NB) ( 2002) ( ) (SIZE)

32 (Aiase, 1985; Freeman, 1987) ERC ( ) ( ) Kohari, 1989) ERC (Collins and

33 3-3 CAR UE ADA Kohari e al. (2005) Modified Jones Model ( ) UE ADA UE ADA SG LEV OCF IH MH NB SIZE i

34 Ryburn, 1987; Gelb and Zarowin, 2002) 3-4 ERC (Aiase, 1985; Collins, Kohari, and 3-4 CARij 0 1UEij 2 ADAij 3UEij ADAij 4SGij 5 6OCFij 7IH ij 8MH ij 9NBij ij ij LEV SIZE ij ij (3-4) CAR ij : i j UE ij : i j ADA ij : i j UEij ADA ij : i j SG ij : i j LEV ij : i j OCF ij : i j IH ij : i j MH ij : i j NB ij : i j SIZE : i j ij : i j

35 ij : i j

36 4-2 Panel B 4-2 Panel A ( ) 2 6 (CAR_-2, 6) (CAR_-1, 6) (UE) : (2008) (SG) (LEV) (COF) (MH) (IH) 2.565(%) (%) 1.9 (SIZE) ( ) ( )

37 4-1 (N=3,012) Q1 Q2 Q3 CAR(-2,6) CAR(-1,6) UE ADA SG LEV OCF MH IH NB SIZE B CAR UE ADA ( ) UE ADA ( ) SG LEV OCF MH IH NB SIZE β

38 Panel A 4-2 (N=1,444) Q1 Q2 Q3 CAR(-2,6) CAR(-1,6) UE ADA SG LEV OCF MH IH NB SIZE B Panel B (N=1,568) Q1 Q2 Q3 CAR(-2,6) CAR(-1,6) UE ADA SG LEV OCF MH IH NB SIZE B CAR UE ADA ( ) UE ADA ( ) SG LEV OCF MH IH NB SIZE β

39 Pearson (UE) (LEV) (COF) (MH) (IH) (NB) (SIZE) (CAR_-2, 6) (CAR_-1, 6) (ADA) (COF) (r=-2.66) (SIZE) (ADA) (r=-0.076)

40 4-3 Pearson Panel A (N=3012) CAR_-2, 6 1 CAR_-2, 6 CAR_-1, 6 UE ADA SG LEV OCF MH IH BN SIZE β CAR_-1, ** 1 UE 0.102** 0.104** 1 ADA ** 1 SG ** 0.155** 1 LEV 0.057** 0.060** ** 1 OCF 0.110** 0.114** 0.055* ** ** 0.134** 1 MH 0.037* 0.039* 0.054** ** IH 0.053** 0.051** 0.074** 0.105** 0.108** 0.038* 0.184** ** 1 NB 0.064** 0.064** ** ** ** 1 SIZE 0.061** 0.065** ** 0.085** ** 0.102** ** 0.422** β ** ** 0.106** ** 1 1. CAR UE ADA ( ) UE ADA ( ) SG LEV OCF MH IH NB SIZE β 2. ** 0.01 ( ) * 0.05 ( )

41 (N=1,444 ) (N=1,568 ) 4-4 Pearson CAR_-2, 6 CAR_-1, 6 UE DA SG LEV OCF MH IH BN SIZE β CAR_-2, ** 0.160** ** * 0.142** ** ** CAR_-1, ** ** ** * 0.130** ** ** UE 0.057* 0.057* ** ** 0.054* 0.117** DA ** ** ** ** 0.067** * SG ** 0.176** ** 0.155** ** ** 0.091** LEV 0.063* 0.067* ** ** * ** OCF 0.119** 0.115** 0.116** ** * 0.242** 0.120** 0.126** 0.159** MH ** ** 0.056* ** ** IH ** 0.081** ** ** ** 0.482** 0.118** NB 0.063(*) 0.055* * 0.098** 0.159** ** SIZE ** 0.077** ** ** 0.334** ** ** β * ** ** 0.091** ** 1 1. CAR UE ADA UE ADA SG LEV OCF MH IH NB SIZE β 2. ** 0.01 ( ) * 0.05 ( )

42 daa (CAR) ( ) 3 (=-3) 10 =10) (UE) (ADA) (UE ADA) (SG) (LEV) (OCF) (MH) (IH) (NB) (SIZE) (β) panel 4-5 panel A 4-5 panelb 4-5 panelc 2 6 (CAR_-2, 6) 1 6 (CAR_-1, 6) 4-6 F OLS (F=1.17, p=0.017) Hausman (H=23.52, p=0.015) (UE) (CAR_-2, 6) ( = p=0.003)

43 (Kormendi and Lipe, ) (ADA) (CAR_-2, 6) ( =9.892 p=0.055) (UE ADA) (CAR_-2, 6) ( = p=0.075 ) ( =9.417 p=0.003 ) (OCF) (CAR_-2, 6) = p=0.000 ) (IH) (

44 4-5 Panel A p (N=3,012) UE ADA UE ADA CAR_-0, Fixed effecs CAR_0, Fixed effecs CAR_-1, Fixed effecs CAR_-1, Fixed effecs CAR_-1, Fixed effecs CAR_-1, Fixed effecs CAR_-1, Fixed effecs CAR_-2, Fixed effecs CAR_-2, Fixed effecs CAR_-2, Fixed effecs CAR_-2, Fixed effecs CAR_-2, Fixed effecs Panel B (N=1,444) UE ADA UE ADA CAR_-1, Fixed effecs CAR_-2, Fixed effecs CAR_-3, Fixed effecs Panel B (N=1,568) UE ADA UE ADA CAR_0, Random effecs CAR_0, Random effecs CAR_-1, Random effecs CAR_-1, Random effecs CAR_-1, Random effecs CAR_-1, Random effecs CAR_-1, Random effecs CAR_-1, Random effecs CAR_-1, Random effecs CAR_-2, Random effecs CAR_-2, Random effecs CAR UE ADA UE ADA

45 OLS F (F=1.30, p=0.000) Hausman (H=14.93, p=0.186) (UE) (CAR_-2, 6) ( =7.564 p=0.032) (Kormendi and Lipe, ) (ADA) (CAR_-2, 6) ( = p=0.000 ) (UE ADA) (CAR_-2, 6) ( = p=0.000) ( = p=0.002) ( ) (OCF) (CAR_-2, 6) ( =7.833 p=0.000) ( =0.145 p=0.099) (MH) ( =0.294 p=0.094 ) (NB)

46 p=0.010) ( =0.610 CAR_-1, CAR_-2, 6 ( = p=1.104) ( = p=0.000) CAR_-2,

47 CAR (-2, 6) CAR (-1, 6) p p p p p p consan UE ADA UE ADA SG LEV OCF MH IH BN SIZE β N 3,012 1,444 1,568 3,012 1,444 1,568 F(p) 1.37 (0.002) 1.17(0.017) 10.42(0.000) 1.37 (0.002) 1.14(0.038) 10.90(0.000 R Adj R Model Selecion Fixed effecs Fixed effecs Radom effecs Fixed effecs Fixed effecs Radom effecs CAR UE ADA UE ADA SG LEV OCF MH IH NB SIZE β

48 Panel daa

49 ERC

50 (1999) (2007) (2005) (2005) (2008) (2002) (2008) (1992)

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52 Beaver, W., Clarke, W. H. R., & Wrigh, W. F. (1979). The associaion beween unsysemaic securiy reurns and he magniude of Earnings forecas errors. Journal of Accouning Research, 17(2), Beaver, W. H. (1966). Financial raio as predicors of failure. Journal of Accounfing Research, 4(3), Becker, C., DeFond, M., Jiambalvo, J., & Subramanyam K. R. (1998). The effec of audi qualiy on earnings managemen. Conemporary Accouning Research, 15(1), Bollerslev, T. (1986). Generalized auoregressive condiional heeroskedasiciy. Journal of Economric, 31(3), Cahan, S. F. (1992). The effec of anirus invesigaion on discreionary cruals: A refined es of he poliical cos hypohesis. The Accouning Review, 67(3), Choi, S. K., & Salamon, G. (1989). Exernal reporing and capial asseprices. Advances in Quaniaive Analysis of Finance and Accouning, 3(Par A), Chrisensen, T. E., Smih, T. Q., & Suerke, P. S. (2004). Public predisclosure informaion, firm size, analys following, and marke reacions o earnings announcemens. Journal of

53 Business Finance and Accouning, 31(7), Collins, D. W., & Kohari, S. P. (1989). An analysis of iner emporia and cross-secional deerminans of earning response coefficiens. Journal of Accouning and Economics, 11(pp. 2-3), Collins, D., Maydew, E., & Weiss, I. (1997). Changes in he value-relevance of earnings and book values over he pas fory years. Journal of Accouning and Economics, 24(1), Davidson, S. D., Sickney, C., & Weil, R. (1987). Accouning: The language of business (7h ed.).sun Lakes, Arizona: Thomas Horon and Daugher. DeAngelo, L. (1986). Accouning numbers as marke valuaion subsiues: A sudy of managemen buyous of public sockholders. The Accouning Review, 61(3), Dechow, P., Sloan, R., & Sweeney, A. (1995). Deecing earning managemen. The Accouning Review, 70 (2), DeFond, M., Hung, M., & Trezevan, R. (2007). Invesor proecion and he informaion conen of annual earnings announcemen: Inernaional evidence. Journal of Accouning and Economics, 43(1),

54 DeFond, M. L., & Jiambalvo, J. (1994). Deb violaion and manipulaion of accruals. Journal of Accouning and Economics, 17(pp. 1-2), Dhaliwal, D. S., & Reynolds, S. S. (1994). The effec of he defaul risk of deb on he earnings response coefficien. The Accouning Review, 69(2), Engle, R. F. (1982). Auoregressive condiional heeroskedasiciy wih esimaes of he variance of he Unied Kingdom inflaion. Journal of Business and Economics Saisics, 9(1), Felham, G., & Ohlson, J. (1995). Valuaion and clean surplus accouning for operaing and financial aciviies. Conemporary Accouning Research, 11(2), Freeman, R. (1987). The associaion beween accouning earnings and securiy reurns for large and small firms. Journal of Accouning and Economics, 9(2), Gelb, D. S., & Zarowin. P. (2002). Corporae disclosure policy and he informaiveness of sock price. Review of Accouning Sudies, 7(1), Ghosh, A., Gu, Z., & Jain. P. C. (2005). Susained earnings and revenue growh, earnings qualiy, and response coefficiens. Review of Accouning sudies, 10(1),

55 Guay, W. R., Kohari, S. P., & Was, R. L. (1996). A marke-based evaluaion of discreionary accrual models. Journal of Accouning Research, 3 (Suppl. 2), Healy, P. M. (1985). The effec of bonus schemes on accouning decision valuaion model. Journal of Accouning and Economics, 7(1-3), Healy, P. M., & Wahlen. J. M. (1999). A review of he earnings managemen lieraure and is implicaions for sandard seing. Accouning Horizons, 13(4), Holhausen, R. W., &. Verrecchia, R. E. (1988). The effecs of sequenial informaion releases on he variance of price changes in an ineremporal muli-asse marke. Journal of Accouning Research, 26(1), Jensen, M. C., & Meckling, W. H. (1976). Theory of he firm, managerial behavior, agency coss and ownership srucure. Journal of Financial Economics, 3(4), Jones, J. J. (1991). Earnings managemen during impor relief invesigaion. Journal of Accouning Research, 29(2), Kormendi, R., & Lipe, R. (1987). Earnings innovaions, earnings persisence and sock reurns. Journal of Business, 60(3),

56 345. Kohari, S. P., Leone, A. J., & Wasley, C. E. (2005). Performance mached discreionary accrual measures. Journal of Accouning and Economics, 39(1), Penman, S. H., & Zhang, X. J. (2002). Accouning conservaism, he Qualiy of Earnings, and Sock Reurns. The Accouning Review, 77 (2), Schipper, K. (1989). Commenary: Earnings managemen. Accouning Horizons, 3(4), Sco, W. R. (2003). Financial Accouning Theory (3rd ed.). Torano: Person Educaion Canada. Srong, N., & Walker, M. (1993). The explanaory power of earnings and sock reurns. The Accouning Review, 68(2), Sweeney, A. P. (1994). Deb-covenan violaions and managers accouning responses. Journal of Accouning and Economics, 17(3), Was, R. L., & Zimmerman, J. L. (1978). Towards a posiive heory of he deerminaion of accouning sandards. The Accouning Review, 53(1),

57 Wilson, W. (2008). An empirical analysis of he decline in he informaion conen of earnings follow resaemen. The Accouning Review, 83(2), Xie, H. (2001). The mispricing of abnormal accruals. The Accouning Review, 76(3),

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