"論文提要

上市公司財務報表的公布，其主要目的之一在降低公司和股市投資人間的資訊不對稱問題，然而，該等財務報表是否能夠事先傳達出公司重大事件的訊息?投資人面對眾多的財務報表資料將如何抉擇?由於上市公司嚴重虧損可能導致財務危機，投資人因而面臨鉅額損失的威脅，而國內又缺乏上市公司盈虧預測方面較完整的文獻。 因此，本研究的目的如下:1.探討盈虧公司間財務指標在虧損事件發生前是否有差異? 2.建立區別模式以預測上市公司未來的盈虧3. 探討所建

立區別模式的資訊價值。

為達成上述目的，本研究將民國69 年到74 年間的樣本視為前期樣本，民國75 年到80 年間的樣本視為後期樣本，所採取的方法如下:1 統計方法一首先以t檢定驗證盈餘公司和虧損公司間，事件日前的財務指標是否有差異;接著利用因素分析公前期樣本的財務指標分類，並自每一因素中找出一個指標來建立多變量區別模式及Logit 模式，再以卡方檢定驗證模式區別能力的顯著性。2. 事件研究法一以「營業純益由盈轉虧」公司的「營業純益為負」年度的年度財務報告

公布法定截止日為事件日，並以市場模式分別探討後期樣本中，被前期樣本所建立的區別模式預測為盈餘的公司和虧損的公司是否具有超常報酬。 研究結果如下:

一、財務指標平均數的比較

1.虧損公司的資產使用效率不如盈餘公司

存貨週轉率、固定資產週轉率及總資產週轉率等指標在事件日前三年，虧損公司表現皆不如盈餘公司。

2. 虧損公司其他資產比重高於盈餘公司

其他資產中可能包括有閒置資產，比重太高對盈餘可能有不利的影響。

3. 虧損公司營業收入成長率在事件日前一年跌幅較大。

4. 虧損公司股利支付率低於盈餘公司，且隨事件日逼近，差距愈大。

二、區別模式的建立及驗證

本研究所建立的區別模式對原始樣本的區別能力，就事件日前兩年而言，多變量區別模式大多介於70% 到的%之間，且達1% 顯著水準; Logit 模式則多介於60% 到70% 之間，約達5% 顯著水準。至於模式對後期樣本的預測能力，只有多變量區別模式為67.6 % '達10% 顯著水準。

三、資訊價值的驗證

本研究利用前述多變量區別模式的預測結果進行資訊價值的驗證，結果顯示，預測日後十五個月內，預測為盈餘公司的累積超常報酬率有十四個月高於預測為虧損公司，且其中有兩個月與0 的差異達10%的顯著水準0 至於預測為虧損公司，其累積超常報酬率在同一期間所有月份與0 的差異皆未達10% 的顯著水準。"

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