本論文旨在探討管理當局之自願性盈餘預測事件對股價及交易量反應之影響，以瞭解預測資訊之品質與其資訊內涵間之關聯性。本研究選取國內之150家上市公司在民國75年至85年間的1035個首次自願性盈餘預測資料為樣本，根據相關之理論及實證文獻建立五項可能影響資訊內涵的因素－公司規模、盈餘預測精確度、盈餘變異性、預測揭露時點與未預期盈餘，以t檢定及多元迴歸分析方式檢視預測發布期間之資訊內涵假說。實證結果顯示：

一、公司規模與預測發布期間之異常價量反應成反比。

二、盈餘預測準確度與預測發布期間之異常價量反應成正比，與Kim及Verrecchia(1991)之理論分析結果相符。

三、盈餘變異性於國內並非預測發布期間之異常價量反應的良好解釋因素，研究假說未獲支持。此一現象可能係困盈餘變異性對市場反應之影響並非透過盈餘預測之精確度而是另有其他原因所致。

四、預測揭露時點之早晚與預測發布期間之異常價量反應成正比，顯示自願性盈餘預測之資訊內涵會受到該訊息之能否及時提供而影響，證明『時效性』為會計資訊之攸關品質特性。

五、未預期盈餘之絕對值與預測發布期間之異常價量反應成正比。

This study investgates the effects of managers' voluntary earnings forecast quality on investors' trading behavior. The relationships between firm size, precision of forecast, stability of earnings, timing of disclosures, unexpected earnings and price and volume reactions are examined.

Kim and Verrecchia(1991) modeled the price and volume reactions to the public announcement as a positive function of the information's precision. We test these predictions with a sample of 1035 managers' voluntary earnings forecasts for 1986-1996 annual earnings. T statistical test and regression analysis are applied to test the information content hypothesis.

We obtain the following results:

1. Price and volume reactions are inversely related to firm size.

2. Price and volume reactions are increasing functions of the precision of management forecasts. These results are consistent with Kirn and Verrecchia's(1991) theoretical proposition.

3.The relationship between stability of earnings and price and volume reactions are not significant around the period of managers' voluntary earnings forecasts issued.

4.The eariler the timing of disclosures, the higher the price and volume reactions. Thus for information to be relevant, it must be presented on a timely basis.

5.Price and volume reactions are positively correlated with the absolute value of the unexpected earnings.