財務相關領域對於異常報酬的存在性與持續性一直有所爭論，效率市場主張投資者是理性的，應該可以迅速反應公開的會計訊號且套利完畢，然而，隨著1980年代愈來愈多的實證結果顯示，資本資產定價模型(CAPM)與效率市場假說漸受質疑，主張傳統財務學的學者將這些發現通稱為市場異常現象(anomalies），其中會計異常現象（accounting anomalies）意指投資者根據會計訊號（signal）形成投資組合，之後可獲得超過預期報酬的異常報酬（abnormal return）。 本文企圖以資訊不確定的觀點解釋會計異常現象，採兩種衡量盈餘品質優劣程度的模型作為資訊不確定的代理變數：1、Dechow and Dichev''s Model(2002)，其中迴歸殘差的標準差愈大表盈餘品質愈差，亦即資訊不確定程度愈高；2、Dechow, Sloan and Sweeney（1995）提出的修正Jones Model，其中異常應計項目之絕對值愈大表盈餘品值愈差，亦即資訊不確定程度愈高。會計異常現象則以台灣諸多文獻探討過的價值股成長股策略（value-glamour）為研究對象。 本文以民國82年至91年間台灣股票上市公司為研究對象，實證結果發現，投資組合之多部位與空部位皆存在盈餘品值較差的現象，且多部位與空部位中，盈餘品值差之股票產生的異常報酬較盈餘品值好之股票多，隨著時間經過，資訊不確定獲得解決後，盈餘品值差之股票產生的異常報酬趨向盈餘品值好之股票，因此本文根據上述三項結果認為，會計異常現象的確與資訊不確定存在關聯性。 There are much debate over the existence and persistence of abnormal returns in financial-related field. Market efficiency dictates that rational traders should be able to quickly trade away any abnormal returns to public accounting signals.However, more and more researchers queried the authenticities of Capital Asset Pricing Model(CAPM) and Market efficiency hypotheses following numerous inconsistent empirical results which were called anomalies in 1980’s. Accounting-based trading anomalies refer to systematic patterns in long term stock returns following an accounting signal which canbe exploited to generate returns over and above the expected returns. This study attempts to examine whether rational investor responses to information uncertainty explain properties of and returns to accounting-based trading anomalies. The proxies of information uncertainty are two measures of earning quality：the standard deviation of the residual from a Dechow and Dichev''s Model(2002), and the absolute value of abnormal accruals from the Jones Model (1991) as modified by Dechow, Sloan and Sweeney（1995）.The larger standard deviations of the residual and absolute value of abnormal accruals indicate poorer earning quality and ,therefore, greater information uncertainty. Accounting-based trading anomalies are focus on value-glamour strategies. The period of this study is from January 1993 to December 2002, and the samples are listed companies on Taiwan Stock Exchange. The empirical results show that extreme anomaly portfolios have poor earning quality than non-extreme portfolios, and within the extreme anomaly portfolios, poor earnings quality securities are more prevalent and earn larger abnormal returns than good earnings quality securities. As information uncertainty is resolved over time, the abnormal returns to poor quality signals diminish, converging in magnitude to the abnormal returns to good quality signals. Therefore, these results indicate that accounting-based trading anomalies are correlated with information uncertainty.
