公開發行公司對外公佈的財務預測是投資人買賣股票的重要參考資訊之一，我國自民國94年起財務預測改採完全自願公開方式，且方式得以簡式或完整式擇一為之，投資人對財務預測訊息的反應會如何影響公司的揭露決策? 公司如何權衡財測的透明度與精確度? 本文以理論模式探討財測揭露決策，水可載舟亦可覆舟，財測訊息的揭露可能降低資訊不對稱，不過也可能有公司透過財務預測拉抬或壓低股價，本研究考量內部人可能操縱財務預測以增加交易獲利，以及一般投資人在有限理性及學習過程的投資行為互動下，對於自願公開財務預測決策的影響。本文的分析顯示企業主選擇不公開財測的機會高於自願揭露，而在多期模式之下，因財測誤差的相關成本以及操縱財測的邊際預期收益遞減，內部人士會著重財測精確度。本文提出的模式與分析能用來說明台灣由部份強制揭露改為完全自願揭露財測之後，公開財務預測的上市櫃公司逐漸減少，而許多公司以法說會方式對外說明公司的展望。此外，本文以自願揭露制度之下更新財測的公司為樣本，分析內部人交易獲利的影響因素，實證結果顯示內部人的交易獲利與個股流動性、公司營運績效的變異性以及財測操縱難以捉摸的程度呈現正向關係，在自願揭露制度下內部人關於更新財測的交易獲利，高於強制揭露時期，與模型的推論相符。本研究對於主管機關、公司以及投資人評估財務預測深具貢獻。

Starting from 2005 the disclosure of financial forecast for Taiwanese public companies has not been mandatory, firms can decide whether they want to disclose, and if so, how and when to disclose. How does the investor's reaction affect this decision? Furthermore, what is the trade-off between transparency and precision? This study develops a theoretical model in which the voluntary disclosure of earnings forecast is a double-edged sword. Such disclosure may reduce information asymmetry, but simultaneously allows entrepreneurs to hype the stock. The proposed model assumes that insiders might manipulate information and investors can learn with bounded rationality. The analytical results demonstrate that entrepreneurs may forgo earnings forecast disclosure if they can achieve greater profit under non-disclosure. In the multiperiod case, this study shows that insiders would reduce their forecast manipulation behavior due to the cost of forecast error and diminishing marginal expected profit. This study accommodates an explanation of the decrease in voluntary disclosure and the popularity of investor conferences in Taiwan. The inferences of the proposed model are examined based on forecasts issued by Taiwanese listed firms. The empirical results evidence a positive relationship between insiders’ trading profit and manipulation of earnings forecast. Additionally, insiders’ trading profit regarding forecast revisions is greater under voluntary disclosure than mandatory disclosure. This study offers important insights into earnings forecast policy in emerging markets.

Table of Contents……………………………………………………………….. i
List of Figures…………………………………………………………………... iii
List of Tables………………………………………………………………….. iv
Acknowledgments v
Abstract…………………………………………………………………………. vi
Chapter
1. Introduction…………………………………………………………………. 1
2. Literature Review…………………………………………………………... 8
2.1 Financial Information Disclosure………………………………………… 8
2.2 Insider Trading and Information Asymmetry……………………………. 11
2.3 Insider Trading and Earnings Quality……………………………………. 14
3. The Model………………………………………………………………….... 17
4. Voluntary Disclosure………………………………………………………... 21
4.1 Single-period Model……………………………………………………... 21
a. The Base Case…………………………………………………………..... 22
b. The Case of Voluntary Disclosure………………………………………... 23
4.2 Two-period Model………………………………………………………... 29
4.3 Multiperiod Model……………………………………………………….. 35
4.4 Testable Hypotheses……………………………………………………... 36
5. Empirical Analysis………………………………………………………...... 39
5.1 Sampling and Data Sources……………………………………………… 39
5.2 Calculation of Forecast Error and Tobin’s Q ……………………………. 41
5.3 Measures of Earnings Management……………………………………… 43
6. Empirical Results………………………………………………………....... 45
6.1 Return Structure of Forecast Revision…………………………………… 45
6.2 Firm Value and Earnings Forecast Error………………………………… 48
6.3 Relation between Trading Profit and Forecast Error in Prior Period …… 49
6.4 Relation between Insider’s Trading Profit and the Factors……………… 53
7. Conclusion ………………………………………………………………….. 63
Appendix…………………………………………………………………..… 67
A.1 Proof of Lemma 1………………………………………………………... 67
A.2 Proof of Lemma 2………………………………………………………... 68
A.3 Proof of Lemma 3………………………………………………………... 70
A.4 Returns around the announcement date of earnings forecast……………. 72
Reference……………………………………………………………………….. 74

1. Aboody, D. and R. Kasznik, 2000, “CEO Stock Option Awards and the Timing of Corporate Voluntary Disclosures,” Journal of Accounting and Economics 29, 73-100.
2. Aboody, D. and B. Lev, 2000, “Information Asymmetry, R&D, and Insider Gains,” The Journal of Finance 55, 2747-2766.
3. Aboody, D., J. Hughes and J. Liu, 2005, “Earnings Quality, Insider Trading, and Cost of Capital,” Journal of Accounting Research 43, 651-673.
4. Admati, A. R. and P. Pfleiderer, 1988, “Selling and Trading on Information in Financial Markets,” The American Economic Review 78, 96-103.
5. Admati, A. R. and P. Pfleiderer, 2000, “Forcing Firms to Talk: Financial Disclosure Regulation and Externalities,” The Review of Financial Studies 13, 479-519.
6. Benabou, R. and G. Laroque, 1992, “Using Privileged Information to Manipulate Markets: Insiders, Gurus and Credibility,” Quarterly Journal of Economics 107, 921-958.
7. Beneish, M. D., M. B. Billings and L. D. Hodder, 2007, “Internal Control Weaknesses and Information Uncertainty,” Working Paper Indiana University Bloomington.
8. Bhattacharya, S. and G. Chiesa, 1995, “Proprietary Information, Financial Intermediation, and Research Incentives,” Journal of Financial Intermediation 4, 328-357.
9. Bhattacharya, U., H. Daouk and M. Welker, 2003, “The World Price of Earnings Opacity,” The Accounting Review 78, 641-678.
10. Bhattacharya, S. and G. Nicodano, 1999, “Insider Trading, Investment and Welfare: A Perturbation Analysis,” Working Paper.
11. Bommel, J. V., 2003, “Rumors,” The Journal of Finance 58, 1499-1520.
12. Boot, A. W. and A. V. Thakor, 1997, “Financial System Architecture,” Review of Financial Studies 10, 693-733.
13. Boot, A. W. and A. V. Thakor, 2001, “The Many Faces of Information Disclosure,” The Review of Financial Studies 14, 1021-1057.
14. Bradbury, M. E., 1992, “Voluntary Semiannual Earnings Disclosures, Earnings Volatility, Unexpected Earnings, and Firm Size,” Journal of Accounting Research 30, 137-145.
15. Butler, M., A. Kraft and I. S. Weiss, 2007, “The Effect of Reporting Frequency on the Timeliness of Earnings: The Cases of Voluntary and Mandatory Interim Reports,” Journal of Accounting and Economics 43, No. 181-217.
16. Chin, C. L., G. Kleinman, P. Lee and M. F. Lin, 2006, “Corporate Ownership Structure and Accuracy and Bias of Mandatory Earnings Forecast: Evidence from Taiwan,” Journal of International Accounting Research 5, 41-62.
17. Clarke, J., and K. Shastri, 2000, “On Information Asymmetry Metrics,” Working paper, University of Pittsburgh.
18. Diamond, D. W., 1985, “Optimal Release of Information by Firms,” The Journal of Finance 40, 1071-1094.
19. Dechow, P., R. Sloan and A. Sweeney, 1995, “Detecting Earnings Management.” The Accounting Review 70, 193-226.
20. Doidge, C., G. A. Karolyi and R. M. Stulz, 2004, “Why Are Foreign Firms Listed in the US Worth More?,” Journal of Financial Economics 71, 205-238.
21. Dye, R. A., 1985, “Disclosure of Non-proprietary Information,” Journal of Accounting Research 23, 123-145.

22. Dye, R. A., 2001, “An Evaluation of “Essays on Disclosure” and the Disclosure Literature in Accounting,” Journal of Accounting and Economics 32, 181-235.
23. Elliot, J., D. Morse and G. Richardson, 1984, “The Association between Insider Trading and Information Announcements,” Rand Journal of Economics 15, 521-536.
24. Easley, D., S.Hvidkjaer and M. O’Hara, 2002, “Is Information Risk a Determinant of Asset Returns?,” Journal of Finance 57, 2185-2221.
25. Easley, D. and M. O’Hara, 2004, “Information and the Cost of Capital,” Journal of Finance 59, 1553-1583.
26. Fisher, A. and R. Heinkel, 2008, “Reputation and Managerial Truth-Telling as Self-Insurance”, Journal of Economics & Management Strategy 17, 489-540.
27. Fischer, P. E. and R. E. Verrecchia, 2000, “Reporting Bias,” The Accounting Review 75, 229-245.
28. Francis, J., R. Lafond, P. Olsson and K. Schipper, 2005, “The Market Pricing of Earnings Quality,” Journal of Accounting and Economics 39, 295-327.
29. Frankel, R., M. Johnson and D. J. Skinner, 1999, “An Empirical Examination of Conference Calls as a Voluntary Disclosure Medium,” Journal of Accounting Research 37, 133-150.
30. Frankel, R. M. and X. Li, 2004, “The Characteristics of a Firm’s Information Environment and the Predictive Ability of Insider Trades,” Journal of Accounting and Economics 37, 229-259.
31. Frigo, M. L., J. Litman, T. Copeland, S. Chan, E. Nusbaum and J. Mulherin, 2004, “Give My Regrets to Wall Street,” Harvard Business Review 82, 43-51.


32. Froot, K. A., D. S. Scharfstein and J. C. Stein, 1992, “Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation,” Journal of Finance 47, 1461-1484.
33. Givoly, D. and D. Palmon, 1982, “Timeliness of Annual Earnings Announcement: Some Empirical Evidence,” Accounting Review 57, 486-508.
34. Grinblatt, M. and M. Keloharju, 2001. “What Makes Investors Trade?,” Journal of Finance 56, 589-616.
35. Guan, L., F. Lin and W. Fang, 2008, “Goal-oriented Earnings Management: Evidence from Taiwanese Firms,” Emerging Markets Finance and Trade 44, 19-32.
36. Healy, P. M. and J. M. Wahlen, 1999, “A Review of the Earnings Management Literature and its Implications for Standard Setting,” Accounting Horizons 13, 365-383.
37. Hsieh, P., T, Koller and S. R. Rajan, 2006, “The Misguided Practice of Earnings Guidance,” McKinsey on Finance 19, 1-5.
38. Huddart, S. J. and B. Ke, 2007, “Information Asymmetry and Cross-sectional Variation in Insider Trading,” Contemporary Accounting Research 24, 195-232.
39. Hughes, J. S. and S. Pae, 2004, “Voluntary Disclosure of Precision Information,” Journal of Accounting and Economics 37, 261-289.
40. Jaggi, B., C. L. Chin, H. W. Lin and P. Lee, 2006, “Earnings Forecasts Disclosure Regulation and Earnings Management by IPO Firms,” Review of Quantitative Finance & Accounting 26, 275-299.
41. Jensen, M. and W. Meckling, 1976, “Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure,” Journal of Financial Economics 4, 305-336.
42. Johnson, E. , C. Camerer, S. Sen, and T. Rymon, 2002, “Detecting Failures of Backward Induction: Monitoring Information Search in Sequential Bargaining,” Journal of Economic Theory 104, 16-47.
43. Kallunki, J. P., H. Nilsson and J. Hellstrom, 2009, “Why Do Insiders Trade? Evidence Based on Unique Data on Swedish Insiders,” Journal of Accounting and Economics 48, 37-53.
44. Karpoff, J.M., D. S. Lee and G. S. Martin, 2008, “The Cost to Firms of Cooking the Books,” Journal of Financial and Quantitative Analysis 43, 581-611.
45. Kasznik, R., 1999, “On the Association between Voluntary Disclosure and Earnings Management,” Journal of Accounting Research 37, 57-81.
46. Ke, B., S. Huddart and K. Petroni, 2003, ‘What Insiders Know about Future Earnings and How They Use It: Evidence from Insider Trades’, Journal of Accounting and Economics 35, 315-346.
47. Kose, J. and R. Narayanan, 1997, “Market Manipulation and the Role of Insider Trading Regulations,” Journal of Business 70, 217-247.
48. Kothari, S. P., A. J. Leoneb and C. E. Wasley, 2005, “Performance Matched Discretionary Accrual Measures,” Journal of Accounting and Economics 39, 163-197.
49. Kothari, S. P., S. Shu and P. D. Wysocki, 2009, “Do Managers Withhold Bad News?,” Journal of Accounting Research 47, 241-276.
50. Kyle, A. S., 1985, “Continuous Auctions and Insider Trading,” Econometrica 53, 1315-1335.
51. Lakonishok, J. and I. Lee, 2001, “Are Insiders’ Trades Informative?,” Review of Financial Studies 14, 79-111.

52. Lang, M. H. and R. J. Lundholm, 2000, “Voluntary Disclosure and Equity Offerings: Reducing Information Asymmetry or Hyping the Stock?,” Contemporary Accounting Research 17, 623-662.
53. Langberg, N. and S. Sivaramakrishnan, 2008, “Voluntary Disclosures and Information Production by Analysts,” Journal of Accounting and Economics 46, 78-100.
54. Levine, C. B. and M. J. Smith, 2003, “Ex Post Voluntary Disclosure Strategies for Insiders,” Contemporary Accounting Research 20, 719-746.
55. Leuz, C., D. Nanda and P. D. Wysocki, 2003, “Investor Protection and Earnings Management: An International Comparison,” Journal of Financial Economics 69, 505-527.
56. Leuz, C., A. Triantis and T. Y. Wang, 2008, “Why Do Firms Go Dark? Causes and Economic Consequences of Voluntary SEC Deregistrations,” Journal of Accounting and Economics 45, 181-208.
57. Lo, K., 2008, “Earnings Management and Earnings Quality,” Journal of Accounting and Economics 45, 350-357.
58. Narayanan, R., 2000, “Insider Trading and the Voluntary Disclosure of Information by Firms,” Journal of Banking and Finance 24, 395-425.
59. Odean, T., 1998, “Are Investors Reluctant to Realize Their Losses?,” Journal of Finance 53, 1775-1798.
60. Ostberg, P., 2006, “Disclosure, Investment and Regulation,” Journal of Financial Intermediation 15, 285-306.
61. Patell, J.M. and M.A. Wolfson, 1982, “Good News, Bad News, and the Intraday Timing of Corporate Disclosures, Accounting Review 57, 509-527.

62. Penman, S. H., 1982, “Insider Trading and the Dissemination of Firms’ Forecast Information,” The Journal of Business 55, 479-503.
63. Piotroski, J. and D. Roulstone, 2005, “Do Insider Trades Reflect Both Contrarian Beliefs and Superior Knowledge about Future Cash Flow Realizations?,” Journal of Accounting and Economics 39, 55-81.
64. Rozeff, M. and M. Zaman, 1998, “Overreaction and Insider Trading: Evidence from Growth and Value Portfolios,” Journal of Finance 53, 701-716.
65. Sawicki, J. and K. Shrestha, 2008, “Insider Trading and Earnings Management,” Journal of Business Finance and Accounting 35, 331-346.
66. Seidmann, D. J., 1987, “Incentives for Information Production and Disclosure: Comment,” The Quarterly Journal of Economics 102, 445-452.
67. Seyhun, H. N., 1986, “Insiders’ Profits, Costs of Trading, and Market Efficiency,” Journal of Financial Economics 16, 189-212.
68. Seyhun, H. N., 1992, “The Effectiveness of Insider Trading Sanctions,” Journal of Law and Economics 35, 149-182.
69. Shefrin, H. and M. Statman, 1985, “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence,” Journal of Finance 40, 777-790.
70. Suijs, J., 2007, “Voluntary Disclosure of Information When Firms Are Uncertain of Investor Response,” Journal of Accounting and Economics 43, 391-410.
71. Teoh, S., I. Welch and T. Wong, 1998, “Earnings Management and the Underperformance of Seasoned Equity Offerings,” Journal of Financial Economics 50, 63-99.
72. Verrecchia, R. E., 1983, “Discretionary disclosure,” Journal of Accounting and Economics 5, 179-194.
73. Verrecchia, R. E., 2001, “Essays on Disclosure,” Journal of Accounting and Economics 32, 97-180.
74. Wiedman, C., 2000, “Discussion of Voluntary Disclosure and Equity Offerings: Reducing Information Symmetry of Hyping the Stock?,” Contemporary Accounting Research 17, 663-669.
75. Xu, W., 2009, “Evidence That Management Earnings Forecasts Do Not Fully Incorporate Information in Prior Forecast Errors,” Journal of Business Finance & Accounting 36, 822-837.
76. Zhang, G., 2001, “Private Information Production, Public Disclosure, and the Cost of Capital: Theory and Implications,” Contemporary Accounting Research 18, 363-384.