本研究針對臺灣目前之會計實證研究中有關資訊內涵部份作一系列的檢討。透過各項研究方法及變數之控制，以期探討在臺灣特有之環境體系下市場報酬與會計盈餘的關聯性。實證結果顯示： 1.市場報酬率與會計盈餘之關聯性，明顯地受到異常報酬率預估模式的影響，市場模式運用的結果明顯遜於規模效應及風險調整模式。 2.臺灣股票市場存在明顯宣告前後的異常反應，較長的衡量期間較能顯出市場對會計資訊之反應。 3.漲跌幅限制影響了市場對資訊反應之速度，因此使用較長之衡量期間較能展現出市場對非預期盈餘之反應。 4.市場報酬率與會計盈餘的關聯性會受到選用預測變數的影響，會計淨利與營業所得分別顯示不同的報酬率與盈餘之關聯性。 5.非營業所得，理論上雖然較不重要，但在臺灣卻明顯地影響到市場之表現，其原因可能是非營業所得之定義不夠明確的影響。 本研究建議未來之報酬率與盈餘之關聯性及相關之實證研究，應考慮不同之預測模式，並對其研究方法之選用、變數之選擇，以及市場特性等加以考慮調整，以期能較為正確地顯現研究之結果

This study reexamines the returns/earnings relationship in Taiwan by controlling several variables. The results indicate: 　　1.The returns/earnings test is sensitive to the choice of market variable which measures market’s abnormal performance. Choice of the market model may not apprehend a superior returns/earnings relationship than the size-adjusted or risk-adjusted model. 　　2.An obvious early market reaction and significant post-announcement drift manifest the importance of the window choice. Long window is strongly recommended in Taiwan. 　　3.Price limit in Taiwan may deter the market reaction to the accounting information. Evidence shows that daily return does not follow a random walk. The suggestion of long window for CAR is reinforced by this market characteristic. 　　4.The returns/earnings relationship is sensitive to the choice of net income or operating income as the explanatory variable for market’s abnormal performance. 　　5.Non-operating income, which is theoretically less important, plays a prominent role for the returns/earnings relationship in Taiwan. The phenomenon is explained by the unclear definition of non-operating income in Taiwan. 　　The study suggests that the returns/earnings studies in Taiwan need further consideration, including the refinement of methodology as well as the adjustment of market characteristics. Simply replication the U.S. studies by using Taiwan’s stock market data may bias the relationship between returns and accounting earnings in certain degree.