台灣上市公司之會計月效果

The Fiscal Year-end Effect in Taiwan

江政杰(Cheng-Chieh Chiang)

指導教授 ： 林霖

國立暨南國際大學/管理學院/經營管理碩士在職專班/碩士(2010年)

摘要

長久以來，諸多研究相關盈餘資訊與股票超額報酬之文章，早期則多以研究其資訊內涵為主，還有學者從公司財務特性角度出發，探討公司財務特性與公司報酬的關係。但投資大眾於台灣股票市場中，則關心能否找出簡單有規律的報酬、影響方向與影響程度等相關的訊息。因此本研究期使投資人藉本文能夠獲取更多有效的資訊，以供投資策略的擬定。故本研究是透過計量的迴歸分析模型方法來了解會計月及公司財務特性與公司超額報酬之間是否具有長期的互動因果關係，並找出投資的時間點，做出最好的投資策略，以期獲取最好的報酬。針對上市公司8大產業類股，對其測試發現會計月前後超額報酬，是否有不同的影響因素存在，可做為技術分析的一種，並做為日後投資評估的參考依據。

關鍵字

超額報酬 ； 技術分析 ； 投資策略 ； 會計月效果

並列摘要

Articles of earning information with excess return have been published and studied for many years. Studies have been focused on the content of earning information itself, as well as the perspective of corporate financial characteristics. Although the studies have been very successful in detailing the relationship between the earning information and the excess return on stock market, investors in Taiwan were still looking for the simplest way that could provide more efficient and consistent compensation in stock market and the impact of degree and the direction of earning information. In this study, regression analysis approach has been used to understand whether accounting and financial information on companies has influence on companies’ stock price and to indicate the timing to purchase as for investors’ investment strategy to earn excessive return. In the study, companies’ financial and accounting data were used to determine whether its’ stock price has been influenced and the degree of impact before and after the fiscal earning has announced. The result could be one of the technical analysis for future investment strategy.

並列關鍵字

excess return ； technical analysis ； investment strategy ； fiscal year-end effect

參考文獻

參考文獻

中文文獻

1.利浩廷(2001)，月營收宣告資訊移轉效果之研究─以資訊電子業為例，國立政治大學管理科學研究所未出版碩士論文。

2.吳宗正(1993)，迴歸分析，三民書局，台北市。

3.李銘仁(1997)，多空時期下公司本益比、淨值市價比與股票報酬率間關係之研究，國立成功大學會計學系未出版碩士論文。