預定事件宣告對股票市場異常報酬之影響：以流動性及資訊不對稱之觀點

The Impact of Scheduled Event Announcements on Abnormal Return of Stock Market： A Liquidity and Information Asymmetry Perspective

吳佳蓉(Chia-Jung Wu)

指導教授 ： 林蒼祥

共同指導教授 ： 涂登才(Teng-Tsai Tu)

淡江大學/商管學院/財務金融學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00666

摘要

本研究以台灣市場為研究對象，透過事件研究法來透析2005年到2010年市場上例行性的盈餘宣告及股利宣告是否會引起股價的異常報酬(abnormal returns)。探討異常交易量(AV)、委託單不平衡(OIB)與資訊交易機率(PIN)對異常報酬間的影響關係。本研究參考Chen, Y. M et al.(2014)以事件宣告日為事件期的概念來做研究，但若事件宣告日當天之個股收盤價以漲跌停坐收，則改以打該漲跌停之該段期間為事件期。並將投資人細分四大類，分別為外資、散戶、自營商及其它國內法人四類別，最後加入落後期探究解釋變數是否具有預測能力，端看預定事件下，投資人是否會先行佈局。
　　而實證結果指出，兩事件宣告下之事件期間各解釋變數皆與異常報酬呈現顯著關係，顯示是件宣告下，會造成市場流動性增加，其中自營商的下單行為相對較為積極。而在預測效果方面，散戶在兩事件的宣告下，皆無預測能力，這與過往眾多文獻相符合，散戶對於資訊的取得能力相對落後於其他投資人。

關鍵字

事件宣告 ； 異常報酬 ； 流動性 ； 資訊交易機率

並列摘要

The purpose of this paper takes the event study to test the abnormal return hypothesis by dividend announcements and earnings announcements from Taiwan stock market. To investigate the effects of schedule events, this paper test the relationship between abnormal returns and abnormal volumes, order imbalance, PIN. And the paper according to Chen, Y. M et al.(2014)：taking the event announcement day as the event window, but if the close price is under limit up or limit down, the event window will be changed to a period from the event announcement day to usual day which is not under limit up or limit down. Investors are also separated into four categories: foreign institutional investors, individual investors, dealers and domestic institutional investors.
　　Our evidence indicates that abnormal returns, order imbalance, pin are sensitive to abnormal returns in the event window. And behaviors of dealers investors provide more liquidity in the market. However, only individual investors don’t have the ability of predict, the result is as same as various papers.

並列關鍵字

Events Announcement ； Abnormal volume ； Liquidity ； Probability of informed trading

參考文獻

1. Ball, R., and S. P. Kothari (1991), “Security Returns around Earnings Announcements,” The Accounting Review , Vol.66, pp.718-738.

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3. Ball, R., & Brown, P. (1968). An Empirical Evaluation of Accounting Income Nimbers. Journal of Accounting Research, 6, 159-178.

4. Ball, R., & Kothari, S. P. (1991). Security returns around earnings announcements. Accounting Review, 718-738.

5. Ball, R., (1978), “Anomalies in relationships between securities’ yields and yieldsurrogates,” Journal of Financial Economics, Vol.3., pp.103-126.