盈餘宣告是否對台股有異常報酬

本研究以台灣市場為研究對象，透過事件研究法來透析 2010 年到 2015 年市場上例行性的盈餘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)對異常報酬間的影響關係。本研究參考 Chen, Huang, Wang and Wu (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。並將投資人細分三大類，分別為外資、散戶、本地法人三類別，端看盈餘宣告事件下投資人的不同反應。而實證結果指出，首先在全市場及全市場下之各類投資人在盈餘宣告期間之異常交易量皆與異常報酬呈現顯著關係，表示在盈餘宣告下會帶動市場上的交易量。而將全市場進一步細分不同投資人後，外資在異常交易量及委託單不平衡部分均無顯著相關，足見外資訊息領先於盈餘宣告前，故單獨就外資部份分析實際盈餘宣告發生時影響面不大。本土法人、散戶的異常交易量均呈現顯著正相關且市值變數為顯著負相關，判斷原因為交易量提昇，連帶造成市值較小的公司有較大波動。而在委託單不平衡部分，散戶在全市場及細分類別比較後結果均呈現顯著負相關，代表散戶較其他二類投資人資訊相對落後，外資及本土法人對於事件較有預測能力會事先佈局故影響不大，而散戶在異常交易量及委託單不平衡皆為顯著結果可驗證散戶為雜訊交易者，較容易受到訊息影響。

關鍵字

盈餘宣告；異常報酬

並列摘要

This study uses the Taiwan market as the research object, and uses the event research method to analyze whether the routine earnings announcements in the market from 2010 to 2015 will cause abnormal returns in stock prices. Explore the relationship between abnormal transaction volume (AV) and order imbalance (OIB) on abnormal returns. This research refers to Chen et al. (2014) to do research on the concept of the event declaration date as the event period, but if the closing price of individual stocks on the day of the event declaration is closed at the price limit, it should be changed to hit the increase. The period during which the limit falls is the event period. The investors are subdivided into three categories, namely foreign capital, retail investors and local legal persons, depending on the different reactions of investors under the surplus announcement event. The empirical results indicate that, first of all, the abnormal trading volume of all types of investors in the entire market and the entire market during the earnings declaration period has a significant relationship with the abnormal returns, indicating that the trading volume in the market will be driven by the earnings announcement. After further subdividing the whole market into different investors, foreign capital has no significant correlation in the abnormal transaction volume and the unbalanced part of the order. This shows that the foreign investment information is ahead of the surplus announcement. Not big. The abnormal transaction volume of the local legal persons and retail investors all showed a significant positive correlation and the market value variable was a significant negative correlation. The reason for the judgment was that the transaction volume increased, and the companies with smaller market values also caused greater fluctuations. In the unbalanced part of the order, the results of retail investors after the comparison of the entire market and the subdivision categories all show a significant negative correlation, indicating that retail investors are relatively backward in information compared to other secondclass investors, and foreign capital and local legal persons have a more predictive ability for events and will be arranged in advance. Therefore, the impact is not large, and the abnormal transaction volume and order imbalance of retail investors are both significant results, which can verify that retail investors are noisy traders and are more susceptible to information.