美國股票市場對公開訊息反應強度之研究

The Market Reaction of Public Information:Firm-Specific and Macroeconomic Information

陳熤得(Yi-De Chen)

指導教授 ： 夏侯欣榮

元智大學/管理學院/財務金融學系/碩士(2004年)

摘要

本文主要研究公開訊息對於美國股票市場的影響。我們探討訊息所帶來的影響以及個體與總體訊息之間相互作用的結果。我們發現總體好消息以及個體好消息都會帶來顯著的正向報酬;然而我們發現只有個體好消息會有比較持久的效果。實證結果也發現總體壞消息以及個體壞消息都會帶來負向報酬，但負向報酬似乎都有延遲的現象，我們在此提出了行為財務學的觀念來解釋此一現象。當個體消息與總體消息在同一天同時宣告，則可以觀察到個體訊息所帶來的效果遠大於總體訊息所帶來的效果。我們觀察不同的總體訊息與個體訊息同時宣告，則會發現有微小不同的交叉結果，但所有結果皆呈現個體訊息的效果大於總體訊息的效果。其中我們又可觀察出個體訊息相對於總體訊息的反應強度會隨著公司規模與景氣循環而有所變動。

關鍵字

個體宣告 ； 總體宣告

並列摘要

We examine the influences of public information on stock prices in the US. We investigate the impact and interaction between firm-specific and macroeconomic news. Both macroeconomic and firm-specific good news announcements have positive impact on stock prices. However, firm-specific good news seems have persistent effect on stock prices. Both macroeconomic and firm-specific bad news announcements have delayed and negative impact on stock prices. We offer the concept of behavioral finance to explain this phenomenon. If announcements with the opposite information content occur in the same day, then firm-specific announcements seem to dominate macroeconomic news. The interactions between firm-specific and different type of macroeconomic news may have slightly different response. Overall, the results indicate that firm-specific announcements have the stronger effect than macroeconomic news. Furthermore, the strength of firm-specific announcements relative to macroeconomic announcements will change according to the firm’s size and business cycle.

並列關鍵字

Firm-Specific News ； Macroeconomic News

參考文獻

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