報酬波動、過去財務績效與盈餘宣告-台灣股市過度自信之實證研究

Return’s Volatility, Previous Financial Performance and Earning Announcement－An Empirical Study of Overconfidence in Taiwan Stock Market

吳賢柔(Hsien-Jo Wu)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2009年)

https://doi.org/10.6840/cycu200900838

摘要

本研究試以Daniel,Hirshleifer and Subrahmanyam所提出的DHS模型在盈餘宣告事件下，探討投資人因公司報酬波動以及過去財務績效所產生之過度自信對市場之影響。以2001年至2008年為研究期間，所有上市公司為樣本。利用DHS模型各階段之異常報酬率（AR），來分析過去績效好（壞）的公司對正（負）面事件反應上，是否有顯著正（負）向效果且有擴大作用，同時檢測異常報酬率是否顯著異於零之方式，則使用T統計檢定量。
實證結果發現，以整體產業而言，在D0D1階段及D2D3階段大致符合DHS模型變動。頗具台灣股票市場代表性之電子產業、水泥產業、汽車產業、食品產業、橡膠產業、貿易產業跟玻璃產業之七個產業完全符合DHS模型變動。此外，過去財務績效較佳的公司，在盈餘宣告正事件中，整體產業符合程度為51.50%，十八個產業中有十個產業符合程度超過50％；過去財務績效較差的公司，在盈餘宣告負事件中，整體產業符合程度為56.39%，十八個產業中有十三個產業符合程度超過50％，因此過去財務績效對DHS模型會有干擾之作用，負面事件影響大於正面事件，符合不確定資訊假說。最後，報酬波動性大的公司，在盈餘宣告的正事件中，整體產業符合程度為35.9%，在十八個產業中僅有二個產業符合程度超過50％；報酬波動性大的公司，在盈餘宣告的負事件中，整體產業符合程度為56.68%，十八個產業中有十三個產業符合程度超過50％，公司報酬波動性僅在盈餘宣告負事件中，對DHS模型有顯著負向的擴大作用。

關鍵字

報酬波動 ； 過去財務績效 ； 盈餘宣告 ； 過度自信 ； DHS模型

並列摘要

The study adopts the DHS model that developed by Daniel,Hirshleifer and Subrahmanyam to study the effect causing by the return’s volatility and previous financial performance the overconfident investor influence the market under the earnings announcement event .This study takes whole listed companies’ stocks for studying samples during 2001 to 2008. Using the abnormal returns (AR) of each stage in the DHS model to analysis the previous financial performance of the company was good (bad) react to the positive (negative) events whether there is a significant positive (negative) effect and amplification. Furthermore, T-test is adopted to diagnose the abnormal return different form zero significantly.
Which are found in the results of this study, D0D1 stage and D2D3 stage are approximately consistent with DHS model by the overall industries. Electron, Cement, Car, Food, Rubber, Consumers’ Goods and Glass industries are significant consistent with DHS model which are represented the Taiwan Stock Exchange. In addition, the company previous financial performance was good consistent with the degree of 51.50% by the overall industry in the positive events of earning announcement. There are 18 industries, 10 industries in line with the extent of more than 50%.The company previous financial performance was bad consistent with the degree of 56.39% by the overall industry in the negative events of earning announcement. There are 18 industries, 13 industries in line with the extent of more than 50%.Previous financial performance moderate affects DHS model, the influence of negative events are greater than positive events. It corresponds to the uncertain information hypothesis. Finally, the company return’s volatility is great consistent with the degree of 35.9% by the overall industry in the positive events of earning announcement. There are 18 industries, 2 industries in line with the extent of more than 50%.The company return’s volatility is great consistent with the degree of 56.68% by the overall industry in the negative events of earning announcement. There are 18 industries, 13 industries in line with the extent of more than 50%.Return’s volatility of the company is obviously negative amplification on the DHS model that only in the negative events of earning announcement.

並列關鍵字

Over-Confidence ； Earning Announcement ； Previous Financial Performance ； Return’s Volatility ； DHS Model

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