資訊離散度、漲跌幅限制與盈餘動能

本文針對台灣股票市場探究導致盈餘動能效果之行為偏誤，根據Wu et al.(2009)描述台灣因為個別投資人佔大宗，加上交易成本較低，故對盈餘宣告或者會計資訊容易忽略，因而導致反應不足。本文透過資訊離散度捕捉投資人因為關注力不足而產生反應不足現象，另外針對台灣股市漲跌幅特有限制進而重新定義資訊離散度，進一步將反應過度與反應不足現象細分出來，實證結果發現在台灣漲跌幅事件確實能吸引投資人之關注，也因而導致調整資訊離散度更能解釋盈餘動能效果是源自反應不足，而不是反應過度。

關鍵字

盈餘動能；資訊離散度；漲跌幅限制

並列摘要

This article survey the behavior bias of earnings momentum in the Taiwan Stock Exchange. According to Wu et al.(2009). It considers that individual investors are the largest portion in Taiwan and the cost of trading in Taiwan is comparably low, individual investors may likely to ignore the earnings announcement or the accounting information, then it will cause the underreaction. Therefore the underreaction resulted from investors’ inattention can be caught with ID. In addition, because of the price limits in the Taiwan Stock Exchange, ID is defined for detailly distinguishing the underreaction and overreaction. The empirical results finds that the price limit events can indeed attract investor’s attention and the adjusted-ID can clearly explain the earnings momentum effect derives from underreaction, not overreaction.