臺灣股市投資人訊息反應之研究

An Empirical Study of Investors’ Reaction to Earnings News in Taiwan Stock Market

呂朝元(Chao-Yuan Lyu)

指導教授 ： 詹場

國立臺北大學/商學院/合作經濟學系/碩士(2010年)

摘要

臺灣股市2009年自然人交易比重達7成以上，為台股主要交易者，一般文獻認為自然人在投資行為上與專業投資機構法人不同，通常較無資訊優勢與專業財務背景，且較易受到投資人本身行為之影響，故假設投資人投資行為會受到市場狀態之影響。
本研究依據Cooper, Gutierrez JR., and Hameed (2004) 提出區分市場狀態之方法，將股市從1996年至2009年區分成牛市與熊市兩種市場環境，並假設市場狀態不同會改變投資人接收到訊息時的投資決策方式。並且以Foster, Olsen and Shevlin (1984)之方法計算出每家公司股票每季預期外盈餘，由低至高以其值排名11等第，每年每季區分個股預期外盈餘數值之組別，以此組別區分個股是否有好壞盈餘消息。最後依照Dellavigna and Pollet (2009)之方法，觀察公司季盈餘訊息發布後股票之累積異常報酬率，驗證盈餘訊息是否會影響股票股價。
本研究之實證研究發現如下：
熊市期間股價對預期外盈餘好消息之延遲反應大於牛市期間股價對預期外盈餘好消息之延遲反應。牛市期間股價對對預期外盈餘壞消息之立即反應小於熊市期間股價對預期外盈餘壞消息之立即反應。牛市期間股價對預期外盈餘壞消息之延遲反應大於熊市期間股價對預期外盈餘壞消息之延遲。熊市期間股價對預期外盈餘好消息之立即反應與牛市期間股價對預期外盈餘好消息之立即反應差異並不明顯。

關鍵字

行為財務, 盈餘動能

並列摘要

The ration of individual investors in the Taiwan stock market in 2009 is more than 70 percent, so individual investors is the main investors. Prior research is found that the difference of investment behavior of individual investors between institutional investors. Individual investors aren’t usually having information advantage and professional background. They are more likely be affect by their own private behavior, this paper suppose that Individual investors’ investing behavior will be affected by the market state.
Cooper et al. (2004) made the definitions of bull and bear market. This paper suppose that Individual investors’ investing behavior will be affected by the bull and bear conditions. This paper base on Foster, et al. (1984)’study to distinguish good and bad earnings news. Finally according to Dellavigna and Pollet (2009) methods, I estimate the "post-earnings-announcement drift." of the news .
The empirical findings are as follows:
During the bear market the delayed response of the good news is greater than the bull market.
During the bull market the Immediate Response of the bad news is less than the bear market.
During the bull market the delayed response of the bad news is greater than the bear market.

並列關鍵字

Behavioral Finance, post-earnings announcement drift

參考文獻

李春安、羅進水、蘇永裕，2006，動能策略報酬、投資人情緒與景氣循環之研究，財務金融學刊，第十四卷第二期，73-109。

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