公開資訊、私有資訊與盈餘公告後股價延遲反應

Public Information and Private Information and Post-Earnings Announcement Drift.

陳育馳(Yu-Chih Chen)

指導教授 ： 曹壽民

國立中央大學/管理學院/企業管理學系/碩士(2008年)

摘要

本研究針對效率市場上的一個異常現象，盈餘公告後股價延遲反應(Post–Earnings Announcement Drift, )，進行探討其與公開資訊、私有資訊與一致性間的關係。在本文的實證分析中，得到下列結果，盈餘公告後價格延遲反應之大小與規模成反比，當出現負面驚奇盈餘消息時，股價延遲反應更為嚴重，投資人似乎對於壞的公開訊息反應比較慢，與先前的文獻一致。且大約可觀察到，盈餘公告前期間的資訊組成中，公開資訊與盈餘公告後股價延遲反應間有正向的關係；而私有資訊與盈餘宣告後股價延遲反應為負向的關係，但皆較不顯著。我們認為，真正的關鍵，在於公開資訊精確度占所有資訊精確度的相對比例，而非公開資訊或私有資訊的絕對大小。盈餘公告前期間，公開資訊精確度比例越高，則私有資訊精確度比例越低，盈餘公告後股價延遲反應會越嚴重；若公開資訊精確度比例越低，則私有資訊精確度比例越高，盈餘公告前附近股價反應越迅速，所以盈餘公告後股價延遲反應會較不明顯。

關鍵字

盈餘公告後股價延遲反應 ； BKLS模型

並列摘要

In an efficient market, security price at any given time fully reflect all available information. Nevertheless, rather than adjusting immediately to new surprise, stock price tend to drift over time in the same direction as the initial surprise. This phenomenon is labeled post-earnings announcement drift (PEAD).We investigate relation between the precision of public and private information and post-earnings announcement drift. In our empirical study report a positive association between the precision of public information before earnings announcement period and PEAD. We also find strong drift after bad news. Investors seem to react slowly to this information.

並列關鍵字

BKLS model ； Post-Earnings Announcement Drift

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