本研究主要探討台灣總統選舉之選前利多消息是否為新聞口水,總統大選前後對於股市及產業總資產報酬率之後勢表現,選前執政者藉由採行擴張性財政政策刺激短期的總體經濟榮景爭取選票,創造出短暫的經濟榮景提升勝選的機率,而在資訊爆炸的時代下更易於反應其資訊。本文以政治景氣循環為概念,利用資產報酬率(Return on Assets, ROA)及股票月報酬率分析。實證期間為1996年至2012年,五次總統大選作為研究樣本,透過橫斷面迴歸方法進行研究。實證結果發現新聞數較多的產業在選前的ROA高於其它產業,而在選後ROA下滑的幅度卻大過其它產業,總統大選之後,產業的後勢表現確實有變差。加入落後一期ROA、帳面市值比及產業總市值後,新聞數較多產業仍有顯著,因而實證結果並非為產業市值大小、帳面價值比率高低之關係。這些結果顯示政治選舉利多新聞可能為口水,對各產業在營運上未必有實質的效果。
Is the Good News before the Taiwanese Presidential Election Counterfeit News? The sample consists of five Taiwanese presidential elections from 1996 to 2012. I analyze Return on Assets (ROA) and stock monthly return, and use cross-sectional regressions to investigate the empirical results. Results show that industries that possess larger quantity of news tended to have higher ROA than other industries before the presidential election. However, their ROAs decline much more after the presidential election. The evidence is similar after adding three variables, lagged ROA, industry market to book ratio and industry market value. Therefore, these results are not related to these confounded variables. Overall, the election good news seems generally fake and does not have real effect.