投資注意力、過去財務績效與盈餘宣告-DHS模型之實證研究

Investment Attention, Previous Financial Performance and Earning Announcement- An Empirical Study of DHS Model.

童綺珮(Chi-Pei Tung)

指導教授 ： 劉立倫

中原大學/商學院/企業管理研究所/碩士(2008年)

https://doi.org/10.6840/cycu200800264

摘要

本研究試以DHS靜態模型探討盈餘宣告事件下，投資人過度自信對市場造成的影響，並以動態模型探討投資者是否因投資者注意力對資訊產生自我歸因偏誤。而過去財務績效使投資者存在既定的信念，當投資者獲得盈餘宣告的新資訊時，是否會改變既有的信念。以2001年至2006年為研究期間，以研究期間內已上市之公司為樣本。各階段報酬衡量方式係以異常報酬率（AR）和累積異常報酬率（CAR）之事件研究法計算，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階段符合DHS靜態模型變動。頗具台灣股票市場代表性之電機機械、電子工業、貿易百貨三個產業，亦完全符合DHS靜態模型變動。此外，投資注意力會對整體產業股價造成影響，在董事會發文日之後市場出現引發投資人投資注意力的訊息，導致私有資訊被強化，使投資者過度自信的程度增加，報酬持續上升。最後，無論是動態或靜態模型下，過去財務績效佳的公司之各階段累積異常報酬皆顯著小於過去財務績效不佳的公司。

關鍵字

DHS模型 ； 投資注意力 ； 盈餘宣告

並列摘要

The study tried to discuss the overconfident investor influence the market under the earnings announcement event by the DHS static model, and discussed the investor whether has biased self-attribution for information follow the investment attention by the dynamic model. Then, whether to change original convictions follow the previous financial performance when they got the newly earning announcement information. Take the studying from 2001 to 2006 for example, The sample from listed company’s stock in the course of study. In evaluating the each stage returns, the abnormal return and cumulative abnormal return of Event Study are measured. In diagnose the abnormal return different form zero significantly, T-test is measured.
Which are found in this result of study, D0D1 stage and D2D3 stage are significant consistent with DHS static model by the overall industry. Electric Machinery, Electron and Trading and Consumers’ Goods Industry are significant consistent with DHS static model which are represented the Taiwan Stock Exchange. In addition, investment attention has to influence the overall industrial stock price. The market presents the news to initiate the investor to pay attention after the date of board being issued, that lead to the private information are strengthened, and investor’s overconfident level increase, then reward rice ceaselessly. Finally, under the static model or dynamic model in each stages cumulative abnormal return, the companies’ previous financial performance is part of good are significant smaller than the companies are part of not good.

並列關鍵字

DHS Model ； Earning Announcement ； Investment Attention

參考文獻

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