The Influence of Corporate Transparency and Heterogeneous Beliefs on Momentum Profits

企業資訊透明度、異質信念對動能績效影響之研究

王癸元(Kuei-Yuan Wang) ； 彭素君(Su-Chun Peng)

《證券市場發展季刊》 28卷1期 (2016/03) Pp. 123-156

https://doi.org/10.6529/RSFM.2016.28(1).4

摘要

本研究採用系統性觀點探討企業資訊透明度、投資者異質信念對股票報酬或動能績效之影響。本研究採用2005-2011年台灣地區上市公司為研究樣本，實證結果指出：(1)當公司盈餘為正時，企業資訊透明度愈低會造成投資者信念愈異質，進而提升較大的股票報酬；但當公司盈餘為負時，企業資訊透明度愈低，仍會造成投資者信念愈異質，但卻會降低股票報酬；(2)在形成期及持有期相對較短的時候，企業資訊透明度較高，會給台灣股票市場帶來較多的動能績效；(3)在形成期相對較短的時候，投資者信念愈異質，會給台灣股票市場帶來較多的動能績效；(4)當企業資訊較透明且投資者信念較異質時，所有投資組合皆可以比企業資訊較不透明且投資者信念較同質之投資組合獲得較高的動能績效。因此，透過本實證結果，可延伸Verardo (2009)的實證研究結果，並補文獻上之不足。

關鍵字

企業資訊透明度 ； 資訊揭露 ； 異質信念 ； 動能策略

並列摘要

This study tried to take the systematic viewpoint to re-discuss the relationships among corporate transparency, heterogeneous investor beliefs, and stock returns or momentum profits. Samples were obtained from the listed firms in the Taiwan stock market during 2005 to 2011. Our empirical results were as follows: (1) When earning is positive, less corporate transparency may increase higher heterogeneity of investor beliefs, and further boost stock returns; however, when earning is negative, less transparency may still lead more heterogeneous beliefs, but further decrease stock returns; (2) Higher corporate transparency may produce momentum profits in the Taiwan stock market given shorter formation and holding periods; (3) Higher heterogeneity of investor beliefs may produce momentum profits in the Taiwan stock market given shorter formation periods; (4) When simultaneous consideration of both higher corporate transparency and higher heterogeneity of investor beliefs, all portfolios can produce more momentum profits. The empirical findings of this study thus supplemented those of Verardo (2009) and filled a gap in the literature.

並列關鍵字

Corporate Transparency ； Information Disclosure ； Heterogeneous Beliefs ； Momentum Strategy

參考文獻

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