本研究係結合季盈餘時間序列與盈餘宣告後股價持續反應之研究,為國內首篇以實際季盈餘產生過程符合AR(1)模式之公司,探討國內股票市場於盈餘宣告後,股價是否能充分反應當期盈餘對未來盈餘之意涵,及進一步觀察投資人實際所使用之季盈餘預測模式為何。本研究實證發現,就全部樣本而言,若假設投資人採用AR(1)盈餘預測模式,盈餘宣告時之累積異常報酬與當季及落後第四期之未預期盈餘呈顯著相關,顯示股價無法充分反應當期盈餘對未來盈餘之意涵。然而,若假設投資人係採用季節性隨機漫步模式預測盈餘者,則實證結果顯示,小公司之股價恰能充分反應當期盈餘對未來盈餘之意涵;而若假設投資人係採用非季節性隨機漫步模式預測盈餘者,大公司之股價亦能充分反應當期盈餘對未來盈餘之意涵。亦即,股票市場對AR(1)公司季盈餘之預測,乃存在著公司規模差異。
This paper examines whether stock prices fully reflect the implications of current earnings for future earnings for firms whose quarterly earnings follow a simple autoregressive (AR (1)) process. We also investigate which time series models are used by investors to generate their earnings expectations. Our empirical results show that the stock prices do not fully reflect the implications of current earnings for future earnings of AR (1) firms, if we assume that investors use AR (1) model for earnings forecast. On the other hand, we find that the market acts as if AR (1) for small firms when it uses seasonal random walk model, AR (1) for large firms when it uses non-seasonal random walk model to form their earnings expectations.