從盈餘修正宣告觀察交易量之內涵資訊

The Information Content of Trading Volume from Earnings Change Announcements

詹家昌(Chia-Chung Chan) ； 許哲源(Che-Yuan Hsu)

《台灣管理學刊》 4卷1期 (2004/02) Pp. 85-106

https://doi.org/10.6295/TAMJ.2004.0401.05

摘要

本文旨在說明公司宣告盈餘資訊時為什麼會產生不同的交易量，而且交易量如何與宣告初始的股價有關。事實上，有關交易量與股價報酬主題的文獻已經不少，而且有許多學者尋找各種原因來解釋。本文主要的貢獻是以盈餘宣告為觀察對象，觀察宣告時的交易量是否具有宣告後股票走勢的資訊內涵。本文證明當公開價值資訊明確，則將導致較低的交易量與股票走勢的漂移。因為公開資訊的宣告所產生的交易量是不同投資者的互動所產生，故交易量的大小會傳輸有關投資者過度反應的資訊。在本文的實證結果中，充分反映了股市過度反應與市場效率會影響未來的價量關係。由於投資者資訊不對稱所導致不同的交易量，本文將儘可能提出解釋。

關鍵字

盈餘宣告 ； 過度反應 ； 交易量 ； 驚奇效果

並列摘要

In this paper, we explain why different trading volume is observed when a firm announces earnings news and how trading volume can be related to the initial level of the stock price. The issue between trading volume and stock return has led many researchers to investigate possible explanations for it. We contribute to this field by looking at trading volume around earnings announcements and its implications for the magnitude of the post-announcement drift. We show that public news that have clear value implications will lead to lower trading volume and a smaller drift. The trading volume generated by the announcement of public information can be a result of the interaction between two different types of investors, and that the magnitude of trading volume can reveal information about the degree of overreaction by investors. We also discuss possible explanations for the asymmetric informativeness of trading volume.

並列關鍵字

earnings announcement ； overreaction ； trading volume ； surprise effect

參考文獻

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