公司過去績效、事件宣告與投資人反應之關聯

The Relationship of the Past Corporation Performance，Events Announcement and the Reaction of Investors.

宋宜芳(Yi-Fang Sung)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500321

摘要

Kahneman and Tverskey(1979)提出展望理論後，行為財務學遂蓬勃發展。展望理論認為投資人在做決策時，往往不能充分了解自己所面對的狀況，會有認知的偏誤（cognitive bias），在做決策時常以經驗法則或直覺作為依據，投資
人此非理性行為將造成投資行為產生過度反應(over-reaction)或反應不足（under-reaction）的現象。

Fama(1998) 整理了目前研究公司宣告各種事件後的研究後認為，效率市場仍不足以被這些產生過度反應或反應不足異常現象所推翻，並且認為這些異常現象是偶發的結果(chance result)，且皆是針對單一事件研究且發生的頻率是相同的，不論何種事件的宣告，股票報酬會迅速的回歸至基本價值。

因此，本研究欲探討本研究欲透過公司宣告購併、可轉換公司債與現金增資等事件時，投資人是否會受到公司過去績效的影響，實證結果發現投資人對這些事件宣告之反應符合了反應不足假說。

關鍵字

反應不足 ； 事件宣告

並列摘要

fter Kahneman and Tverskey(1979)brought up prospect theory，behavioral finance is developed quickly。Prospect theory thinks that
when investors make decisions, they do not always understand the condition which they face. It will cause cognitive bias. Investors usually make decisions in terms of their experience or intuition.Irrational behavior of investors will make invest behavior over-reaction or under-reaction

Fama(1998)thinks that Efficiency Market are not overthrown by over-reaction or under-reaction. And he thinks that these abnormal phenomenon are chance result，Regardless of any events announcement, stock returns will quickly return basis value.

Therefore,the research will study corporate announce merger、convertible bonds and SEO which are influenced by corporate past performance. The empirical results show that these events conform to
under-reaction.

並列關鍵字

Events Announcement ； under-reaction

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