鉅額營收宣告對台灣上市電子股股價與報酬之研究

An Investigation of the Abnormal Stock Returns of Significant Monthly Sales Announcement on Listed Electronic Firms in Taiwan

周子安(TZU-AN CHOU)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2016年)

摘要

上市公司每月實際營收宣告對投資人具有資訊內涵效應，尤其是當營收有鉅幅變動超出預期時，對公司的股價可能會有劇漲劇跌的影響。本文主要研究目的在探討當營收有鉅幅變動時，對股價是否會有鉅幅異常之變動。本研究以市值前100名之上市電子公司為例，擷取2012年1月至2015年6月之間，以月營收比較去年同期變動超過正負20%為事件，共取得營收變動大於正20%的835個樣本，及小於負20%的509個樣本，運用事件研究法之SIMM市場模型進行估計，並執行有母數及無母數統計檢定，得到以下結論：
一、 營收鉅幅漲跌於宣告後對於股價確有明顯的異常報酬。
二、 在營收鉅幅漲跌宣告前5日，股價似已有提前反應之異常報酬現象。

關鍵字

營收宣告 ； 事件研究 ； 異常報酬

並列摘要

The monthly sales announcement of listed firms has been known for its information signals to investors, especially whenever there have significant unexpected sales changes resulting in huge stock price fluctuation. This study intends to investigate whether significant monthly sales announcement would have major effects on the abnormal stock returns. Using top 100 electronic firms in market values and 2012/01~2015/06 as observing period, the monthly sales relative to previous year (YOY), exceeding positive 20% (which accounts for 835 obs.) or lowering than negative 20% (509 obs.), are used as significant events. The event study methodology with SIMM market model are utilized for estimation. Parametric and non-parametric tests are applied. The results are summarized as follows:
1. There are statistically significant evidences that abnormal returns exist after the significant monthly sales announcement, either exceeding positive 20% or lowering negative 20% of sales changes.
2. It appears that the abnormal returns already exist prior to significant monthly sales announcement, either exceeding positive 20% or lowering negative 20% of sales changes.

並列關鍵字

Monthly sales announcement ； Event study ； Abnormal returns

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