本研究以台灣上市及上櫃公司之非同時宣告的盈餘與股利資訊作為研究對象,針對樣本期間2000年至2010年之1,138家公司,共6,223組盈餘與股利宣告的年資料觀察值,將其區分為(一)股利宣告先於盈餘宣告;及(二)盈餘宣告先於股利宣告兩組,透過「一致性訊息宣告效果之比較」和「訊息宣告效果之縱橫迴歸分析」兩方面的驗證,檢視先宣告之訊息對於後宣告訊息之市場反應所造成的影響,探討兩宣告資訊間是否具有交互作用影響,並進一步分辨其為互補效果亦或是替代效果。 實證結果顯示,台灣股票市場確實存在顯著的交互作用互補效果,且在股利宣告先於盈餘宣告的情況下,或者後宣告之資訊為壞消息時,其互補效果更為強烈;並發現投資人對於「先宣告之資訊」、「未預期股利」以及「好消息」等訊息的反應程度較大。最後,本研究亦指出產業之間的差異性會對訊息宣告效果產生影響。
This paper examines the relative strengths of complementary and substitution of interaction effects between non-contemporaneous earnings and dividend announcements on common stock returns. The results indicate that the stock market in Taiwan has significant complementary effect, especially in cases where dividend announcements precede earnings announcements or the latter announcements are bad news. Further, the magnitude of investors’ reaction tend to be more drastic to prior announced information, unexpected dividend and good news. In addition, the evidence also indicates that differences between industries do affect the information effects of earnings and dividend announcements.