本研究以台灣市場上市電子股票為研究對象來探討公司盈餘宣告是否存在異常報酬，並依台灣股票市場所提供投資人類別(外資、本土法人及散戶) 之日內資料，針對2010年至2015年間，臺灣上市電子股公司盈餘宣告事件，比較各類投資人在盈餘宣告前後、好壞盈餘訊息下之報酬、交易損益、交易行為及對資訊的反應速度。同時分析盈餘宣告前後，各類投資人之交易行為是否會產生股價的異常報酬(Abnormal Returns)。
實證結果指出，於盈餘宣告期間，各個解釋變數皆與異常報酬呈顯著關係，在異常交易量部分，國內法人、散戶的異常交易量大於外資，而委託單不平衡部分，外資和本土法人呈現正值，因此在盈餘宣告下，外資和本土法人看法較一致，屬於買方較積極的反應，而散戶則呈現賣方較積極的反應，表示盈餘宣告下，會造成市場流動性增加，其中本土法人的下單行為相對較為積極。而在預測效果方面，散戶對於資訊的取得能力落後於其他投資人，預測能力較弱，這與過往眾多文獻相符合。

This study uses the electronic stocks listed on the Taiwan market as the research object to explore whether the company's earnings declaration has abnormal returns, and according to the day-to-day data provided by the Taiwan stock market for investor types (foreign investment, local legal persons and retail investors), for 2010 to 2015, The earnings announcement event of Taiwan-listed electronic stock companies compares the returns, trading gains and losses, trading behaviors, and response speed of information of various investors before and after earnings announcement, under good and bad earnings information. At the same time, it analyzes whether the trading behavior of various investors before and after earnings announcement will produce abnormal share price returns.
The empirical results indicate that during the earnings announcement period, each explanatory variable has a significant relationship with abnormal returns. In the part of abnormal transaction volume, the abnormal transaction volume of domestic legal persons and retail investors is greater than that of foreign investment, while the unbalanced order, foreign investment and local legal persons show Value, so under the surplus announcement, foreign investors and local legal persons have more consistent views, which is a more positive response from the buyer, while retail investors show a more positive response from the seller, indicating that the surplus announcement will cause increased market liquidity, of which the local legal person Single behavior is relatively positive. In terms of forecasting effect, retail investors lag behind other investors in their ability to obtain information, and their forecasting ability is weak, which is consistent with many previous literatures.

目錄

第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	3
第三節	研究架構	5
第四節	研究流程	6
第二章	文獻探討	7
第一節	盈餘宣告異常報酬	7
第二節	流動性變數之溢酬	9
第三章	研究方法	13
第一節	市場結構概述	13
第二節	研究期間與資料介紹	14
第三節	資料格式	16
第四節	變數定義	16
第五節	迴歸模型設定	25
第四章  實證結果與分析	31
第一節	敘述統計分析	31
第二節	時間序列圖分析	34
第三節	Hausman Test檢定結果	37
第四節	迴歸結果分析	38
第五節	穩健性檢定	43
第五章 結論與建議	44
參考文獻	46
                                                                     

 
表目錄
【表 1-1】集中市場電子類股成交比重統計表	2
【表 3-1】台灣股票市場投資人類別成交值比重統計表	13
【表 4-1】盈餘宣告-全市場下樣本敘述統計表	32
【表 4-2】盈餘宣告-不同投資人之交易量及委託單不平衡敘述統計表	33
【表 4-3】盈餘宣告之Hausman Test檢定	37
【表 4-4】盈餘宣告事件_異常交易量與市場價格溢酬之迴歸分析	38
【表 4-5】盈餘宣告事件_不同投資人之自變數與市場價格溢酬之迴歸分析	42











 
圖目錄
【圖 1-1】研究流程圖	6
【圖 3-1】事件研究法說明用圖	17
【圖 3-2】事件研究法示意圖	18
【圖 4-1】盈餘宣告下_全市場時間序列圖	34
【圖 4-2】盈餘宣告事件下_不同投資人AV及OIB之時間序列圖	36

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