本研究以台灣市場為研究對象，透過事件研究法來透析2005年到2010年市場上例行性的盈餘宣告及股利宣告是否會引起股價的異常報酬(abnormal returns)。探討異常交易量(AV)、委託單不平衡(OIB)與資訊交易機率(PIN)對異常報酬間的影響關係。本研究參考Chen, Y. M et al.(2014)以事件宣告日為事件期的概念來做研究，但若事件宣告日當天之個股收盤價以漲跌停坐收，則改以打該漲跌停之該段期間為事件期。並將投資人細分四大類，分別為外資、散戶、自營商及其它國內法人四類別，最後加入落後期探究解釋變數是否具有預測能力，端看預定事件下，投資人是否會先行佈局。
　　而實證結果指出，兩事件宣告下之事件期間各解釋變數皆與異常報酬呈現顯著關係，顯示是件宣告下，會造成市場流動性增加，其中自營商的下單行為相對較為積極。而在預測效果方面，散戶在兩事件的宣告下，皆無預測能力，這與過往眾多文獻相符合，散戶對於資訊的取得能力相對落後於其他投資人。

The purpose of this paper takes the event study to test the abnormal return hypothesis by dividend announcements and earnings announcements from Taiwan stock market. To investigate the effects of schedule events, this paper test the relationship between abnormal returns and abnormal volumes, order imbalance, PIN. And the paper according to Chen, Y. M et al.(2014)：taking the event announcement day as the event window, but if the close price is under limit up or limit down, the event window will be changed to a period from the event announcement day to usual day which is not under limit up or limit down.  Investors are also separated into four categories: foreign institutional investors, individual investors, dealers and domestic institutional investors. 
　　Our evidence indicates that abnormal returns, order imbalance, pin are sensitive to abnormal returns in the event window. And behaviors of dealers investors provide more liquidity in the market. However, only individual investors don’t have the ability of predict, the result is as same as various papers.

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 事件宣告異常報酬	7
第二節 流動性變數之溢酬	9
第三節 資訊交易機率	13
 第三章　研究方法	15
第一節 研究資料與樣本篩選	15
第二節 資料格式	18
第三節 變數說明	21
第四節 模型設定	36
 第四章　實證結果	45
第一節 敘述統計分析	45
第二節 時間序列圖分析	49
第三節 Hausman Test檢定結果	54
第四節 事件期之迴歸分析	55
第五節 加入落後期之迴歸分析	61
第六節 盈餘宣告下探討資訊交易者之迴歸分析	68
第五章　結論	70
 參考文獻	72

表目錄
【表 3 1】 成交檔資料格式	19
【表 3 2】 成交檔資料格式	19
【表 3 3】 揭示檔資料格式	20
【表 3 4】非資訊交易者之交易行為	28
【表 3 5】資訊交易者之交易行為	29
【表 4 1】全市場下樣本敘述統計表	46
【表 4 2】不同投資人之交易量敘述統計表	48
【表 4 3】股利宣告之Hausman Test檢定	54
【表 4 4】盈餘宣告之Hausman Test檢定	54
【表 4 5】兩事件下_全市場自變數與市場價格溢酬之迴歸分析	56
【表 4 6】兩事件下_不同投資人之自變數與市場價格溢酬之迴歸分析	60
【表 4 7】兩事件下_全市場之自變數落後期與市場價格溢酬之迴歸分析	63
【表 4 8】兩事件下_不同投資人之自變數落後期與市場價格溢酬之迴歸分析	66
【表 4 9】好消息下，各類投資人下單行為與異常報酬間的關係	69


 
圖目錄
【圖 1 1】研究流程	6
【圖 3 1】事件研究法說明用圖	22
【圖 3 2】本研究事件研究法示意圖	22
【圖 4 1】兩事件下_全市場時間序列圖	49
【圖 4 2】兩事件下_不同投資人AV之時間序列圖	52
【圖 4 3】兩事件下_不同投資人OIB之時間序列圖	53

參考文獻
國內文獻
3.	闕河士，「股票股利信號放射模式與宣告效果之研究」，國立政治大學企業管理研究所博士論文，民國八十五年七月。
4.	黃國誠，「聲譽模式下股利宣告與成長機會對股價影響之研究」，國立政治大學企業管理系博士論文，民國八十六年三月。
5.	陳和良，「盈餘宣告事件下的動能交易策略」，私立銘傳大學財務金融學系碩士論文，民國九十七年六月。
 
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