國內以往有關自行結算盈餘之研究重點，主要在探討影響公司自行結算盈餘的因素為何，殊少將公司自行結算行為對股價反應與投資人判斷影響之關聯性進行探討。本研究包含二個部分，第一部分，採檔案資料庫分析方式，以我國90年至92年上市(櫃)公司為研究對象，利用迴歸分析探討公司自結行為對股價之影響；第二部分，利用問卷調查結果，採2因子變異數分析(Two-way ANOVA Analysis)，探討公司自結行為對投資人判斷之影響。本研究結果簡述如下：
一、公司自結行為對股價影響之研究
(一)在揭露策略方面，顯示我國上市(櫃)公司於自結日之盈餘揭露傾向相等反應好消息或反應不足壞消息。
(二)在資訊內涵方面，當公司有好的總消息，在自結盈餘公告時，未預期自結盈餘(自結盈餘與分析師預測之差異)具有資訊內涵；在實際盈餘公告時，不論公司有好的或壞的總消息，未預期實際盈餘(實際盈餘與自結盈餘之差異)具有資訊內涵，顯示投資人之投資決策將視未預期實際盈餘之方向而定，買進未預期實際盈餘為正的股票，賣出未預期實際盈餘為負的股票，故股價之變動方向與未預期實際盈餘之方向一致，顯示投資人是理性的。
(三)投資人在自結日對實際盈餘預期程度方面，當公司有好的總消息，投資人在自結日對實際盈餘並無預期，因此超出未預期自結盈餘的未預期實際盈餘，在自結日不會充分納入股價；當公司有壞的總消息時，投資人預測方向與實際相反。亦即在自結日套利行為並不存在。
(四)在市場對消息的反應是否實際公告日大於自結日方面，雖然負的未預期實際盈餘對累積異常報酬的影響力，顯著高於正的未預期實際盈餘，但實際盈餘公告日之未預期壞消息，對市場反應並未產生較大負的報酬。這些結果指出，市場對於自結日的反應多於實際盈餘公告日，提供了管理當局在自結日釋放所有好消息，而壞消息只發佈一部份之樂觀揭露策略的誘因。
這樣的結果，或許與我國目前法令規定，上市(櫃)公司須於翌年的4月底前，提出前一年度年報與當年度第一季季報，而管理當局普遍以季報亮麗盈餘發佈，營造未來利多消息，使投資人對公司未來產生較樂觀的預期，彌補上年度已成歷史的壞消息有關。
二、公司自結行為對投資人判斷之研究
(一)在投資人對公司自結策略反應方面，結果顯示公司在面臨好的總消息時，專業投資人於公司採不同自結策略下，對其未來盈餘的預測，並無顯著差異。公司面臨壞的總消息時，投資人對公司未來盈餘之預測，自結日過度反應(150%)>反應不足(50%)、誠實反應(100%)>反應不足(50%)，如本研究之預期；誠實反應(100%)>過度反應(150%)，與本研究之預期相反。顯示我國專業投資人不因公司不同的自結策略，產生有系統特定的反應。
(二)在分析師盈餘預測對投資人判斷影響方面，結果顯示當公司盈餘達到或超出(好的總消息組)較未達到(壞的總消息組)分析師預測盈餘時，投資人對其未來盈餘有較樂觀判斷。

Previous research on corporates’ earnings announcement mainly focused on the factors that affect the corporates’ preannouncement earnings. How corporates’ earnings preannouncement reflects on stock prices and the relation between earnings preannouncement and investors’ judgment are rarely touched. This thesis aims to analyze corporates’ earnings preannouncements’ impact on stock prices and investors’ judgment.
This thesis consists of two parts: In part 1, Database analysis is adopted in analyzing Taiwan’s public companies from 2001~2003 as the analyzing subjects. This part meant to discuss how corporates’ earnings preannouncements impact on stock prices by using regression analysis. In part 2, a survey is applied to gain information and Two-Way ANOVA Analysis is used to analyze the influence of corporates’ earnings pre-announcements on investors’ judgment. The research can be concluded as follows:

Analysis of corporates’ preannouncements’ impact on stock prices
1.	In the discussion of disclosure strategy, the research shows that public companies tends to fully reveal positive information or insufficiently reveal negative information when public companies make their preannouncement disclosure.
2.	As for information content, when companies have positive total news, PANEWS  is a significant signal to the stock market. No matter the results of companies’ total news is positive or negative, EANEWS  is a significant signal to the stock market. This indicates that investors’ investment policy depends on EANEWS’ moving direction. Investors buy stocks with positive EANEWS and sell those with negative EANEWS. Therefore, stock prices change consistently with EANEWS. It shows that investors are rational in their investment.
3.	In the analysis of investors’ expectation on actual earnings on the preannouncement day, when companies have positive total news, investors have no expectation on the actual earnings on the preannouncement day. Therefore, the excess amount of EANEWS over PANEWS won’t fully reflect on the stock price. When companies have negative total news, investors expect with the opposite direction to the actual situation. That leads to the situation that arbitrage don’t exist on the preannouncement day. 
4.	In discussing whether stock market reacts greater on the official announcement day than on the preannouncement day, despite the fact that negative EANEWS has significantly greater influence on CAR than positive EANEWS do, stock market doesn’t create less return in reaction to the unexpected negative information announced on the official announcement day. These results show that the stock market reacts greater on the preannouncement day than on the official announcement day. It promotes the forming of the companies’ administration’s optimistic disclosure strategy which is to fully send out positive information and withhold negative information on the preannouncement day.
In Taiwan, public companies are regulated to announce their annual report or the first seasonal report before April of the coming year. The companies’ administration tends to announce the favorable earnings figures in order to sends out the signal of companies’ lucrative future to make up for the negative information from the past year. This action creates investors’ optimistic expectation on companies’ prospect. The conclusions of the thesis can explain the above phenomenon. 

Analysis of corporate’s preannouncements’ impact on investors’ judgment 
1.	In analyzing investors’ reaction to corporates’ preannouncements, the research shows that under the condition of companies with positive total news, there are no significant differences between investors’ estimation about future earnings and companies’ different preannouncement strategy. If companies are with negative total news, investors’ estimation on companies’ future earnings would vary with the preannouncement-day news-revealing ratio. The results show that the group of over-reacting (150%) has higher investors’ estimated future earnings than the group of insufficient-reacting (50%); the group of complete-reacting (100%) has higher investors’ estimated future earnings than the group of insufficient-reacting (50%), which matches the hypothesis of this thesis. However, the group of complete-reacting (100%) has higher investors’ estimated future earnings than the group of over-reacting (150%), which is the opposite of the thesis hypothesis. The above results indicate that Taiwan’s professional investors do not systematically react to companies’ different preannouncement strategy.  
2.	As for the influence of analysts’ earnings estimation on investors’ judgment, the research indicates that if companies’ earnings reach or exceed analysts’ estimation(this group of companies is called the group with positive total news) ,investors have more optimistic judgment on them than those whose earnings are lower than analysts’ estimation(this group of companies is called the group with negative total news )

第一章  緒論................................................001
第一節  研究動機..........................................001
第二節  研究目的..........................................004
第三節  論文架構..........................................005
第二章  文獻探討與研究假說之建立............................007
第一節  公司揭露策略之研究................................007
一、公司自結策略(過度反應或反應不足).....................008
二、會計師審計品質......................................010
第二節  公司自結行為對股價影響之研究(檔案資料庫) ..........011
一、市場在自結日對實際盈餘預期的程度....................011
二、市場對實際盈餘公告日消息的反應......................013
第三節  公司自結行為對投資人判斷影響之研究(實驗).......... 016
一、自結行為策略........................................016
二、發佈自結盈餘公司特徵之推論..........................017
三、分析師盈餘預測對投資人判斷之影響....................019
第三章  研究方法............................................021
第一節  公司自結行為對股價影響之研究(檔案資料庫).......... 021
一、實際盈餘消息的橫斷面差異分析........................021
二、市場在自結日對實際盈餘預期的程度....................026
三、市場對實際盈餘公告日消息的反應......................029
四、樣本選取標準及資料來源..............................031
第二節  公司自結行為對投資人判斷之研究(實驗)..............033
一、操作型定義..........................................034
二、研究工具............................................035
三、受試者與施測程序....................................038
四、統計分析方法........................................043
第四章  研究結果............................................045
第一節  公司自結行為對股價影響之研究(檔案資料庫).......... 045
一、各變數之敘述統計分析................................045
二、迴歸分析結果........................................049
三、研究結果彙總........................................063
第二節  公司自結行為對投資人判斷之研究(實驗).............. 065
一、敘述統計分析........................................065
二、變異數分析...........................................074
三、研究結果彙總........................................081
第五章  結論與建議..........................................082
第一節  結論.............................................082
一、公司自結行為對股價影響之研究(檔案資料庫)............082
二、公司自結行為對投資人判斷之研究(實驗).................084
第二節  研究限制.........................................086
第三節  建議.............................................087
參考文獻....................................................088
附錄一:50%(反應不足)好的總消息問卷..........................093
附錄二:100%(相等反應)好的總消息問卷.........................097
附錄三:150%(過度反應)好的總消息問卷.........................101
附錄四:50%(反應不足)壞的總消息問卷..........................105
附錄五:100%(相等反應)壞的總消息問卷.........................109
附錄六:150%(過度反應)壞的總消息問卷.........................113

表目錄
表3-1   本研究各年度各組樣本大小.........................031
表3-2   專業投資人問卷回收情形統計表.....................039
表3-3   專業投資人回函之基本資料彙整.....................040
表4-1   各變數之敘述統計量...............................046
表4-2   迴歸模式(1)自變數之皮爾森相關分析................047
表4-3   迴歸模式(2)自變數之皮爾森相關分析................047
表4-4   迴歸模式(3)自變數之皮爾森相關分析................048
表4-5   迴歸模式(4)自變數之皮爾森相關分析................048
表4-6   實際盈餘消息的橫斷面差異分析.....................052
表4-7   自結日與實際盈餘公告日消息的方向.................053
表4-8   自結日釋放消息比率之平均值.......................053
表4-9   市場在自結日對實際盈餘預期的程度.................056
表4-10   市場對未預期實際盈餘消息的反應..................059
表4-11   市場對實際盈餘公告日消息的反應..................060
表4-12   市場對實際盈餘公告日消息的反應(好的總消息).......061
表4-13   市場對實際盈餘公告日消息的反應(壞的總消息).......062
表4-14   研究假說檢定結果彙總表(檔案資料庫) ...............063
表4-15   專業投資人在公司六種自結策略下，對其未來盈餘預測
之平均數(標準差)................................ 066
表4-16   專業投資人在公司六種自結策略下，對其未來盈餘預測
信心程度之平均數(標準差)........................069
表4-17   專業投資人在公司六種自結策略下，對其未來盈餘預測
之信心程度(總消息方向)..........................070
表4-18   專業投資人對公司自結策略偏誤預期之平均數
(標準差)........................................072
表4-19   專業投資人對公司自結策略偏誤預期之平均數
(總消息方向)....................................073
表4-20    二因子變異數分析
(總消息與自結日釋放消息比率)....................077
表4-21   單因子變異數分析(好的總消息組)...................078
表4-22   單因子變異數分析(壞的總消息組)...................079
表4-23   研究假說檢定結果彙總表(實驗) .....................081

圖目錄
圖2-1   公司自行結算策略.................................007
圖2-2   六種公司自行結算策略模型(Tan, Libby and Hunton ,2002) ... 018
圖3-1   本研究六種公司自結策略模型.......................034
圖4-1   自結日釋放消息比率(好的總消息組)..................054
圖4-2   自結日釋放消息比率(壞的總消息組)..................054
圖4-3    投資人對公司2004下半年度盈餘之預測..............067
圖4-4    投資人對公司2004全年度盈餘之預測................067

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