本研究以台灣上市及中華民國證券櫃檯買賣中心上櫃之普通股股票為研究對象，樣本期間為1996年第1季至2011年第3季，共計48季之盈餘、營收、費用宣告，探討投資人對市場反應之差異。
本研究主要使用兩種檢定方法，第一種使用估計出來的標準化未預期盈餘、標準化未預期營收與標準化未預期費用作為分類投資組合基礎，透過t檢定檢測訊息宣告前後累積平均異常報酬是否顯著異於零。第二種利用FM橫斷面迴歸模型，將估計出來的標準化未預期盈餘、標準化未預期營收與標準化未預期費用視為自變數，累積異常報酬視為應變數，一樣透過t檢定檢測自變數是否顯著影響應變數。
實證結果顯示，盈餘宣告較營收、費用宣告為重要參考指標，若再將盈餘分成營收與費用進行檢定，確實存在增額資訊內涵，故營收與費用宣告亦不可忽視。營收宣告與費用宣告對成長股影響程度大部分顯著優於價值股，但對價值股而言，費用宣告較營收宣告顯著具有影響力，故價值股廠商可以透過節省費用提高累積平均異常報酬；對成長股而言，營收宣告較費用宣告顯著具有影響力，故成長股廠商可以透過提高營收來提升累積平均異常報酬。結果顯示與Ertimur et al.(2003)文獻一致，本研究亦發現費用宣告對價值股影響程度顯著大於營收宣告對成長股影響程度。

This study investigates investor’s reactions to surprises and expense surprises around preliminary earnings announcement, on the Taiwan stock market from Q1/1996 –Q3/2011.
The study uses two test methods, the first one is estimating standardized earnings surprises, standardized revenue surprises and standardized expenses surprises as a portfolio form basis classification investigating whether cumulative average abnormal returns significant different from zero by t test. The second one is the FM cross-sectional regression model that is standardized earnings surprises, standardized revenue surprises and standardized expenses surprises as independent variables, the cumulative abnormal returns as dependent variable.
The empirical results show that earnings surprises is the most important reference index compared with revenue surprises and expense surprises. Then, earnings divide into revenue and expenses, which exists incremental information content, so revenues and expenses announcement should not be ignored. And revenue and expense announcement impact on growth stocks more significant than value stocks. Also, value stocks are impacted by revenues surprises more significant than expenses surprises. So value stocks can save costs to improve cumulative average abnormal returns; growth stocks are impacted by expenses surprises more significant than revenue surprises.  So growth stocks can raise revenues to increase cumulative average abnormal returns. The results consistent with Ertimur et al. (2003), this study also found that expenses surprises significantly impact on the value stocks are greater than revenue surprises impact on growth stocks.

目錄
                                頁次 
中文摘要                          II
英文摘要	                         Ⅲ
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 研究架構與流程                4
第二章 文獻探討與回顧	         6
第一節 盈餘宣告	                 6
第二節 增額資訊內                   7
第三節 價值型股票與成長型股票         9
第四節 研究模型	                12
第三章 研究方法	                13
第一節 資料蒐集與整理	        13
第二節 變數定義	                14
第三節 檢定方法	                17
第三節 敘述統計	                20
第四章 實證結果              	22
第一節 SUE、SUS、SUX      	23
第二節 SUE、SUS、SUX之正負組合	29
第三節 所有樣本FM模型橫斷面迴歸結果	34
第四節 價值股與成長股	        39
第五章 結論	                61
參考文獻	                        63
表目錄
                                               頁次
表3-1-1研究樣本分配	                        13
表3-3-1 敘述統計分析表	                        21
表4-1-1 標準化未預期盈餘	                        25
表4-1-2 標準化未預期營收             	        26
表4-1-3 標準化未預期費用            	        27
表4-2-1標準化未預期盈餘與標準化未預期營收組合      	31
表4-2-2標準化未預期盈餘與標準化未預期費用組合	        32
表4-2-3標準化未預期營收與標準化未預期費用組合	        33
表 4-3-1所有樣本迴歸結果	                        36
表4-4-1標準化未預期盈餘與標準化未預期營收正負組合	44
表4-4-2標準化未預期盈餘與標準化未預期費用正負組合	46
表4-4-3標準化未預期營收與標準化未預期費用正負組合	48
表 4-4-4 價值股迴歸結果                    	52
表 4-4-5 成長股迴歸結果	                        56
表 4-4-6買進價值股同時賣出成長股迴歸結果       	59
圖目錄
                                               頁次
圖 1-3-2研究流程                               	 5
圖4-1-1a SUE之AR	                                28                                   
圖4-1-2 SUE之CAR	                                28
圖4-1-2a SUS之AR                               	28
圖4-1-2b SUS之CAR	                        28
圖4-1-3a SUX之AR	                                28                                                
圖4-1-3b SUX之CAR	                        28
圖4-1a 投資策略之AR	                        28                                             
圖4-1b投資策略之CAR	                        28
圖4-2-1a SUE與SUS組合之AR                 	34                                    
圖4-2-1b SUE與SUS組合之CAR	                34
圖4-2-2a SUE與SUX組合之AR	                        34                                     
圖4-2-2b SUE與SUX組合之CAR	                34
圖4-2-3a SUS與SUX組合之AR	                        34                                     
圖4-2-3b SUS與SUX組合之CAR	                34
圖4-2a 投資策略之AR	                        34                                             
圖4-2b 投資策略之CAR	                        34

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