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題 名 | 交易時間與非交易時間盈餘預測修正宣告之日內市場反應=The Intraday Market Response to the Announcements of Earnings Forecast Revision during Trading and Non-Trading Periods |
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作 者 | 闕河士; 梁恕; 曾貴枝; | 書刊名 | 東吳經濟商學學報 |
卷 期 | 32 2001.03[民90.03] |
頁 次 | 頁27-53 |
分類號 | 563.54 |
關鍵詞 | 盈餘預測修正; 事件研究法; 市場結構; Earnings forecast revision; Event study methodology; Market structure; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究主要是以台灣證券交易所的股票日內交易資料為基礎,比較交易時間與非交易時間盈餘預測修正宣告之日內價量變化,藉以了解台灣股票市場的資訊傳遞情形。研究期間為1997年8月1日至1998年7月31日,共取得101個強制性盈餘預測修正宣告樣本,相對於全體上市公司產業分配,本研究之樣本有較集中於電子業的情形。經由實證分析本研究發現,交易時間與非交易時間盈餘預測修正宣告,在報酬率上,非交易時間宣告迅速反應,交易時間宣告則無顯著反應;而在成交量上,交易時間宣告的異常成交量產生較晚且持續較久。這顯示交易時間中所宣告的消息仍有延遲傳遞的現象。在訊息內容對市場價量影響方面則發現,盈餘預測修正宣告前,不論好壞消息皆出現成交量擴大,這可能是起因於資訊不對稱所帶來的不確定性;盈餘預測修正宣告後,不論好壞消息皆出現顯著異常報酬率與異常成交量,惟反應持續性並無差異。 |
英文摘要 | The purpose of this study is to examine whether the earnings forecast revision announcements during non-trading hours can be response more quickly than those during trading hours in Taiwan stock market. The data for this study consists of 101 adjustments of earnings forecasts revision announcements. The empirical findings can be summarized as follows: 1n measuring abnormal returns, the earnings forecasts revision announcements during non-trading hours respond to the events immediately. 1n the contrast, those during trading hours do not respond significantly. Then we find, before releasing earnings forecast revision announcements, regardless of good news or bad news, there is large trading volume due to the uncertainty associated with asymmetric information. After releasing earnings forecast revision announcements, there are significant abnormal returns and trading volume with indifferent response persistence. |
本系統中英文摘要資訊取自各篇刊載內容。