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題 名 | 盈餘宣告對臺灣股市成交量之影響=The Effects of Earnings Announcements on Trading Volume in Taiwan's Stock Market |
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作 者 | 林宜勉; 游淑禎; | 書刊名 | 證券市場發展季刊 |
卷 期 | 10:2=38 1998[民87.] |
頁 次 | 頁117-148 |
分類號 | 563.54 |
關鍵詞 | 成交量; 盈餘宣告; 風險變化; 宣告前資訊不對稱; 異質預期; Trading volume; Predisclosure information asymmetry; Risk changes; Carnings announcements; Heterogeneous expectations; |
語 文 | 中文(Chinese) |
中文摘要 | 投資者在盈餘宣告前若擁有不對稱資訊將形成異質預期,並在公開宣告時產生不 同的看法修正,故通常可預期投資者將在盈餘宣告後調整投資組合。本文探討臺灣股市成交 量對盈餘宣告的反應是否與風險客戶效果及資訊效果有關,並討論在控制公司規模效果與行 業別差異後,投資者的異質預期是否影響成交量。實證結果為:(1) 盈餘宣告時的成交量反 應與資訊效果呈正相關。 (2) 宣告後的風險變化與成交量反應無關, 即無風險客戶效果。 (3) 代表異質預期的分析師意見分歧變數與成交量反應呈正相關。(4) 行業別與公司規模差 異亦是影響成交量反應的因素。(5) 未預期盈餘為正與為負的公司,其影響成交量反應的因 素亦有別。 |
英文摘要 | The information contained in a public disclosure and the risk shifts of the portfolio held by an investor after earnings announcement can cause trading. In addition, investors' predisclosure information asymmetry lead them to form differential belief revisions, which, in turn, induce trading. This study is aimed to test the information effect, the risk clientele effect and the effect of investors' heterogeneous expectations in the volume response to annual earnings announcements. Firm size and industry differences are also included in our model to examine their effects on trading. Our findings are: 1.Trading volume reactions to earnings announcements are positively related to the absolute values of unexpected earnings and accumulated returns, which are the two proxies of the information effect. 2.The risk clientele effect is not found. 3. Trading volume reactions are proportional to the variances of financial analysts' EPS forecasts, which indicates a positive incremental relation between the level of predisclosure heterogeneous expectations and trading volume. 4.Industry variables and firm size add explanatory power to our model. 5.Investors react differently to positive and negative unexpected earnings announcements. |
本系統中英文摘要資訊取自各篇刊載內容。