臺灣博碩士論文加值系統

本研究係結合處分效果與盈餘宣告後異常報酬續航效應，利用國內某大券商所提供之實際帳戶交易資料，以探討盈餘宣告資訊對於國內股票市場投資人交易行為的影響，進而觀察投資人交易行為與盈餘宣告後異常報酬續航效應的關聯。
本研究實證結果顯示，公司盈餘宣告事件期投資人並未存在處分效果，反而產生加碼買進、認賠出清的交易行為，進而造成異常報酬於當期迅速反應而未延遲至盈餘宣告後期展現，甚而發現盈餘宣告後期有修正現象產生。亦即，擁有未實現利得的投資人面對盈餘宣告好消息時，考量訊息支撐已降低前景預測的不確定感，過去獲利亦為未來放手一搏的籌碼，因此傾向加碼買進股份，造成宣告當期股價受到投資人加碼與好消息的催化而快速攀升;相對，擁有未實現損失的投資人面對盈餘宣告壞消息時，考量繼續持有股份仍無法在未來扳平損失，甚至可能因而擴大虧損，因此傾向認賠出清，造成宣告當期股價受到投資人清算與壞消息的宣告使得賣壓湧現。當期股價迅速反應訊息，使得宣告後期異常報酬不僅未產生續航效應，甚至需要進行修正。

This study investigates the impacts of disposition effect on the post-earnings- announcement drift (PEAD) in Taiwan stock markets. We examines whether trading behavior among various types of investors fully reflect the implications of current earnings. We also analyze the relationship between trading behavior of investors and post-earnings-announcement drift. Our empirical results indicate that investors trading behavior around the earning announcement dates do not appear to have disposition effect. On the contrary, for stocks with large amount of unrealized capital gains (losses) on the event day, investors tend to buy (sell) the stocks in response to positive (negative) earning announcement. As a result, stocks with large amount of unrealized capital gains (losses) on the event day tend to fully reflect the implications of current positive (negative) earnings announcement. These stocks are also found to have less degree of post-earnings announcement drifts.

目錄 II
圖目錄 iv
表目錄 iv
謝辭 - 5 -
摘要 - 6 -
第一章 緒論 - 8 -
1.1 研究背景與動機 - 8 -
1.2 研究目的 - 11 -
1.3 研究貢獻 - 11 -
1.4 研究架構 - 12 -
第二章 文獻探討 - 13 -
2.1 效率市場假說與行為財務學的發展 - 13 -
2.1.1效率市場假說 - 13 -
2.1.2.行為財務學的理論發展 - 14 -
2.1.3展望理論(Prospect theory) - 15 -
2.2 處分效果(Disposition Effect) - 18 -
2.2.1.處分效果理論基礎 - 18 -
2.2.2.國內外文獻回顧 - 20 -
2.3 盈餘宣告後股價續航效應(Post-earnings announcement drift) - 21 -
2.3.1股價無法立即且充分反應盈餘宣告的新資訊 - 21 -
2.3.2資本資產評價模式(CAPM)有誤 - 23 -
2.3.3投資人心理行為 - 24 -
2.4 處分效果與盈餘宣告後股價續航效應 - 26 -
第三章 研究方法 - 29 -
3.1 觀念性架構 - 29 -
3.2 研究期間與樣本選取 - 30 -
3.3 變數定義 - 31 -
3.3.1累積異常報酬 - 31 -
3.3.2未實現獲益的衡量 - 35 -
3.3.3標準化未預期盈餘 - 37 -
3.4 盈餘宣告事件期投資人交易行為之分析 - 38 -
3.4.1盈餘宣告事件期投資人之交易狀況 - 38 -
3.4.2盈餘宣告事件期投資人交易狀況之檢定 - 39 -
3.5 盈餘宣告後異常報酬續航與股票持有帳戶未實現獲益現況之關係 - 41 -
第四章 實證結果與分析 - 44 -
4.1 資料與敘述性統計 - 44 -
4.1.1 樣本刪選 - 44 -
4.1.2 樣本敘述性統計 - 45 -
4.2 實證結果 - 47 -
4.2.1 盈餘宣告事件期間與處分效果交易行為之實證結果 - 47 -
4.2.2 盈餘宣告續航效應與股票持有帳戶未實現獲益現況之關係 - 49 -
第五章 結論與建議 - 55 -
5.1 研究結論 - 55 -
5.2 研究限制與建議 - 56 -
參考文獻 - 57 -

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