臺灣博碩士論文加值系統

本研究試以DHS靜態模型探討盈餘宣告事件下，投資人過度自信對市場造成的影響，並以動態模型探討投資者是否因投資者注意力對資訊產生自我歸因偏誤。而過去財務績效使投資者存在既定的信念，當投資者獲得盈餘宣告的新資訊時，是否會改變既有的信念。以2001年至2006年為研究期間，以研究期間內已上市之公司為樣本。各階段報酬衡量方式係以異常報酬率（AR）和累積異常報酬率（CAR）之事件研究法計算，檢測異常報酬率是否顯著異於零之方式，則使用T統計檢定量。
實證結果發現，以整體產業而言，在D0D1階段及D2D3階段符合DHS靜態模型變動。頗具台灣股票市場代表性之電機機械、電子工業、貿易百貨三個產業，亦完全符合DHS靜態模型變動。此外，投資注意力會對整體產業股價造成影響，在董事會發文日之後市場出現引發投資人投資注意力的訊息，導致私有資訊被強化，使投資者過度自信的程度增加，報酬持續上升。最後，無論是動態或靜態模型下，過去財務績效佳的公司之各階段累積異常報酬皆顯著小於過去財務績效不佳的公司。

The study tried to discuss the overconfident investor influence the market under the earnings announcement event by the DHS static model, and discussed the investor whether has biased self-attribution for information follow the investment attention by the dynamic model. Then, whether to change original convictions follow the previous financial performance when they got the newly earning announcement information. Take the studying from 2001 to 2006 for example, The sample from listed company’s stock in the course of study. In evaluating the each stage returns, the abnormal return and cumulative abnormal return of Event Study are measured. In diagnose the abnormal return different form zero significantly, T-test is measured.
Which are found in this result of study, D0D1 stage and D2D3 stage are significant consistent with DHS static model by the overall industry. Electric Machinery, Electron and Trading and Consumers’ Goods Industry are significant consistent with DHS static model which are represented the Taiwan Stock Exchange. In addition, investment attention has to influence the overall industrial stock price. The market presents the news to initiate the investor to pay attention after the date of board being issued, that lead to the private information are strengthened, and investor’s overconfident level increase, then reward rice ceaselessly. Finally, under the static model or dynamic model in each stages cumulative abnormal return, the companies’ previous financial performance is part of good are significant smaller than the companies are part of not good.

中文摘要 I
英文摘要 II
目錄 III
圖目錄 IV
表目錄 V
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第三節 論文架構與研究流程 5
第貳章 文獻探討 7
第一節 效率市場假說 7
第二節 行為財務學的回顧 10
第三節 盈餘宣告與不當反應 23
第四節 DHS模型 26
第參章 研究方法 29
第一節 DHS模型探討 29
第二節 研究假設及相關假說 34
第三節 變數定義與測量方式 36
第四節 資料來源與樣本選擇 37
第肆章 實證結果與分析 39
第一節 樣本描述 39
第二節 盈餘宣告在靜態模型對各階段報酬之影響 40
第三節 盈餘宣告在動態模型對各階段報酬之影響 48
第四節 過去財務績效對各階段報酬之影響 56
第伍章 結論與建議 67
第一節 研究結論 67
第二節 研究限制與後續研究方向 68
參考文獻 70
附錄 75
圖目錄
圖1-1-1 研究流程 6
圖2-2-1 價值函數圖 13
圖2-2-2 決策權數函數圖 13
圖2-2-3 行為財務理論架構圖 22
圖3-1-1 靜態自信模型之時間函數與過度自信的投資者 30
圖3-1-2 動態自信模型之時間函數 33
圖 4-2-1 台灣股市2001年至2006年整體靜態CAR走勢圖 41
圖 4-2-2 台灣股市各年度整體靜態CAR走勢圖 43
圖 4-2-3 台灣股市2001年至2006年符合DHS靜態模型之產業 46
圖 4-3-1 台灣股市2001年至2006年整體動態CAR走勢圖 49
圖 4-3-2 台灣股市各年度整體動態CAR走勢圖 51
圖 4-3-3 台灣股市2001年至2006年符合DHS動態模型之產業 55
表目錄
表2-3-1 彙總以理性行為、行為財務角度觀察盈餘宣告事件 25
表4-1-1 樣本之產業統計表 39
表 4-2-1 整體靜態平均異常報酬率及累計異常報酬率 40
表 4-2-2 各年度整體靜態平均異常報酬率及累計異常報酬率 41
表 4-2-3 各產業整體平均異常報酬率及累計異常報酬率 44
表 4-2-4 台股2001年至2006年度產業成交值比重 47
表 4-3-1 整體動態平均異常報酬率及累計異常報酬率 48
表 4-3-2 各年度整體動態平均異常報酬率及累計異常報酬率 49
表 4-3-3 各產業整體動態平均異常報酬率及累計異常報酬率 52
表4-4-1 2001年至2006年過去財務績效分類表 56
表 4-4-2 整體過去財務績效好壞之累計異常報酬率比較表 62
表 4-4-3 各年度過去財務績效好壞之累計異常報酬率比較表 62
表 4-4-4 各產業過去財務績效好壞之累計異常報酬率比較表 64

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