臺灣博碩士論文加值系統

市場效率性可以藉由市場對新事件的總和反應速度加以衡量，而事件被反應於股價或成交量的速度，會受資訊傳遞速度和市場交易制度設計所影響。而資訊的傳遞速度，會因是否在交易時間中宣告有所不同。本論文以民國86年8月1日至民國87年7月31日為研究期間，共選取國內上市公司101個盈餘預測修正宣告事件為研究樣本，這些樣本被區分為交易與非交易時間宣告。經由實證分析本論文得到下列結論：第一，在盈餘預測修正宣告前，不論好壞消息皆出現賣方不平衡與成交量擴大，這可能是起因於資訊不對稱所帶來的不確定性。第二，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；在買賣平衡性上，壞消息出現持續較久的異常買賣失衡現象。第三，交易時間與非交易時間盈餘預測修正宣告，在報酬率與買賣平衡性上，並無顯著差異，至於在成交量上，交易時間宣告的異常成交量產生較晚且持續較久。

Market efficiency can be found by the speed of market response to new information. But we can expect that the response to news released during trading hours differs from the response to news released during nontrading hours.
The data for this study consists of 101 adjustment of earnings forecasts announcements by Taiwan Securities Exchange firms between August 1997 and July 1998.The results support the following inferences：First, regardless of good news or bad news, the result indicates that before releasing adjustment of earnings forecasts announcement, the trading volume increases and order flow imbalance is evident with selling pressure, resulting from uncertainty brought by information asymmetry. Second, regardless of good news or bad news, the result indicates that after releasing adjustment of earnings forecasts announcement, there are significant abnormal return and trading volume with indifferent response persistence. As for order flow imbalance, abnormal order imbalance of bad news lasts longer. Third, as for abnormal return and order flow imbalance, the response to adjustment of earnings forecasts announcements during trading hours are indifferent from those during nontrading hours. As to trading volume, the abnormal trading volume to announcements during trading hours happens later and lasts longer.

目錄
頁次
中文提要 …………………………………………………………………i
英文提要 ………………………………………………………………ii
誌謝 ………………………………………………………………iii
目錄 …………………………………………………………………………iv
表目錄 ………………………………………………………………………vi
圖目錄 ……………………………………………………………………vii
第壹章 緒論 ……………………………………………………………1
第一節 研究動機 ………………………………………………………1
第二節 研究目的 ………………………………………………………2
第三節 研究限制 ………………………………………………………3
第四節 論文結構 ………………………………………………………4
第貳章 文獻探討 ………………………………………………………7
第一節 日內價格發現相關實證研究……………………………………7
第二節 盈餘預測宣告效果相關實證研究 …………………………13
第三節 文獻評論 …………………………………………………21
第參章 研究設計 …………………………………………………………23
第一節 研究架構與研究假說 ………………………………………23
第二節 變數定義和衡量 …………………………………………27
第三節 樣本資料來源 ……………………………………………35
第四節 分析方法 …………………………………………………40
第肆章 實證結果與分析 ………………………………………………46
第一節 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
實證分析 ……………………………………………………46
第二節 盈餘預測修正方向與日內市場反應關係實證分析 ………78
第三節 盈餘預測修正宣告異常報酬率迴歸分析 …………………94
第伍章 結論與建議 ………………………………………………………98
第一節 結論 …………………………………………………………98
第二節 貢獻 …………………………………………………………99
第三節 建議 …………………………………………………………100
參考文獻 …………………………………………………………………102
附錄一 本研究之實證樣本 ………………………………………107
附錄二 公開發行公司財務預測資訊公開體系實施要點 ……………110

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