臺灣博碩士論文加值系統

摘要
就資訊傳遞速度而言，由於證券交易機構皆有一定的交易時間，在非交易時間中所發生的事件，經由較長時間的充分傳遞，於是在一開盤後，市場便會有明顯而立即的反應，反之，在交易時間中所發生的事件，隨著資訊的陸續被投資人取得，才逐漸反應在股價上，因此在事件發生後的一段時間，股價才會將資訊的內涵加以反應完畢。
本論文欲探討交易時間與非交易時間盈餘宣告之日內市場反應，選取台灣股票上市公司共111個季盈餘宣告事件為本研究之樣本，將樣本區分為交易時間宣告與非交易時間宣告兩組，同時為排除盈餘宣告性質(盈餘成長或下跌)對觀察變數的影響，將其列為控制變數。對各組樣本事件期與正常期之日內交易資料進行實證分析，所得結論大致如下：1.盈餘下跌宣告之異常報酬率發生時點較盈餘成長宣告之異常報酬率發生時點晚，且持續較久。2.交易時間與非交易時間盈餘宣告之日內市場反應無顯著不同。

ABSTRACT
Market efficiency can be found by the speed of market response to new information. Because of the trading hour limit, news released during non-trading hours should have more time to spread the information, so they can be response in the market more quickly than those released during trading hours.
The main purpose of this study is to exam whether the quarterly earnings announcements during nontrading hours can be response more quickly than those during trading hours in Taiwan stock market. The 111 quarterly earnings announcement samples are selected from firms listed on Taiwan Securities Exchange and they are separated into earnings-growing and earnings-falling sample sets. The main findings can be summarized as follows: First, the abnormal return caused by earnings announcements of earnings-falling samples showed up later and last longer than earnings- growing samples. Second, there is no significant difference of intraday market response between quarterly earnings announcements during trading and nontrading hours.

目錄
中文提要……………………………………………………………..i
英文提要…………………………………………………………….ii
誌謝…………………………………………………………………iii
目錄…………………………………………………………………iv
表目錄………………………………………………………………vi
圖目錄……………………………………………………………..vii
第一章 緒論……………………………………………………………1
第一節 研究動機………………………………………………………1
第二節 研究目的………………………………………………………3
第三節 研究限制………………………………………………………4
第四節 論文結構………………………………………………………6
第二章 文獻探討…………………………………………………….7
第一節 日內交易形態實證…………………………………………..7
第二節 日內事件研究………………………………………………14
第三節 盈餘宣告對股價的影響…………..…….…………………18
第四節 文獻評論……………………………..……………………..22
第三章 研究方法……………………………….………………….24
第一節 研究架構與假說……………………..……………………..24
第二節 研究變數的定義與衡量…………….……………………..27
第三節 研究樣本與資料來源………………..……………………..34
第四節 研究實證方法………………………….……………………38
第四章 實證結果分析……………………………………………..43
第一節 盈餘成長(下跌)宣告之日內市場反應實證分析………..43
第二節 交易與非交易時間盈餘宣告之日內市場反應實證分析56
第三節 複迴歸模式橫斷面分析……………………………………84
第五章 結論與建議………………………………………………..89
第一節 結論………………………………………………………….89
第二節 研究貢獻…………………………………………………….90
第三節 相關建議…………………………………………………….91
參考文獻……………………………………………………………92
中文部份……………………………………………………………92
英文部份……………………………………………………………93
附錄一 研究樣本基本資料………………………………………96

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