臺灣博碩士論文加值系統

本研究試以Daniel,Hirshleifer and Subrahmanyam所提出的DHS模型在盈餘宣告事件下，探討投資人因公司報酬波動以及過去財務績效所產生之過度自信對市場之影響。以2001年至2008年為研究期間，所有上市公司為樣本。利用DHS模型各階段之異常報酬率（AR），來分析過去績效好（壞）的公司對正（負）面事件反應上，是否有顯著正（負）向效果且有擴大作用，同時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階段大致符合DHS模型變動。頗具台灣股票市場代表性之電子產業、水泥產業、汽車產業、食品產業、橡膠產業、貿易產業跟玻璃產業之七個產業完全符合DHS模型變動。此外，過去財務績效較佳的公司，在盈餘宣告正事件中，整體產業符合程度為51.50%，十八個產業中有十個產業符合程度超過50％；過去財務績效較差的公司，在盈餘宣告負事件中，整體產業符合程度為56.39%，十八個產業中有十三個產業符合程度超過50％，因此過去財務績效對DHS模型會有干擾之作用，負面事件影響大於正面事件，符合不確定資訊假說。最後，報酬波動性大的公司，在盈餘宣告的正事件中，整體產業符合程度為35.9%，在十八個產業中僅有二個產業符合程度超過50％；報酬波動性大的公司，在盈餘宣告的負事件中，整體產業符合程度為56.68%，十八個產業中有十三個產業符合程度超過50％，公司報酬波動性僅在盈餘宣告負事件中，對DHS模型有顯著負向的擴大作用。

The study adopts the DHS model that developed by Daniel,Hirshleifer and Subrahmanyam to study the effect causing by the return’s volatility and previous financial performance the overconfident investor influence the market under the earnings announcement event .This study takes whole listed companies’ stocks for studying samples during 2001 to 2008. Using the abnormal returns (AR) of each stage in the DHS model to analysis the previous financial performance of the company was good (bad) react to the positive (negative) events whether there is a significant positive (negative) effect and amplification. Furthermore, T-test is adopted to diagnose the abnormal return different form zero significantly.
Which are found in the results of this study, D0D1 stage and D2D3 stage are approximately consistent with DHS model by the overall industries. Electron, Cement, Car, Food, Rubber, Consumers’ Goods and Glass industries are significant consistent with DHS model which are represented the Taiwan Stock Exchange. In addition, the company previous financial performance was good consistent with the degree of 51.50% by the overall industry in the positive events of earning announcement. There are 18 industries, 10 industries in line with the extent of more than 50%.The company previous financial performance was bad consistent with the degree of 56.39% by the overall industry in the negative events of earning announcement. There are 18 industries, 13 industries in line with the extent of more than 50%.Previous financial performance moderate affects DHS model, the influence of negative events are greater than positive events. It corresponds to the uncertain information hypothesis. Finally, the company return’s volatility is great consistent with the degree of 35.9% by the overall industry in the positive events of earning announcement. There are 18 industries, 2 industries in line with the extent of more than 50%.The company return’s volatility is great consistent with the degree of 56.68% by the overall industry in the negative events of earning announcement. There are 18 industries, 13 industries in line with the extent of more than 50%.Return’s volatility of the company is obviously negative amplification on the DHS model that only in the negative events of earning announcement.

目錄
摘要………………………………………………………………I
Abstract…………………………………………………………II
誌謝詞……………………………………………………………III
目錄………………………………………………………………IV
圖目錄……………………………………………………………V
表目錄……………………………………………………………VI
第一章 論……………………………………………………………1
第一節 研究背景與動機………………………………………………1
第二節 研究目的………………………………………………………6
第三節 論文章節架構與研究流程……………………………………7
第二章 文獻探討………………………………………………………9
第一節 不確定資訊假說………………………………………………9
第二節 行為財務學……………………………………………………11
第三節 盈餘宣告之相關研究…………………………………………22
第三章 研究設計與方法………………………………………………26
第一節 研究範圍及研究假說…………………………………………26
第二節 事件研究法……………………………………………………29
第三節 DHS模型之探討………………………………………………35
第四章 實證結果與分析………………………………………………40
第一節 樣本敘述性統計………………………………………………40
第二節 台灣股市是否符合DHS模型…………………………………43
第三節 過去財務績效對DHS模型干擾作用之影響…………………46
第四節 報酬波動性對DHS模型之影響………………………………51
第五節 過去財務績效與報酬波動性對DHS模型之干擾之作用……56
第五章 結論與建議…………………………………………………62
第一節 研究結論……………………………………………………62
第二節 研究限制與後續研究方向…………………………………65
參考文獻……………………………………………………………66
附錄…………………………………………………………………70

圖目錄
圖1-1-1 過度自信投資人平均價格時間函數……………………………………5
圖1-3-1 研究流程圖………………………………………………………………8
圖2-1-1 展望理論價值函數圖……………………………………………………12
圖3-1-1 事件研究法之時間線……………………………………………………30
圖3-2-1 自信模型之時間函數與過度自信的投資者……………………………36

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…………………24
表4-1-1 樣本之產業統計表………………………………………………………40
表4-1-2 主要日期D0 D1 D2 D3彙總表…………………………………………41
表4-2-1 全部產業及各產業八年度平均異常報酬率分析表……………………43
表4-2-2 分年各年度整體平均異常報酬率分析表………………………………44
表4-2-3 台股2001年至2008年度年底產業成交值比重…………………………45
表4-3-1 全部產業及各產業過去財務績效較佳公司符合DHS分析表…………46
表4-3-2 分年各年度過去財務績效較佳公司符合DHS分析表…………………48
表4-3-3 全部產業及各產業過去財務績效較差公司符合DHS分析表…………49
表4-3-4 分年各年度過去財務績效較差公司符合DHS分析表…………………50
表4-4-1 全部產業及各產業報酬波動性大公司在正事件中實證結果…………51
表4-4-2 分年各年度報酬波動性大公司在正事件中實證結果…………………53
表4-4-3 全部產業及各產業報酬波動性大公司在負事件中實證結果…………54
表4-4-4 分年各年度報酬波動性大公司在負事件中實證結果…………………55
表4-5-1 過去財務績效較佳且報酬波動性大的公司實證結果…………………56
表4-5-2 過去財務績效較佳且報酬波動性小的公司實證結果…………………57
表4-5-3 過去財務績效較差且報酬波動性大的公司實證結果…………………59
表4-5-4 過去財務績效較差且報酬波動性小的公司實證結果…………………60

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