臺灣博碩士論文加值系統

本研究主要探討臺灣證券市場中個股盈餘宣告前之相關新聞報導與該公司股價及波動之間的關係，並進一步剖析對不同類型投資人交易行為之影響，其中不同類型投資人包含自然人、外資、共同基金、自營商與一般法人，新聞媒體之資訊內涵則參考並延伸Vega(2006)與Demers and Vega (2011)之概念，建立個股在新聞媒體之曝光程度與個股相關報導的淨樂觀程度。本研究進一步考量市場多空狀態及盈餘宣告是否為交易日進行穩健性分析。本研究與先前文獻之差異在於，納入繁體中文財經新聞報導的資訊內涵探討其對投資人交易行為的影響。由資料分類可知，高達95%的公司在交易日進行盈餘宣告，因此研究過程主要以盈餘宣告日為交易日之實證結果進行推論。實證研究結果指出，盈餘宣告前公司在媒體上的曝光程度與外資驅動的個股價格變化存在顯著的正向關係，換言之，個股在媒體上的曝光度越高，外資交易行為產生的價格變化越大，此結果在市場呈現多頭或空頭趨勢以及盈餘宣告在交易日發布之研究分析均得到一致結論。對國內法人而言，盈餘宣告前5天至15天(15天至22天)公司在媒體上的曝光程度越高，一般法人(共同基金)驅動產生的價格變化越低(高)，而在多空不同趨勢狀態下，媒體曝光度對一般法人或共同基金交易行為之影響不僅具有一致性且影響程度也更加顯著。自然人的交易行為方面僅發現，在空頭市場時個股在媒體上的曝光程度越高其驅動之價格變化將越低。媒體曝光度與價格波動之間的分析發現，無論投資人類型為何，當個股在媒體的曝光程度越高時，投資人交易行為產生的價格波動越大。整體而言，無論市場參與者是機構法人或自然人，盈餘宣告前個股在媒體的曝光程度對投資人的交易行為有顯著的影響。新聞媒體相關報導之淨樂觀程度方面，僅發現新聞淨樂觀程度越高，自營商驅動產生的價格變化越低，而無論在市場多空趨勢或盈餘宣告是否為交易日之狀態下，則無法對不同類型投資人得到顯著且一致的推論，顯示新聞報導中呈現的情緒內涵對投資人交易行為較無顯著影響。盈餘宣告前公司在媒體上的相關報導確實會對市場參與者的交易行為產生影響，在探討投資人交易行為時應適當地納入新聞資訊內涵之衝擊。

This paper examines the impact of media related to the company prior to its earnings announcements on its price change and volatility with the incorporation of investor types in the Taiwan stock market. We also consider different scenarios for the robustness check including the trading or non-trading periods and the bull or bear market trends. The differences between this paper and the prior research lie in that the information content of Chinese media reports is extracted and comprehensive tick data are used to classify the trader types including institutions and individuals. The media coverage prior to the announcement has a positive impact on the price change initiated by foreigners especially when the earnings are announced on the trading day and the findings are consistent in both the bull and bear markets. As for the domestic institutions, the media coverage may give rise to a negative (positive) impact on the price change initiated by corporations (mutual funds) especially during a bull (bear) market. With regard to the individuals, although there is no significant consistent trading behavior, we find that there is a negative relationship between the media coverage and price changes in the bear market. The higher the media coverage related to the company, the higher the market volatility regardless of what the investors’ types are. Since ninety-five percent of companies announce their earnings information on trading days, we would suggest that the trading behaviors during the earnings announcements especially on the trading days are more representative in the Taiwan stock market. In conclusion, the media coverage may have an impact on the trading behavior around the earnings announcement regardless of whether the investors are individuals or institutions. However, the optimistic or pessimistic content of news reports has less of an impact on the trading behavior even if the market scenarios are divided into bull/bear markets or trading/non-trading periods. The exposure of the company to the media surely has an impression on the investors.

摘要 ............................................................................................................................... I
Abstract ...................................................................................................................... III
謝辭 ............................................................................................................................ IV
Contents ....................................................................................................................... V
List of Tables .............................................................................................................. VI
List of Figures ............................................................................................................ VII
1. Introduction .............................................................................................................. 1
2. Literature Review ...................................................................................................... 3
2.1 Earnings Announcement ...................................................................................... 3
2.2 Behavior of Different Investors Types ................................................................. 4
2.3 Text Mining ......................................................................................................... 4
2.4 Market Trends ..................................................................................................... 5
3. Data and Research Design ......................................................................................... 7
3.1 Data .................................................................................................................... 7
3.2 Variables ........................................................................................................... 10
3.3 Research Design ................................................................................................ 18
4. Empirical Results .................................................................................................... 23
4.1 Summary Statistics ............................................................................................ 23
4.2 The Reaction of a Price Change and Volatility to the News Information ............ 26
4.3 The Reaction during the Trading or Non-Trading Periods .................................. 34
4.4 The Reaction during Trading or Non-trading Periods for Bull and Bear Markets 40
5. Conclusions ............................................................................................................ 43
References .................................................................................................................. 45

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