為提升企業資訊揭露的透明度、落實公司治理，以促進資本市場建全發展，台灣證券交易所及證券櫃檯買賣中心於2003年，委託證券暨期貨市場發展基金會建置「資訊揭露評鑑系統」。諸多學者研究發現，系統實施後，企業已顯著降低盈餘管理行為，評鑑結果對機構投資人存在顯著的正面影響，公司特有資訊愈充分愈容易吸引機構投資人持股，但無法辨識資訊揭露評鑑結果的變動是否影響股票報酬。本研究以2006至2012年公布之資訊揭露評鑑結果為樣本，結果發現，評鑑結果等級與持續1至12月持有期之個股平均累積報酬率成正向關係。進一步將評鑑等級比前一期提高者，定義為等級調升，評鑑等級比前一期降低者，定義為等級調降，建構以買進調升股票同時賣出調降股票的變動動能策略投資組合，並觀察於持有期是否存在動能現象。結果發現，台灣股市存在資訊揭露評鑑變動的動能持續現象，投資人對於資訊揭露評鑑公布結果調升或調降的反應程度也不同。

In order to enhance the transparency of information disclosure, implement the corporate governance and promote the full development of the capital market, the Securities and Futures Institute, entrusted by the Taiwan Stock Exchange Corporation and the Gre Tai Securities Market, launched the Information Disclosure and Transparency Rankings System to evaluate the level of transparency for all listed companies in Taiwan since 2003. Prior studies suggested that the full-year ranking results from Information Disclosure and Transparency Rankings System existed positive impact on institutional investors. The more firm-specific stock returns, the more attractive to the institutional investors. The earnings management has decreased after the implementation of the system but unable to recognize the momentum-based trading strategies. This study investigates whether the changes of Information Disclosure and Transparency Rankings are able to provide the investment strategies for the listed companies of Taiwan Stock Exchange Corporation during 2006 to 2012. We first find that the higher ranking the higher cumulative returns over the year of holding periods. We then construct a changing information transparency investment strategy of buying an upgraded portfolios and selling a downgraded portfolios. As expected, the evidence suggests that the self-financed investment strategy possess a momentum effect that obtained significantly positive cumulative returns over 1 to 12 month holding periods. The investors may have different reactions from the changes of ranking when the level of information disclosure and transparency released.

中文摘要…………………………………………………………………………………………………i
英文摘要………………………………………………………………………………………………ii
誌謝……………………………………………………………………………………………………iii
目錄………………………………………………………………………………………………………iv
圖表目錄………………………………………………………………………………………………vi
第一章、緒論…………………………………………………………………………………………1
第一節 研究背景與動機……………………………………………………………………1
第二節 研究目的…………………………………………………………………………………7
第三節 研究架構…………………………………………………………………………………9
第二章、文獻探討………………………………………………………………………………11
第一節 資訊揭露文獻探討………………………………………………………………11
第二節 動能投資策略文獻探討………………………………………………………14
第三章、資訊揭露評鑑系統說明……………………………………………………18
第一節 資訊揭露評鑑系統建置背景……………………………………………18
第二節 資訊揭露評鑑系統評鑑方式及對象…………………………………19
第三節 資訊揭露評鑑結果公布………………………………………………………21
第四節 資訊揭露評鑑系統的特色與限制……………………………………22
第四章、研究設計………………………………………………………………………………24
第一節 研究資料說明………………………………………………………………………24
第二節 實證方法………………………………………………………………………………27
第三節 投資組合績效衡量………………………………………………………………29
第四節 動能效應關聯性驗證…………………………………………………………31
第五節 調升/調降的交易特性及其與股市同期報酬之驗證……33
第六節 動能策略投資組合迴歸分析………………………………………………34
第七節 穩定性測試……………………………………………………………………………35
第五章、實證結果與分析…………………………………………………………………37
第一節 基本統計量……………………………………………………………………………37
第二節 動能效應之驗證……………………………………………………………………40
第三節 動能效應關聯性之驗證………………………………………………………42
第四節 調升/調降與股市同期報酬關聯性之驗證………………………46
第五節 穩定性分析……………………………………………………………………………48
第六章、結論與建議……………………………………………………………………………54
第一節 研究結論…………………………………………………………………………………54
第二節 研究建議…………………………………………………………………………………56
參考文獻…………………………………………………………………………………………………58
附錄…………………………………………………………………………………………………………67

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