臺灣博碩士論文加值系統

月營收會隨季節性循環有淡旺季現象發生，而通常股價漲跌與營收起伏成正比，且月營收向來為投資人、市場分析師所關注的資訊，當月營收表現佳，通常股價會攀升，吸引機構投資人與個別投資人注意。本研究利用月營收月增率探討季節性營運旺季公司的股價是否會隨營收獲利而有超額報酬，並利用此一現象建構投資組合，進一步檢視外資與散戶對旺季資訊有無異常交易行為。
實證結果發現，具營運旺季現象的公司應提前進場買進部位，而當期月營收成長超乎預期應於月營收公告日後買進並持有15日能獲取最佳報酬，且利用旺季現象的投資組合績效皆能有優於大盤的表現。此外發現散戶面對營運旺季現象的公司會依循過去經驗與代表性原則作捷徑思考，易有認知偏誤與不理性之投資行為，且有過度自信傾向與強烈的處分效果。

Monthly revenue will fluctuate with seasonal cycles; this is called low and peak season. Normally stock price and revenues are in direct proportion. As a result, investors and market analysts will pay attention to monthly revenue. When the performance of monthly revenue is outstanding, the stock price will rise, therefore attracts the attention of institutional and individual investors.
The purpose of this study is to apply the growth rate of monthly revenue to exam-ine the value of information about monthly revenue under the seasonal cycles and uses the information to construct trading strategies. Furthermore, we discuss investors trading behavior and psychological bias on the results. The results reveal that investors should buy positions ahead of monthly revenue announced of seasonal operating cycle compa-nies. In addition, if the growth rate of monthly revenue is beyond expectation, we should buy and hold the position for fifteen days after revenue announcement. The performance of trading portfolio performs better than the market portfolio. The final result shows that the individual investors will follow past experiences and representativeness as rule of thumb as the face peak seasonal companies, but the phenomenon will cause cognitive bias and irrational behavior on the investment. The individual investors tend to exhibit over confidence and strongly disposition effect when they make investment decisions.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 3
第二章 文獻回顧 5
第一節 月營收訊息公告與股價影響之相關研究 5
第二節 基本面指標相關文獻 6
第三節 焦點效應 7
第四節 行為財務學與投資人行為 7
第三章 資料與研究方法 10
第一節 資料來源 10
第二節 資料樣本篩選 11
第三節 交易策略 13
第四章 實證結果與分析 18
第一節 公司營運旺季之股票最適持有期間 18
第二節 營運旺季月營收成長超乎預期與資產價格的衝擊效果 19
第三節 投資組合績效表現 20
第四節 外資與散戶交易行為 21
第五章 結論與建議 24
第一節 結論 24
第二節 研究限制與建議 25
參考文獻 26
附錄 47

中文部分
何秀芳，2000，再論月營收公告之資訊內涵，國立台灣大學會計學研究所碩士論文。
巫健廷，2014，台灣上市櫃公司月營收之資訊內涵與交易策略，中山大學財務管理
學研究所碩士論文。
林志斌，1996，產業景氣的季性變動對股價的影響，國立台灣大學國際企業研究所。
黃玄德，2000，臺灣上市公司營運循環與股價之關聯性研究，中正大學財務金融研
究所碩士論文。
劉怡女譯，2016，不當行為，272-285，台北，台灣：先覺出版。Richard H. Thaler.
2016. Misbehaving: The Making of Behavioural Economics. New York, NY: Penguin.
簡雪芳，1998，月營收公告資訊內涵之相關研究，台灣大學商學研究所博士論文。
蘇弘哲，1995，台灣地區上市公司每月營收公告對股價之影響，淡江大學金融研究
所碩士論文。

英文部分
Badrinath, S.G. and S. Wahal. 2002. “Momentum Trading by Institutions,” Journal of Finance, 57, 2449-2478.
Ball, R. and P. Brown, 1968. “An Empirical Evaluation of Accounting Income Numbers,” Journal of Accounting Research, 6, 159-178.
Bamber, Linda Smith, Orie E. Barron, and Thomas Stober, 1997.“Trading volume and different aspects of disagreement coincident with earnings announcements, ”Accounting Review, 575-597.
Barber, B. M., and Terrance Odean, 2000. “Trading is Hazardous to Your Weath: The Common Stock Unvestment Performance of Individual Investors,” Journal of Fi-nance, 55, 773-806.
Basu, S., 1997,“ Investment Performance of Common Stock in Relation to their Price Earnings Ratio: A Text of the Efficient Market Hypothesis,” Journal of Finance, 32, 663-682.
Bernard, V. L. and J. K. Thomas, 1992.“Evidence that stock prices do not fully react the implications of current earnings for future earnings,”Journal of Accounting and Eco¬nomices 13, 305-340.
Benston, G. J., 1985.“ The market for public accounting services: demand, supply and regulation,” Journal of Accounting and Public Policy, 4, 33-79.
Brav, A and Gompers P.A., 1997.“Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies.” Journal of Finance, 5, 1791-1821.
Brown, S. and J. Warner, 1985. “Measuring Security Price Performance,” Journal of Fi-nancial Economics, 14, 3-31.
Bushee, B., 2001. “Do Institutional Investors Prefer Near-Term Earnings over Long-RuleValue?” Contemporary Accounting Research, 18, 207-246.
Capaul, C., Rowley, and W. Sharpe, 1993.“International value and growth stock re-turns,”Financial Analysts Journal, January/February, 27-36.
Chan, L. K. C., N. Jegadeesh and J. Lakonishok, 1996. “Momentum Strategies,” The Journal of Finance, 51, 1681-1713.
Chang, T. Y., and Hartzmark, S. M., and Solomon, D.H., and Soltes, E. F., 2014.“Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns,”Review of Financial Studies, 30, 281-323.
Chiao, C. and K.I. Lin, 2004. “The Informative Content of the Net Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market,” Review of Pacific Basin Financial Markets and Policies, 7, 259-288.
Chuang, Wen-I and Bong-Soo Lee, 2006. “An Empirical Evaluation of the Overconfi-dence Hypothesis,” Journal of Banking and Finance, 30, 2489-515.
Da, Zhi, Joseph Engelberg, and Pengjie Gao, 2001.“In Search of Attention,”Journal of Finance, forthcoming.
De Bondt, W. F. M. and R. H. Thaler, 1985. “Does the stock market overreact?” Journal of Finance 40, 793-808.
, 1987. “Further evidence on investor overreaction and stock market seasonality,”Journal of Finance 42, 557-581.
De Bondt, W. F. M, 1993. “Betting on trends: Intuitive forecasts of financial risk and Return,”International Journal of Forecasting 9, 355-371.
Dreman, D. N. and M. A. Berry, 1995.“Overreaction, Underreaction, and the Low-P/E Effect,”Financial Analysts Journal 51, 21-29.
Drake, M. S., D. T. Roulstone, and J. R. Thornock. 2012.“Investor information demand: Evidence from Google Searches around earnings announcements,”Journal of Ac-counting Research 50 (4):1001-1040.
Ertimur, Y., J. Livnat, and M. Martikainen, 2003. “Differential market reactions to reve-nue and expense surprises,” Review of Accounting Studies 8(2-3), 185-211.
Fama, E. F., 1970. “Efficient capital markets: a review of theory and empirical work,” Journal of Finance 25, 383-417.
Fama, E. F. and K. R. French, 1992. “The cross-section of expected stock returns,” Journal of Finance 47(2), 427-465.
Gervais, Simon, and Terrance Odean, 2001.“Learning to be overconfident,”Review of Financial Studies 14(1), 1-27.
D.M. Grether, 1980.“Bayes rule as a descriptive model: the representativeness heuris-tic,”Q. J. Econ, 537–557.
Ghosh, A., Z. Gu, and P. Jain, 2005.“Sustained Earnings and Revenue Growth, Earn-ings Quality, and Earnings Response Coefficients,”Review of Accounting Studies 10 (1), 33-57.
Griffin, J. M., X. Ji and J. S. Martin, 2005. “ Global Momentum Strategies: A Portfolio Perspective,”Journal of Portfolio Management 31, 22-39.
Jegadeesh, N. and J. Livnat, 2006a. “Post-earnings-announcement drift: The role of rev-enue surprises,” Financial Analysts Journal 62(2), 22-34.
Jegadeesh, N. and J. Livnat, 2006b. “Revenue surprises and stock returns,” Journal of Accounting and Economics 41(1), 147-171.
Kahneman, D., 1973.“Attention and effect, Englewood Cliffs,”NJ, Prentice-Hall.
Kahneman, Daniel, and Amos Tversky, 1979. “Prospect theory: An analysis of decision under risk,” Econometrica: Journal of the Econometric Society, 263-291.
Kandel, E. and N.D. Pearson, 1995m. “Differential interpretation of public signals and trade in speculative markets,” Journal of Political Economy, 103, 831-872.
Keynes, JM, 1937.“The General Theory of Employment,”Quarterly Journal of Eco-nomics 51, 209-223.
, 1964.“The General Theory of Employment, Interest, and Money,”San Deigo: Harcourt Brace Jovanovich.
La Porta, R, 1996. “Expectations and the cross section of stock returns,” Journal of Fi-nance 51, 5, 1715-1742.
Lee, Cheng-Few, Zumwalt, J. Kenton, 1981.“Association between Alternative Ac-counting Profitability Measures and Security Returns,”Journal of Financial and Quantitative Analysis 16(1), 71-93.
Lee, Y. T., J. C. Lin and Liu, Y., J., 1999. “Trading patterns of big versus small players in an emerging market: an empirical analysis,?Journal of Banking and Finance 23, 701-725.
Lev, B., 1988. “Toward a Theory of Equitable and Efficient Accounting Policy,” Ac-counting Review 63, 1-22.
Loughran, Tim, and Jay R. Ritter, 2002.“Why don’t issuers get upset about leaving money on the table in IPOs,”Review of Financial Studies 15, 413-444.
Lundholm, R.J., 1991.“Public signals and the equilibrium allocation of private infor-mation,”Journal of Accounting Research 29, 322-349.
Moskowitz, T. J. and M. Grinblatt, 1999. “ Do Industries Explain Momentum?”Journal of Finance 54(4), 1249-1290.
Nofsinger, J. R., 2001. “ The impact of public information on investors,” Journal of Banking and Finance 25, 1339-1366.
Shiller, R. J, 1984.“Stock prices and social dynamics,” Brookings Papers on Economic Activity II, 457-498.
Olsen, Robert A, 1998. “Behavioral finance and its implications for stock-price volatili-ty,” Financial Analysts Journal March/April, 10-18.
Peavy III, J. W., and D. A. Goodman, 1983.“Significance of P/Es for Portfolio Returns,”Journal of Portfolio Management 9, 43-47.
Scharfstein David S., and Jeremy C. Stein, 1990.“Herd behavior and investment,” American Economic Review 80(3), 465-479.
Shleifer, H, 2000.“Beyond Greed and Fear, Boston,”MA: Harvard Business School Press.
Shu, Pei-Gi, Yin-Hua Yeh, Shean-Bii Chiu, and Hsuan-Chi Chen, 2005.“Are Taiwanese Individual Investors Reluctant to Realize Their Losses,” Pacific-Basin Finance Journal 13, 201-223.
Ststman, Meir, and Steven Thorley, 2003.“Investor overconfidence and trading volume,” working paper, Santa Clara University.
Rozeff, Michael S. and William R. Kinney, Jr., 1984.“Capital Market Seasonality: The Case of Stock Returns,”Journal of Financial Economics 3, 379-402.
Tversky, Amos and Daniel Kahneman, 1973. “Availability: A heuristic for judging fre-quency and probability,” Cognitive Psychology 5, 207-233.
Walther, B., 1997. “Investor Sophistication and Market Earnings Expectations,” Journal of Accounting Research 35, 157-179.