臺灣博碩士論文加值系統

過去的實證研究發現在盈餘宣告後股價仍有持續上升的異象(Post Earning Announcement Drift, 又稱PEAD)。本研究使用Python抓取Google Trends搜尋量數據做為投資人注意力變數，探討投資人注意力是否能解釋盈餘宣告後股價持續反應的現象。實證結果顯示台灣市場存在盈餘宣告後股價持續反應的現象：未預期盈餘每增加1個標準差會使得盈餘宣告日後一個月的累積異常報酬率增加0.502%。同時，當投資人對該檔股票關注程度較高時，此累積異常報酬率會顯著下降，驗證了PEAD 現象會因投資人注意程度而有所減緩。最後，本研究亦考慮許多穩健性檢驗:實際與市場預期一致或是偏離的情況、季盈餘效果或是不同定義的搜尋量等不同情形，結果均無實質的差異。

第一章 緒論 1
第一節 研究動機 1
第二章 文獻回顧 8
第一節 盈餘宣告後的持續反應 8
第二節 投資人注意力 9
第三節 Google 搜尋量指數 12
第三章 研究方法 14
第一節 資料來源與樣本選取 14
第二節 變數衡量與定義 15
第四章 實證結果與分析 25
第一節 基本統計分析 25
第二節 投資人注意力與盈餘宣告後持續反應現象 28
第三節 市場預期與盈餘宣告後持續反應現象 33
第五章 結論 45
附錄一 47
參考文獻 48

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