臺灣博碩士論文加值系統

盈餘漂浮(earnings drift)為一種趨勢，代表著一檔股票產生累積異常報酬的程度及方向。當公司進行盈餘宣告，實際盈餘與預期盈餘的差額即為盈餘驚奇(earnings surprise)。驚奇會持續數星期，因而產生累積異常報酬，亦即盈餘漂浮現象。當盈餘驚奇越高，越有可能引起投資人的注意。

過去衡量注意力的指標很多，如極端報酬、新聞數量，但多屬於間接且被動的衡量方式。因此，本研究採用一個新的且能直接衡量投資人注意力的指標─搜尋量指數(Search Volume Index, SVI)。

本研究是以傳統探討盈餘驚奇的模型為基礎，再加入「網路注意力」的變數，欲檢視是否仍會帶來更明顯的盈餘漂浮現象。研究發現：不論樣本分組與否，當期注意力衡量投資人關注的能力較注意力驚奇與前期注意力好，並為負向顯著，表示當期注意力越高，越不會產生正的累積異常報酬或異常交易量。

Earnings drift is a trend that represents the degree and the direction of the cumulative abnormal returns produced by a stock. When a firm has earnings announcements, the difference between actual earnings and expected earnings is called earnings surprise. Surprise may last for weeks, resulting in cumulative abnormal returns, and that is earnings drift. It more likely causes investor’s attention when there is higher earnings surprise.

In the previous papers, there are several indices for measuring attention, for example, extreme returns and number of news. But they are mostly indirect and passive way to measure. Therefore, we adopt a new and direct measure of investor attention using search frequency in Google (Search Volume Index (SVI)).

This study is based on the traditional model discussing on earnings surprise, then add the attention variables, examining whether it still brings more obvious earnings drift. Whether there is a sample packet or not, we find that using the current attention to measure investor’s attention is better than using attention surprise and the early attention. It’s significantly negative and represents that when the current attention is higher, it will not produce positive cumulative abnormal returns or abnormal volume.

摘要 i
ABSTRACT ii
目錄 iii
表目錄 iv
圖目錄 v
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第貳章 文獻探討 5
第一節 盈餘漂浮相關文獻 5
第二節 注意力相關文獻 6
第三節 網路注意力─搜尋量指數(SVI)相關文獻 7
第参章 研究方法 10
第一節 變數定義 10
第二節 模型介紹 13
第三節 樣本期間與資料來源 15
第肆章 實證結果與分析 16
第一節 敘述統計 16
第二節 相關性分析 20
第三節 全樣本之迴歸分析 25
第四節 分組樣本之迴歸分析 46
第伍章 結論與建議 57
第一節 研究結論 57
第二節 未來研究建議 58
參考文獻 60

中文文獻：
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8.洪文淋，2013，搜尋量指數和台灣股票流動性與報酬率之研究，中山大學財務管理所碩士論文。
9.黃浚紘，2013，Google 是否能預測台灣股票報酬率？，台灣大學財務金融所碩士論文。
10.趙偲成，2013，一種新的投資者注意力指標：搜尋量指數之研究，交通大學財務金融所碩士論文。
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