歷史營收趨勢對當期未預期營收股價衝擊之調節效應：探討公告後股價補反應現象

Abstract

本研究旨在探討臺灣股票市場中「營收公告後股價飄移現象（Rost Revenue Announcement Drift本研究簡稱為PRAD）」，並檢驗企業歷史營收長期趨勢對當期未預期營收股價衝擊之調節效應。過去文獻指出，由於營收資訊含高度不確定性，加上投資人面臨有限注意力，市場常難以在公告第一時間區分營收衝擊屬於暫時性雜訊抑或長期結構性改善，進而導致股價呈現延遲調整的定價偏誤。本研究利用臺灣上市櫃公司資料，透過 Foster 模型、Brown-Rozeff 模型以及隨機漫步模型過濾季節性與雜訊，將營收成長分離為過去的長期基本面結構性趨勢部分與未預期營收部分並探討兩者關係。 實證結果顯示，台灣股市投資人平時往往忽視了企業的長期營收成長趨勢。因此，即便不看這個月單期的未預期營收，企業過去累積的長期營收趨勢就足以獨立引發後續的股價飄移效果。當最新出現之當期未預期營收與歷史長期趨勢方向一致時，將扮演關鍵的趨勢確認訊息，使市場對其補上漲效應。分析投資人組成發現，成熟投資人持股比例較高的股票，對於此一趨勢確認效果的反應速度比非成熟投資人慢，且此一現象在控制並排除流動性假說後依然顯著。本研究亦透過投資組合分析發現未預期營收與營收趨勢交互使用能夠帶來兩者單獨使用無法解釋之市場調整後異常報酬。

This study investigates the post-revenue-announcement drift (PRAD) in the Taiwanese stock market and examines the moderating effect of firms' historical long-term revenue trends on the stock price shocks driven by current unexpected revenue. Prior literature suggests that because revenue information entails a high degree of uncertainty, combined with investors' limited attention, the market often struggles to immediately distinguish whether a revenue shock reflects temporary noise or a structural, long-term improvement. Consequently, this leads to delayed price adjustments and pricing errors. Utilizing data on Taiwanese listed and over-the-counter (OTC) companies, this study employs the Foster model, the Brown-Rozeff model, and a baseline random walk model to filter out seasonality and random noise, thereby decomposing revenue growth into past long-term fundamental structural trend components and unexpected revenue components. The empirical results demonstrate that the Taiwanese stock market systematically fails to fully price in firms' long-term revenue trends, generating a post-announcement drift that is independent of current unexpected revenue. Crucially, when the current unexpected revenue aligns with the direction of the historical long-term trend, it serves as a powerful trend-confirmation signal, driving an incremental catch-up price reaction in the market. Furthermore, an analysis of investor composition reveals that stocks with higher institutional ownership (representing sophisticated investors) adjust to this trend-confirmation effect at a slower pace compared to stocks dominated by unsophisticated investors. This phenomenon remains statistically significant after controlling for and ruling out liquidity hypotheses, which confirms that the drift is driven by cognitive frictions rather than market trading frictions. Finally, portfolio analysis demonstrates that the joint utilization of unexpected revenue and revenue trends generates substantial cross-sectional abnormal returns (Alpha) that cannot be explained by either factor individually.