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標題: | 資訊之散佈及處理—以企業使用Twitter為例 Information Dissemination and Processing: Evidence from Firms' Use of Twitter |
作者: | Ju-Chun Yen 顏如君 |
指導教授: | 李書行(Shu-Hsing Li) |
關鍵字: | 社群媒體,企業揭露,資訊散佈,大小投資人交易行為, social media,Twitter,corporate disclosure,information dissemination,small versus large investors’ trading behavior, |
出版年 : | 2015 |
學位: | 博士 |
摘要: | 非效率市場中,資訊的散佈及處理過程對於資本市場公平性及投資人對市場的信心扮演了重要的角色。本研究探討公司使用社群媒體作為新的資訊傳播管道是否對投資人帶來正面效益,並研究該管道對於盈餘發佈前後股價及交易量之影響。本研究以公司使用Twitter傳遞盈餘發佈相關訊息之行為作為研究標的。Twitter可使公司快速且直接地傳遞訊息、接觸更多的投資人、並幫助投資人以較少的成本取得相關資訊。此外Twitter的訊息字數限制也可能使投資人更容易受到資訊內容的影響,進而改變投資人對於盈餘表現的認知。本研究探討(1)小型投資人是否透過Twitter取得資訊並進而參與市場交易,(2)市場對於公司於Twitter發佈之盈餘相關訊息之語調是否有增額反應,(3)公司使用Twitter發佈盈餘相關資訊是否幫助投資人更即時取得資訊並增進股價市場對未預期盈餘之短期反應。
研究結果顯示,小型交易之異常交易量會隨著公司於盈餘公告期間於Twitter上所發佈之相關正面訊息數而提高,但大型交易之異常交易量則不受影響。此結果顯示公司使用Twitter較能幫助小型投資人取得資訊進而參與交易。此外公司於Twitter上發佈之相關正面訊息亦有增額股價反應。最後,當公司於Twitter上發佈之相關正面訊息越多時,股價市場對於未預期正盈餘之反應也會隨之擴大。然而,本研究之實證結果並未顯示Twitter對於未預期負盈餘之效果。額外分析中發現於盈餘發佈前一日透過Twitter提醒投資人之公司,其盈餘發佈當日之股價反應較大。此外,本研究亦發現部分證據顯示股價市場對於Twitter之反應集中於盈餘發佈當日,且公司使用Twitter對股價反應之影響於機構投資人比例較低的公司較為明顯。本研究預期能對公司使用Twitter揭露資訊之應用及對投資人之幫助有進一步的了解。 In an inefficient market, how information is disseminated and processed plays a substantial role in investors’ confidence and the fairness of capital markets. This study examines whether investors benefit from firms’ use of social media in the incidence of stock market reactions to earnings announcements in volume and price. I focus my study on Twitter, which enables firms to fast and directly reach more investors and helps investors to acquire information with less cost. The content of the 140-character message may also have impact on investors’ perception about earnings performance. In particular, I investigate (1) whether more investors, especially small or retail investors, reach the information through Twitter and initiate more trades, (2) whether the stock market reacts to the tone of tweets per se, and (3) whether firms’ use of Twitter helps investors to obtain information in a timelier manner and increases the short-term stock price reaction to earnings announcements. My main empirical results show that the abnormal trading volume of small trades around earnings announcement increases with the positive tweets posted by firms, but that of large trades remains unchanged. Also, I find incremental price reaction to the tone of firm-initiated tweets. Finally, the market reaction to positive unexpected earnings is exacerbated when the firm posts positive earnings announcement-related tweets. However, I empirically do not find the effect of Twitter on the market reaction to negative unexpected earnings. In additional tests, I find firm-initiated tweets broadcasted on the day before earnings announcement may serve as a reminder and increase the event-day stock price reaction to unexpected earnings. I also find partially-supporting evidence that the market reaction to the tone of tweets happens mostly in the earlier event period and that the effect of Twitter on stock price reaction to unexpected earnings is more pronounced for firms with smaller percentage of institutional ownership. I expect this study to shed light on the literature of the application of social media in corporate disclosure by exploring who is using and who benefits most from social media. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17819 |
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顯示於系所單位: | 會計學系 |
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