散戶交易與盈餘宣告後股價持續反應之關係

Abstract

本研究以台灣民國85年至民國94年的上市股票交易資料，檢視股票市場散戶交易與盈餘宣告後股價持續反應現象間之關係。以驗證散戶交易阻礙市場價格機制，從而導致盈餘宣告後股價持續反應的說法是否成立。 結果發現，相關證據似乎並不足以支持散戶導致盈餘宣告後股價持續反應的說法。首先，雖然散戶交易對盈餘宣告後股票報酬率具解釋力，但增加散戶交易為解釋變數並不影響未預期盈餘對報酬率的解釋力。此外，未預期盈餘對散戶交易雖具解釋力，但大部分情況下，散戶不論在好消息或壞消息後多扮演市場交易淨賣方。因此與「個人交易假說」散戶阻礙價格調整機制的假設不符。而且，即使僅對小公司或低股價公司進行測試，結果亦類似。

This study investigates the relationship between individual trading and the post-earnings announcement drift in Taiwan stock market from 1996 to 2005. We examine whether the individual trading prevents the stock price from reflecting the public information and results in the post-earnings announcement drift. The result indicates that the evidence is not sufficient to support the relationship between individual trading and the post-earnings announcement drift. First of all, although the coefficients on individual trading are significant, individual investors trading fails to subsume any of the power of standard unexpected earnings to predict future abnormal returns. In addition, in spite of the ability of standard unexpected earnings to predict the individual trading, in most cases, individuals are significant net sellers, no matter the earnings news is negative or positive. Therefore, it is inconsistent with the individual trading hypothesis, which suggests that the post-earnings announcement drift may result from the trading activity of individuals. Moreover, the result remains similar even for small or low-price corporations