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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/26020完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽(Shing-yang Hu) | |
| dc.contributor.author | Jung-Ying Po | en |
| dc.contributor.author | 薄榮瑩 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:58:39Z | - |
| dc.date.copyright | 2009-12-29 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-06 | |
| dc.identifier.citation | Ball, R., S. P. Kothari, and R. Watts. The economics of the relation between earnings changes and stock returns. Working paper, University of Rochester, December 1988.
Bartov, E., I. Krinsky, and S. Radhakrishnan. 2000. Investor sophistication and patterns in stock returns after earnings announcements. The Accounting Review 75:43-63. Battalio, R., and R. Mendenhall. 2005. Earnings expectations, investor trade size, and anomalous returns around earnings announcements. Journal of Financial Economics 77:289-320. Bernard, V.L., and J. K. Thomas. 1989. Post-earnings-announcement drift: delayed price response or risk premium? Journal of Accounting Research 27:1-48. Bernard, V.L., and J. K. Thomas. 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 13:305-340. Burch, T., and B. Swaminthan. 2003. Earnings news and institutional trading. Working paper, University of Miami and Cornell University. Campbell, J., T. Ramadorai, and T. Vuolteenaho. 2005. Caught on tape: Institutional order flow and stock returns. Working paper, Harvard University and University of Oxford. Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok, 1996. Momentum Strategies. Journal of Finance 51:1681-1713. Foster, G., C. Olsen, and T. Shevlin. 1984. Earnings releases, anomalies, and the behavior of security returns. The Accounting Review 59: 574-603. Frazzini, A. 2006. The Disposition Effect and underreaction to news. The Journal of Finance 61: 2017-2046. Hirshleifer, D., J. N. Myers, L. A. Myers, and S. H. Teoh. 2008. Do individual investors cause post-earnings announcement drift? direct evidence from personal trades. Working paper. Available online: http://ssrn.com/abstract=1120495 Ke, B., and S. Ramalingegowda. 2005. Do institutional investors exploit the post-earnings announcement drift? Journal of Accounting and Economics 39, 25-53. Shivakumarl, L. 2006 . Accruals, cash flows and the Post-earnings-announcement drift. Journal of Business Finance and Accounting. Vol. 33, No.1-2,pp.1-25. Lee, C. M. C. 1992. Earnings news and small traders: An intraday analysis. Journal of Accounting and Economics 15: 265-302. Mendenhall, R. 2004. Arbitrage risk and Post-earnings-announcement drift. Journal of Business. 77:875-894. Shanthikumar, D. 2004. Small and large trades around earnings announcements: Does trading behavior explain post-earnings-announcement drift? Working paper, Harvard Business School. Walther, B. R. 1997. Investor sophistication and market earnings expectations. Journal of Accounting Research 35:157-192. 林惠美，1993，非預期盈餘變動與盈餘宣告後股價持續反應關係之研究，國立台灣大學財務金融學系碩士論文 周聖哲，2006投資者情緒與盈餘宣告後股價持續反應現象之關係，靜宜大學財務金融研究所碩士論文 徐佳莉，2005，季盈餘宣告時盈餘與營業收入對機構投資人交易行為之影響，淡江大學會計學系碩士論文 陳志遠，2006，盈餘資訊之內涵—以台灣股票市場為例，靜宜大學會計學系研究所碩士論文 鄭慧文，1998，季盈餘宣告對股價之影響，中原大學會計學系碩士論文 蔡金佩，2000，系統風險之修正對盈餘宣告前後累積異常報酬之影響，國立成功大學會計學系碩士論文 黃錦堂，2000，季盈餘自我相關結構與股票超額報酬之研究，中國文化大學會計研究所碩士論文 戴伶仴，2006，處分效果與盈餘宣告後異常報酬續航效應，國立中正大學會計與資訊科技研究所碩士論文 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/26020 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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 | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:58:39Z (GMT). No. of bitstreams: 1 ntu-98-R94723005-1.pdf: 13413634 bytes, checksum: a3ca12411298bacd404633650966455b (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 目錄
口試委員審定書 I 誌謝 II 中文摘要 III 英文摘要 IV 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構 3 第二章 文獻探討 4 第三章 研究方法 12 第一節 理論基礎 12 第二節 變數定義及資料處理 13 第三節 假設及迴歸模型 16 第四節 資料來源及期間 18 第四章 實證結果與分析 20 第一節 投資人交易與盈餘宣告後股價持續反應現象 20 第二節 投資人交易與非預期盈餘之關係 37 第三節 盈餘宣告次季投資人交易與非預期盈餘之關係 46 第五章 結論與建議 51 第六章 參考文獻 53 | |
| dc.language.iso | zh-TW | |
| dc.title | 散戶交易與盈餘宣告後股價持續反應之關係 | zh_TW |
| dc.title | The relationship between individual trading and post-earnings announcement drift | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 邱顯比(Shean-Bii Chiu),何耕宇(Keng-Yu Ho) | |
| dc.subject.keyword | 盈餘宣告後股價持續反應, | zh_TW |
| dc.subject.keyword | post-earnings announcement drift, | en |
| dc.relation.page | 55 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2009-07-07 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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