資訊不對稱下-盈餘宣告前股票市場之價量行為

Abstract

本文探討在盈餘宣告前，當市場存在有資訊和無資訊兩種投資人時，其交易行為所造成的價、量行為，其中盈餘宣告是取自台灣經濟新報，盈餘概估月份為六、十二月，研究期間為1991年至2005年。首先，在以盈餘宣告前十一天至前五十天，四十個交易日的平均交易量作為一般交易量，則在盈餘宣告前第二週，相較於一般交易量會有減少的情形，盈餘宣告前一週及盈餘宣告後，則會增加。其次，探討盈餘宣告前，不同成交量下，對隔日股價報酬的影響，實證發現，量愈大下，對隔日股票報酬會有較大的影響。最後，以外資視為有資訊投資人。實證上，外資在盈餘宣告前的累積淨買、賣超，對盈餘宣告日的股票報酬並無顯著的解釋能力。

Given information asymmetry, we discuss the behavior of stock market price and volume prior to the earnings announcement of Taiwan Stock Market listed firms. The tests provide that two weeks prior to the earnings announcement, the daily trade volume is smaller compared to the 40-day average trade volume. The volume is rising one week prior to or after the earnings announcement. As to the relationship between price and volume, the evidence shows that the higher trade volume will have stronger positive influence on the next day stock price. We regard the foreign institutional investors as the proxy of informed traders. From the empirical evidence, we can’t conclude that the behavior of foreign institutional investors will affect the price around the earnings announcement.