盈餘警示之日內市場反應

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姓名

張琦敏(Chyi-Miin Chang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

盈餘警示之日內市場反應
(Market Reactions to Earnings Warnings ---An Intraday Analysis)

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摘要(中)

摘要
本文利用日內交易與報價資料以及準確之宣告時點檢驗市場對盈餘警示之日內反應情況。
就我們的樣本而言，發現盈餘警示是具有資訊內涵的，且市場具有效率性。價格在訊息發布的一分鐘內有所反應，交易強度強度倍增，同時，依據正面消息的買單與負面消息的賣單都增加。若投資人可以在盈餘警示前依據相關訊息交易則可獲得小卻顯著的獲利。
盈餘警示亦造成報價流動性的變動。包含盈餘警訊宣告的半小時區間內，可以觀察到價差增加幅度最大。當好消息在交易時間內宣告時，這價差增加的情況會持續一個小時。

摘要(英)

Abstract
This study uses intraday trade and quote data and exact announcement times to examine the within-day pattern of the market reactions surrounding earnings warnings.
We find that the earnings warnings samples have informational content. The prices respond to earnings warnings within one minute of initial releases. There is a significant increase in trading intensity at the event period, and an increase in buyer- (seller-) initiated trades following good (bad) news. Traders who execute before the initial release make small but significant profit by trading during the earnings warnings.
The earnings warnings also cause a shift of quoted liquidity after the announcements. The largest increase in the spread is observed during the half-hour interval containing the earnings warnings. This change of spreads persists for one hour when good earnings announcements are made during trading hours.

關鍵字(中)

★ 盈餘警示
★ 日內反應

關鍵字(英)

★ earnings warnings
★ intraday

論文目次

Table of Contents
1. Introduction 1
2. Data and Sample Selection 6
3. Methodology 11
3.1 The impact of earnings warnings on price and trading 11
3.2 The impact of earnings warning on liquidity 13
4.The impact of earnings warnings on price and trading 17
4.1 Magnitude of price response 17
4.2 Speed of price response 22
4.3 Cross-sectional determinants of price impact 24
4.4 Trading profitability 28
4.5 Trading activity 30
5. The impact of earnings warnings on liquidity 34
5.1 Univariate test results 34
5.2 Multivariate test results 41
6. Conclusion 49
Reference 51
Appendix 53

參考文獻

Reference
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指導教授

周冠男、陳聖賢
(Robin K. Chou、Sheng-Syan Chen)

審核日期

2004-6-30

推文