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。 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.
