博碩士論文 954201017 詳細資訊




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姓名 陳育馳(Yu-Chih Chen)  查詢紙本館藏   畢業系所 企業管理學系
論文名稱 公開資訊、私有資訊與盈餘公告後股價延遲反應
(Public Information and Private Information and Post-Earnings Announcement Drift.)
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摘要(中) 本研究針對效率市場上的一個異常現象,盈餘公告後股價延遲反應(Post–Earnings Announcement Drift, ),進行探討其與公開資訊、私有資訊與一致性間的關係。在本文的實證分析中,得到下列結果,盈餘公告後價格延遲反應之大小與規模成反比,當出現負面驚奇盈餘消息時,股價延遲反應更為嚴重,投資人似乎對於壞的公開訊息反應比較慢,與先前的文獻一致。且大約可觀察到,盈餘公告前期間的資訊組成中,公開資訊與盈餘公告後股價延遲反應間有正向的關係;而私有資訊與盈餘宣告後股價延遲反應為負向的關係,但皆較不顯著。我們認為,真正的關鍵,在於公開資訊精確度占所有資訊精確度的相對比例,而非公開資訊或私有資訊的絕對大小。盈餘公告前期間,公開資訊精確度比例越高,則私有資訊精確度比例越低,盈餘公告後股價延遲反應會越嚴重;若公開資訊精確度比例越低,則私有資訊精確度比例越高,盈餘公告前附近股價反應越迅速,所以盈餘公告後股價延遲反應會較不明顯。
摘要(英) In an efficient market, security price at any given time fully reflect all available information. Nevertheless, rather than adjusting immediately to new surprise, stock price tend to drift over time in the same direction as the initial surprise. This phenomenon is labeled post-earnings announcement drift (PEAD).We investigate relation between the precision of public and private information and post-earnings announcement drift. In our empirical study report a positive association between the precision of public information before earnings announcement period and PEAD. We also find strong drift after bad news. Investors seem to react slowly to this information.
關鍵字(中) ★ 盈餘公告後股價延遲反應
★ BKLS模型
關鍵字(英) ★ BKLS model
★ Post-Earnings Announcement Drift
論文目次 中文摘要 i
英文摘要 ii
目錄 iii
表目錄 iv
圖目錄 v
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究架構 3
第貳章 文獻探討 5
第一節 盈餘公告後股價延遲反應之相關研究 5
第二節 分析師信念與資訊特性相關研究 7
第三節 資訊特性與投資人反應之相關研究 8
第參章 研究方法 10
第一節 研究假說之建立 10
第二節 樣本蒐集與整理 12
第三節 相關變數定義與研究設計 14
第肆章 實證結果與分析 20
第一節 敘述統計 20
第二節 盈餘公告後股價延遲反應與公司規模 21
第三節 假說之實證結果與分析 26
第伍章 結論 39
參考文獻 41
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指導教授 曹壽民(Shou Min Tsau) 審核日期 2008-7-11
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