月營收資訊公告期間Google搜尋量對股票價格及交易量的影響

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：46

、訪客IP：3.12.136.231

姓名

魏辰芳(Chen-Fang Wei) 查詢紙本館藏

畢業系所

會計研究所

論文名稱

月營收資訊公告期間Google搜尋量對股票價格及交易量的影響
(The Impact of Google Search Volume on Stock Prices and Volume around Monthly Revenue Announcements)

相關論文

★ 申請首次公開發行過程分析 -以LED 產業之A 公司為例	★ 探討美元匯率與臺股指數變化之關係
★ 台灣血糖檢測儀產業的商業模式探討 -以產業領導廠商為例	★ 台灣上市公司董監薪酬與公司績效之關聯性 -以電子零組件產業為例
★ 企業資源規劃系統-典型ERP與非典型ERP之比較	★ 執行長誘因獎酬，會計師特性：沙賓法案前後期
★ 審計委員會財務專家與CEO誘因薪酬:對公司績效與盈餘管理之影響	★ 財務壓力、審計與薪酬委員會成員重疊與審計品質對盈餘管理之影響：真實與應計盈餘管理
★ 盈餘壓力，財務專家對盈餘管理之影響：應計盈餘管理與實質盈餘管理	★ 公司治理、高階經理人薪酬與企業績效敏感度之關連性
★ 強制設置薪酬委員會對高階經理人薪酬與企業績效關係之影響	★ 獨立董事特性、高階經理人現金薪酬與會計績效表現之關聯性
★ 高階經理人誘因薪酬與審計與薪酬委員會成員重疊對公司生產效率之影響	★ 審計委員會與薪酬委員會成員重疊在經理人權益薪酬與企業風險承擔關係中扮演之角色
★ 合併報表與母公司報表之資訊差異對盈餘持續性之影響	★ 雙簽制度下產業專精對查核任期與會計重編間關係之影響

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 (2028-7-19以後開放)

摘要(中)

本研究主要探討月營收公告期間投資人關注與市場活動之關聯性，本文採用事件研究法，並利用Da, Engelberg and Gao (2011) 提出之Google搜尋量（SVI）作為投資人關注指標，並以2018-2022年台灣上市公司作為研究樣本進行分析，實證結果有以下發現：(1) 月營收資訊具有資訊內涵；(2) 在月營收公告前交易量會顯著減少；(3) 在月營收公告後好消息會使異常報酬和異常交易量顯著增加，壞消息會使異常報酬顯著減少；(4) 投資人異常關注越高，異常報酬和異常交易量越高；(5) 投資人異常關注對異常交易量的影響比異常報酬來得高；(6) 在月營收公告前，且在未來是好消息的情況下，與月營收相關之Google搜尋越高，異常報酬越高；(7) 在月營收公告後是好消息的情況下，與月營收相關之Google搜尋越高，異常交易量越高。

摘要(英)

This study investigates the relationship between investor attention and market activity during the period of monthly revenue announcements. The research adopts an event study approach and utilizes Google Search Volume Index (SVI), as proposed by Da, Engelberg, and Gao (2011), as a measure of investor attention. The analysis is conducted using data from Taiwan listed companies during the years 2018 to 2022. The empirical findings are as follows: (1) Monthly revenue information carries informational content; (2) Trading volume significantly decreases before monthly revenue announcements; (3) Positive news after monthly revenue announcements leads to a significant increase in abnormal returns and abnormal trading volume, while negative news results in a significant decrease in abnormal returns; (4) Higher investor attention is associated with higher abnormal returns and abnormal trading volume; (5) Investor attention has a greater impact on abnormal trading volume than abnormal returns; (6) Higher Google search volume related to monthly revenue, particularly before the announcement and when it is positive news in the future, is associated with higher abnormal returns; (7) Higher Google search volume related to monthly revenue, particularly after the announcement and when it is positive news, is associated with higher abnormal trading volume.

關鍵字(中)

★ 月營收資訊
★ 投資人關注
★ Google搜尋量

關鍵字(英)

★ Monthly revenue information
★ Investor attention
★ Google search volume index

論文目次

摘要 i
ABSTRACT ii
致謝 iii
目錄 iv
圖目錄 v
表目錄 vi
壹、緒論 1
貳、文獻探討與假說發展 2
2-1 研究背景與文獻探討 2
2-1-1 投資人關注相關文獻 2
2-1-2 月營收相關文獻 3
2-2假說發展 4
參、研究方法 7
3-1資料來源、研究期間與樣本選取 7
3-1-1 資料來源 7
3-1-2 研究期間 7
3-1-3 樣本選取 7
3-2變數定義 8
3-2-1 應變數 8
3-2-2 自變數 9
3-2-3 控制變數 11
3-3實證模型 13
3-3-1 月營收公告前之模型 13
3-3-2 月營收公告後之模型 14
肆、實證結果 15
4-1敘述性統計分析與相關係數 15
4-1-1 敘述性統計分析 15
4-1-2 相關係數矩陣 17
4-2迴歸分析結果 22
4-2-1 月營收公告前的市場活動與月營收及投資人關注之關聯 22
4-2-2 月營收公告後的市場活動與月營收及投資人關注之關聯 23
伍、結論 29
5-1 研究結論與貢獻 29
5-2 研究限制與建議 30
參考文獻 31

參考文獻

陳柔君, 劉晏睿, & 蕭朝興. (2022). 台灣股市的未預期月營收：綜合分析. 管理學報, 39(4), 503–545.
顧廣平. (2010). 營收動能策略. 管理學報, 27(3), 267–289.
顧廣平. (2017). 月營收宣告與行為偏誤. 中山管理評論, 25(1), 63-100.
簡雪芳. (1998). 月營收公告資訊內涵之相關研究. National Taiwan University Graduate Institute of Business Administration.
王蘭芬, 張仲岳, & 劉昃恩. (2020). 月營收編製基礎變動前後資訊內涵之比較. 當代會計, 21(1), 33-62.
Ball, R., & Brown, P. (1968). An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research, 6(2), 159–178.
Bamber, L. S. (1987). Unexpected Earnings, Firm Size, and Trading Volume around Quarterly Earnings Announcements. The Accounting Review, 62(3), 510–532.
Bamber, L. S., Barron, O. E., & Stevens, D. E. (2010). Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research. Available at SSRN 1473439.
Barber, B. M., & Odean, T. (2008). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors. The Review of Financial Studies, 21(2), 785–818.
Basu, S., Duong, T. X., Markov, S., & Tan, E. J. (2013). How important are earnings announcements as an information source?. European Accounting Review, 22(2), 221-256.
Beaver, W. H. (1968). The Information Content of Annual Earnings Announcements. Journal of Accounting Research, 6, 67–92.
Beaver, W. H., McNichols, M. F. & Wang, Z. Z. (2018). The information content of earnings announcements: New insights from intertemporal and cross-sectional behavior. Review of Accounting Studies, 23(1), 95–135.
Beaver, W., Lambert, R., & Morse, D. (1980). The information content of security prices. Journal of Accounting and Economics, 2(1), 3–28.
Da, Z., Engelberg, J., & Gao, P. (2010). Internet Search and Momentum. Available at SSRN 1785924.
Da, Z., Engelberg, J., & Gao, P. (2011). In Search of Attention. The Journal of Finance, 66(5), 1461–1499.
Drake, M. S., Roulstone, D. T., & Thornock, J. R. (2012). Investor Information Demand: Evidence from Google Searches Around Earnings Announcements. Journal of Accounting Research, 50(4), 1001–1040.
Fricke, E., Fung, S., & Goktan, M. S. (2014). Google search, information uncertainty, and post-earnings announcement drift. Journal of Accounting and Finance, 14(2), 11.
Garvey, R., & Murphy, A. (2004). Are Professional Traders Too Slow to Realize Their Losses? Financial Analysts Journal, 60(4), 35–43.
Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The High-Volume Return Premium. The Journal of Finance, 56(3), 877–919.
Gurun, U. G., & Butler, A. W. (2012). Don’t Believe the Hype: Local Media Slant, Local Advertising, and Firm Value. The Journal of Finance, 67(2), 561–598.
Hou, K., Peng, L., & Xiong, W. (2009). A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum. Available at SSRN 976394.
Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263–291.
Landsman, W. R., & Maydew, E. L. (2002). Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades? Journal of Accounting Research, 40(3), 797–808.
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information.
Peng, L., & Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80(3), 563–602.
Shefrin, H., & Statman, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. The Journal of Finance, 40(3), 777–790.
Shleifer, A. (2000). Inefficient markets: An introduction to behavioural finance. Oup Oxford.
Shores, D. (1990). The Association between Interim Information and Security Returns Surrounding Earnings Announcements. Journal of Accounting Research, 28(1), 164–181.
Vozlyublennaia, N. (2014). Investor attention, index performance, and return predictability. Journal of Banking & Finance, 41, 17–35.
Welagedara, V., Deb, S. S., & Singh, H. (2017). Investor attention, analyst recommendation revisions, and stock prices. Pacific-Basin Finance Journal, 45, 211–223.
Wu, M.-H., Tsai, W.-C., Lu, C.-C., & Zhang, H. (2022). Google searches around analyst recommendation revision announcements: Evidence from the Taiwan stock market. International Review of Economics & Finance, 81, 75–97.

指導教授

盧佳琪(Chia-Chi Lu)

審核日期

2023-7-24

推文