網路搜尋活動在不同資訊環境下的效果 -以台灣財報空窗期與否為例

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沈冠宇(KUAN-YU SHEN) 查詢紙本館藏

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會計研究所

論文名稱

網路搜尋活動在不同資訊環境下的效果 -以台灣財報空窗期與否為例
(The Effect of Online Search Activity Under Different Information Environments: A Case Study of Taiwan′s financial report Blackout Period)

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摘要(中)

Google搜尋作為資訊傳遞的工具，是投資人獲取資訊的重要工具之一，資訊環境的財務資訊多寡也會影響 Google 搜尋能得到的資訊內容，進而影響投資人的決策。而台灣因為法規關係而有長達四個半月的財報空窗期，故本研究以台灣財報空窗期及非財報空窗期這兩段不同的資訊環境進行研究，探討資訊環境的差異是否使得 Google搜尋對資本市場的影響產生差異。本研究將依據月營收公告的月份進行區分，探討不同資訊環境下， Google搜尋對資本市場的影響。研究結果顯示： (1) Google搜尋在財務資訊相對充足的環境能使營收資訊提早反映到股價中而財務資訊相對不足的環境無此效果；(2) Google搜尋在財務資訊相對充足的環境能提升資訊效率使得營收公告後的PRAD降低而財務資訊相對缺乏的環境則無此效果；(3) 財務資訊相對充足的環境Google搜尋會分別在月營收好壞消息時使投資者的行為更符合效率市場假說。總結來說，本研究發現 Google搜尋的決策效果會受資訊環境影響。

摘要(英)

As a tool for information dissemination, Google search is one of the most important tools for investors to obtain information, and the amount of financial information in the information environment also affects the content of the information that can be obtained by Google search, which in turn affects investors′ decision-making. In Taiwan, there is a four-and-a-half-month financial reporting window due to regulations, therefore, this study takes two different information environments, namely, the financial reporting window period and the non-financial reporting window period, to investigate whether the differences in the information environments make the impact of Google search on the capital market different. In this study, the impact of Google search on the capital market under different information environments is examined by differentiating the months of monthly revenue announcements. The results of this study show that: (1) Google search can make revenue information reflected in stock price earlier in the environment of relatively sufficient financial information, but not in the environment of relatively insufficient financial information; (2) Google search can improve the information efficiency and reduce PRAD after revenue announcement in the environment of relatively sufficient financial information, but not in the environment of relatively insufficient financial information; (3) Google search has a different impact on capital market under different information environments, which is summarized in the following table. In the environment with relatively sufficient financial information, Google search makes investors′ behavior more consistent with the efficient market hypothesis when there is good or bad news about monthly revenue, respectively. In conclusion, this study finds that the decision-making effect of Google search is affected by the information environment.

關鍵字(中)

★ 資訊環境
★ 營收公告
★ 未預期營收
★ Google SVI
★ 累積異常報酬
★ 展望理論

關鍵字(英)

★ Information environment
★ Revenue announcement
★ Unexpected revenue
★ Google SVI
★ Cumulative abnormal returns
★ Prospect Theory

論文目次

目錄
摘要 i
Abstract ii
誌謝 iii
表目錄 vi
一、緒論 1
二、文獻探討與假說建立 3
2-1 投資者關注度相關文獻 3
2-2 資訊環境 4
2-2-1 資訊環境差異 4
2-2-2 月營收公告 5
2-3 事件研究－會計資訊宣告 7
2-3-1 公告期股價反應 7
2-3-2 盈餘宣告後之股價漂移（PEAD） 7
2-4 行為財務學－展望理論 8
2-5 假說建立 9
三、研究設計 12
3-1 研究期間、資料來源及樣本選取 12
3-1-1 研究期間及資料來源 12
3-1-2 Google SVI 12
3-1-3 樣本篩選 12
3-2 主要變數 14
3-3 實證模型 19
3-3-1 資訊環境、月營收公告 19
3-3-2 資訊環境、月營收公告和Google SVI 20
3-3-3 資訊環境、月營收公告、PRAD和Google SVI 20
3-3-4 展望理論、月營收公告和Google SVI 20
四、研究結果 21
4-1 敘述性統計與相關係數 21
4-2 實證結果 27
4-2-1 資訊環境及Google SVI 27
4-2-2 資訊環境、月營收公告和Google SVI 29
4-2-3 資訊環境、月營收公告、PRAD和Google SVI 31
4-2-4 展望理論、資訊環境、月營收公告和Google SVI 34
五、結論與建議 39
參考文獻 41

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指導教授

盧佳琪(Chia-Chi Lu)

審核日期

2024-7-11

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