過去有許多文獻指出盈餘宣告後其盈餘的結果會影響到後續股票的報酬，此現象稱為盈餘宣告後股價持續反應(Post Earning Announcement Drift, PEAD)。而異常交易量也可以為後續報酬作出解釋，此現象稱為高額交易量溢酬(High Volume Return Premium, HVRP)。我們認為PEAD與HVRP相互影響，正如我們的結果所示，在考慮到宣告日附近的異常交易量後，發現盈餘驚喜的方向更能夠解釋股價報酬率的表現。我們更進一步的將我們的樣本分成兩個部分，一個是總宣告樣本，另一個是分析師估計樣本，我們發現不論採取哪一個樣本，我們都可以發現PEAD與HVRP皆會相互影響。;In the past, many literatures pointed out that the earnings result will affect the subsequent stock returns. This phenomenon is called Post Earning Announcement Drift (PEAD). The abnormal trading volume can also explain the subsequent stock returns. This phenomenon is called High Volume Return Premium (HVRP). We argue that PEAD and HVRP influence each other. As our results show, after considering the abnormal trading volume around the earning announcement date, we find that earning surprise can better explain the performance of stock returns. We further divide our sample into two parts, one is the general announcement sample, and the other is the analyst estimate sample. We found that no matter which sample we take, we find that PEAD and HVRP affect each other.
