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。;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.
