本研究之目的擬先構建兩期干擾理性預期均衡模式，其中市場存在消息靈通交易者、流動性交易者與市場制定者等三種風險中立的參與者，而消息靈通交易者在第一期取得私有資訊並且公司在第二期揭露財務報表。文中將分別探討在序列價格可以完全顯露與部份顯露私有訊號的兩種架構下，有關公開揭露時的價格與交易量模式，並且分析會計資訊的揭露對資訊不對稱與市場流動性大小之影響。模式結果指出，若序列價格無法完全顯露私有資訊，市場在第二期盈餘宣告時消息靈通交易者對風險性資產將有交易產生；但當序列價格可以完全顯露私有資訊時，消息靈通交易者在第二期將不會交易風險性資產。同時，在前者架構下第二期的市場流動性為公開訊號精確度與流動性交易者人數的遞增函數、而為消息靈通交易者意見分歧的遞減函數。

The analysis of capital markets generally depends on assumptions about the structure of market information and about how traders process information. The various equilibrium paradigms used in the research on asset market behavior differ in their assumptions with regard to the amount of information conveyed in price and the information sets used by traders for their portfolio decisions. This paper analyzes market responses to accounting disclosures with a two-period (three-date) noisy rational expectations model. There are three types of risk-neutral agents: a market maker, informed traders, and liquidity traders. The informed traders receive private signals and the firm releases an accounting report at the first and second dates, respectively. Our model considers two settings where the sequence of prices can either fully reveal or partially reveal private signals. We investigate trading volume responses to a financial accounting disclosure at the time of announcement under these frameworks. Furthermore, we examine how the level of information asymmetry and the degree of liquidity affect the magnitude of trading volume reaction. Conclusions of this paper are as follows. First, if the private signals are not fully revealed in the sequence of prices, trade in the risky asset occurs at the second date with trading volume arising from both informed and liquidity trading. Second, no informed trading takes place for the risky asset at the second date when the private signal is fully revealed by either a public announcement or the price sequence. This implies that no informed traders submit orders for the risky asset at date 2 and all demand orders for the risky asset are from liquidity traders. Third, in the setting of partially revealing private signal, market liquidity at date 2 is increasing in both the precision of a public announcement and the number of liquidity traders, and decreasing in the diversity of opinion among informed traders.