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題名：盈餘宣告對臺灣股市成交量之影響
書刊名：證券市場發展季刊
作者：林宜勉 引用關係／游淑禎
作者(外文)：Lin, Yi-mien／You, Shwu-jen
出版日期：1998
卷期：10:2=38
頁次：頁117-148
主題關鍵詞：成交量；盈餘宣告；風險變化；宣告前資訊不對稱；異質預期；Trading volume；Predisclosure information asymmetry；Risk changes；Carnings announcements；Heterogeneous expectations
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　　　　　投資者在盈餘宣告前若擁有不對稱資訊將形成異質預期，並在公開宣告時產生不 同的看法修正，故通常可預期投資者將在盈餘宣告後調整投資組合。本文探討臺灣股市成交 量對盈餘宣告的反應是否與風險客戶效果及資訊效果有關，並討論在控制公司規模效果與行 業別差異後，投資者的異質預期是否影響成交量。實證結果為：(1) 盈餘宣告時的成交量反 應與資訊效果呈正相關。 (2) 宣告後的風險變化與成交量反應無關， 即無風險客戶效果。 (3) 代表異質預期的分析師意見分歧變數與成交量反應呈正相關。(4) 行業別與公司規模差 異亦是影響成交量反應的因素。(5) 未預期盈餘為正與為負的公司，其影響成交量反應的因 素亦有別。
　　　　　The information contained in a public disclosure and the risk shifts of the portfolio held by an investor after earnings announcement can cause trading. In addition, investors' predisclosure information asymmetry lead them to form differential belief revisions, which, in turn, induce trading. This study is aimed to test the information effect, the risk clientele effect and the effect of investors' heterogeneous expectations in the volume response to annual earnings announcements. Firm size and industry differences are also included in our model to examine their effects on trading. Our findings are: 1.Trading volume reactions to earnings announcements are positively related to the absolute values of unexpected earnings and accumulated returns, which are the two proxies of the information effect. 2.The risk clientele effect is not found. 3. Trading volume reactions are proportional to the variances of financial analysts' EPS forecasts, which indicates a positive incremental relation between the level of predisclosure heterogeneous expectations and trading volume. 4.Industry variables and firm size add explanatory power to our model. 5.Investors react differently to positive and negative unexpected earnings announcements.
期刊論文
1.林宜勉、王泰昌、蔡彥卿(19951000)。交易量與價格對私有資訊之反應。會計評論，29，1-40。new window  延伸查詢new window
2.Bhushan, R.(1989)。Collection of Information about Publicly Traded Firms。Journal of Accounting & Economics，11(2)，183-206。  new window
3.Demski, J. S.、Feltham, G. A.(1994)。Market Response to Financial Reports。Journal of Accounting and Economics，17(1/2)，3-40。  new window
4.Cready, W. M.、Ramanan, R.(1991)。The Power of Tests Employing Log-Transformed Volume in Detecting Abnormal Trading。Journal of Accounting & Economics，14(2)，203-214。  new window
5.Bowman, R. G.(1979)。The Theoretical Relationship between Systematic Risk and Financial (Accounting) Variables。The Journal of Finance，34(3)，617-630。  new window
6.Brown, L. D.、Griffin, P. A.、Hagerman, R. L.、Zmijewski, M.(1987)。An Evaluation of Alternative Proxies for the Market's Assessment of Unexpected Earnings。Journal of Accounting and Economics，9(2)，159-193。  new window
7.Bamber, Linda S.、Cheon, Youngsoon(1995)。Differential price and volume reactions to accounting earnings announcements。The Accounting Review，70(3)，417-441。  new window
8.Karpoff, Jonathan M.(1986)。A theory of trading volume。The Journal of Finance，41，1069-1087。  new window
9.Beaver, William H.(1968)。The Information Content of Annual Earnings Announcement。Journal of Accounting Research，6(Suppl.)，67-92。  new window
10.Bamber, L.(1986)。The Information Content of Annual Earnings Releases: A Trading Volume Approach。Journal of Accounting Research，24(1)，40-56。  new window
11.Hamada, R. S.(1972)。The effect of the firm's capital structure on the systematic risk of common stocks。Journal of Finance，27(2)，435-452。  new window
12.Guenther, D. A.、Rosman, A. J.(1994)。Differences between COMPUSTAT and CRSP SIC codes and related effects on research。Journal of Accounting and Economics，18(1)，115-128。  new window
13.Kim, O.、Verrecchia, R. E.(1991)。Market Reaction to Anticipated Announcements。Journal of Financial Economics，30，273-309。  new window
14.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。  new window
15.Atiase, Rowland Kwame(1985)。Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements。Journal of Accounting Research，23(1)，21-36。  new window
16.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research，6(2)，159-178。  new window
17.Bamber, L. S.(19870700)。Unexpected earnings, firm size, and trading volume around quarterly earnings announcements。The Accounting Review，62(3)，510-532。  new window
18.Kim, Oliver、Verrecchia, Robert E.(1991)。Trading Volume and Price Reactions to Public Announcements。Journal of Accounting Research，29(2)，302-321。  new window
19.Ziebart, D. A.(1990)。The Association between Consensus of Beliefs and Trading Activity surrounding Earnings Announcements。The Accounting Review，65(2)，477-488。  new window
20.Kim, Oliver、Verrecchia, Robert E.(1994)。Market Liquidity and Volume around Earnings Announcements。Journal of Accounting & Economics，17(1/2)，41-67。  new window
21.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society，48(4)，817-838。  new window
22.Atiase, R. K.、Bamber, L. S.(1994)。Trading Volume Reactions to Annual Accounting Earnings Announcements。Journal of Accounting & Economics，17，309-329。  new window
23.Bartov, E.、Bodnar, G. M.(1996)。Alternative Accounting Methods, Information Asymmetry and Liquidity: Theory and Evidence。The Accounting Review，71，397-418。  new window
24.Greig, A. C.(1992)。Fundamental Analysis and Subsequent Stock Returns。Journal of Accounting Economics，15，413-442。  new window
25.Hopwood, W.、McKeown, J.(1990)。Evidence on Surrogates for Earnings Expectations within a Capital Market Context。Journal of Accounting Research，62，158-175。  new window
26.Kross, W.、Ha, G. L.、Heflin, F.(1994)。A Test of Risk Clientele Effects via an Examination of Trading Volume Responses to Earning Announcements。Journal of Accounting & Economics，18，67-87。  new window
27.Lang, L. H.、Litzenberger, R. H.、Madrigal, V.(1992)。Testing Financial Market Equilibrium under Asymmetric Information。Journal of Political Economy，100，317-348。  new window
28.McNichols, M.、Trueman, B.(1994)。Public Disclosure, Private Information Collection, and Short-Term Trading。Journal of Accounting & Economics，17，69-94。  new window
29.Modigliani, F.(1982)。Debt, Dividend Policy, Taxes, Inflation and Market Valuation。The Journal of Finance，37，255-273。  new window
30.Verrecchia, R. E.(1981)。On the Relationship between Volume Reaction and Consensus of Investors: Implications for Interpreting Tests of Information Content。Journal of Accounting Research，19，271-283。  new window
31.Hakansson, N.、Kunkel, J.、Ohlson, J.(1982)。Sufficient and necessary conditions for information to have social value in pure exchange。The Journal of Finance，37，1169-1181。  new window
研究報告
1.Lin, Y. M.(1997)。Market Liquidity and Trade through Public Disclosure and Private Signal。0。  new window
學位論文
1.楊孟萍(1994)。審計品質對成交量影響之研究，0。  延伸查詢new window
 
 
 
 
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