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題名 台灣總經數據公布與投資人解讀企業財報資訊的關聯性
The relationship between the release of Taiwan's macroeconomic data and investors' interpretation of corporate financial reports.
作者 謝宜芳
Hsieh, Yi-Fang
貢獻者 張元晨
Chang, Yuan-Chen
謝宜芳
Hsieh, Yi-Fang
關鍵詞 台灣總經數據
企業財報解讀
Macroeconomic Data
Earnings Information
日期 2025
上傳時間 1-Jul-2025 14:50:05 (UTC+8)
摘要 本研究探討台灣總體經濟數據公布是否會影響投資人對企業財報資訊的解讀效率，進而影響股價的即時反應與後續飄移情形。根據文獻顯示，當投資人面對總經數據與公司財報同時公布時，若注意力有限可能導致公司盈餘資訊被延後解讀，導致長期股價飄移，也有文獻顯示總經與財報資訊存在互補關係。本研究以此為基礎，檢驗台灣市場是否亦有類似現象，並進一步分析美國總經數據發布對台灣企業股價飄移(Post-Earnings Announcement Drift, PEAD) 的可能影響，以補足台灣股市在相關研究上的空缺。 實證結果顯示，不論台灣或美國的總經數據發布，皆未能顯著提升台灣投資人對盈餘意外的即時反應，也未能有效降低股價後續飄移幅度，此外機構投資人異常關注度亦未對反應效率產生正面效果。研究顯示在各式資料中唯一顯著的是盈餘意外本身，且該資訊無論在短期或長期皆能對股價產生影響，反映出台灣投資人未能在公告當下即完全消化財報資訊。我們推論該結果可能與台灣市場資訊效率較為不足、市場對總經數據解讀能力偏弱、股市偏向由散戶主導等因素有關。
This study examines whether the release of macroeconomic data in Taiwan affects the efficiency with which investors process firm-level earnings information, thereby affecting the immediacy of stock price reactions and the magnitude of post-earnings announcement drift. Prior research suggests that when macroeconomic indicators and corporate earnings are disclosed concurrently, limited investor attention may lead to delayed assimilation of earnings news, resulting in persistent price drifts. Other studies, however, propose a complementary relationship between macroeconomic and earnings information. Building on these perspectives, this research examines whether similar phenomena are present in the Taiwanese market and further analyzes whether United States macroeconomic announcements influence the price drift of Taiwanese stocks, aiming to address a gap in the literature on Taiwan’s capital market. Empirical results show that macroeconomic announcements—whether from Taiwan or the United States—do not significantly improve Taiwanese investors' immediate response to earnings surprises, nor do they effectively reduce the extent of post-earnings announcement drift. In addition, Abnormal Institutional Attention (AIA) does not exhibit a positive influence on the efficiency of price reactions. Among all the variables examined, earnings surprises stand out as the only statistically significant factor, consistently influencing stock prices in both the short and long term. These findings suggest that Taiwanese investors do not fully incorporate earnings information into stock prices at the time of disclosure. This may be due to limited informational efficiency in Taiwan's capital market, investors’ relatively weak ability to interpret macroeconomic signals, and the dominance of retail investors in the market landscape.
參考文獻 李慧娟(2001)，「定期與不定期訊息宣告對股市波動影響之實證研究」，國立高雄第一科技大學金融營運系碩士論文。 徐鍵欣(2004)，「定期總體經濟訊息之宣告效果－以台指現貨、期貨及台指選擇權VIX為例」，國立台北大學合作經濟學系國際企業組碩士論文。 黃柏農(1998)，「台灣的股價與總體變數之間的關係」，證券市場發展季刊，第10卷第4期，89-109。 羅珮真(2005)，「定期總體經濟變數反應訊息宣告之資訊效果－以台灣與那斯達克股市為例」，國立台北大學合作經濟學系國際企業組碩士論文。 Ben-Rephael, A., Da, Z., & Israelsen, R. D. (2017). It depends on where you search: A comparison of institutional and retail attention. Review of Financial Studies, 30(9), 3009-3047. Buernard, V. L., & Thomas, J. K. (1989). Post-earnings-announcement drift: Delayed price response or risk premium? Journal of Accounting Research, 27(Supplement), 1-36. Castanias, R. P. (1979). Macroinformation and the variability of stock market prices. The Journal of Finance, 34(2), 439-450. Da, Z., Hua, W., Hung, M., & Peng, L. (2024). Market returns and a tale of two types of attention. Unpublished working paper. DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. Journal of Finance, 64(2), 709-749. Fisher, A. J., Martineau, C., & Sheng, J. (2022). Macroeconomic attention and announcement risk premia. The Review of Financial Studies, 35(11), 5057-5093. Hirshleifer, D., Lim, S. S., & Teoh, S. H. (2009). Driven to distraction: Extraneous events and underreaction to earnings news. Journal of Finance, 64(5), 2289-2325. Hirshleifer, D., Lim, S. S., & Teoh, S. H. (2011). Limited investor attention and stock market misreactions to accounting information. Review of Asset Pricing Studies, 1(1), 35-73. Hirshleifer, D., & Sheng, J. (2022). Macro news and micro news: Complements or substitutes? Journal of Financial Economics, 145(3), 1006-1024. Liu, P., & Tang, X. (2023). Retail attention, institutional attention. Journal of Financial and Quantitative Analysis, 58(3), 1005-1038. Schmalz, M. C., & Zhuk, S. (2018). Revealing downturns. Review of Financial Studies, 32(1), 338-373. Schwert, G. W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115-1153.
描述 碩士
國立政治大學
財務管理學系
112357013
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357013
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang, Yuan-Chenen_US
dc.contributor.author (Authors) 謝宜芳zh_TW
dc.contributor.author (Authors) Hsieh, Yi-Fangen_US
dc.creator (作者) 謝宜芳zh_TW
dc.creator (作者) Hsieh, Yi-Fangen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 14:50:05 (UTC+8)-
dc.date.available 1-Jul-2025 14:50:05 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 14:50:05 (UTC+8)-
dc.identifier (Other Identifiers) G0112357013en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157773-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 112357013zh_TW
dc.description.abstract (摘要) 本研究探討台灣總體經濟數據公布是否會影響投資人對企業財報資訊的解讀效率，進而影響股價的即時反應與後續飄移情形。根據文獻顯示，當投資人面對總經數據與公司財報同時公布時，若注意力有限可能導致公司盈餘資訊被延後解讀，導致長期股價飄移，也有文獻顯示總經與財報資訊存在互補關係。本研究以此為基礎，檢驗台灣市場是否亦有類似現象，並進一步分析美國總經數據發布對台灣企業股價飄移(Post-Earnings Announcement Drift, PEAD) 的可能影響，以補足台灣股市在相關研究上的空缺。 實證結果顯示，不論台灣或美國的總經數據發布，皆未能顯著提升台灣投資人對盈餘意外的即時反應，也未能有效降低股價後續飄移幅度，此外機構投資人異常關注度亦未對反應效率產生正面效果。研究顯示在各式資料中唯一顯著的是盈餘意外本身，且該資訊無論在短期或長期皆能對股價產生影響，反映出台灣投資人未能在公告當下即完全消化財報資訊。我們推論該結果可能與台灣市場資訊效率較為不足、市場對總經數據解讀能力偏弱、股市偏向由散戶主導等因素有關。zh_TW
dc.description.abstract (摘要) This study examines whether the release of macroeconomic data in Taiwan affects the efficiency with which investors process firm-level earnings information, thereby affecting the immediacy of stock price reactions and the magnitude of post-earnings announcement drift. Prior research suggests that when macroeconomic indicators and corporate earnings are disclosed concurrently, limited investor attention may lead to delayed assimilation of earnings news, resulting in persistent price drifts. Other studies, however, propose a complementary relationship between macroeconomic and earnings information. Building on these perspectives, this research examines whether similar phenomena are present in the Taiwanese market and further analyzes whether United States macroeconomic announcements influence the price drift of Taiwanese stocks, aiming to address a gap in the literature on Taiwan’s capital market. Empirical results show that macroeconomic announcements—whether from Taiwan or the United States—do not significantly improve Taiwanese investors' immediate response to earnings surprises, nor do they effectively reduce the extent of post-earnings announcement drift. In addition, Abnormal Institutional Attention (AIA) does not exhibit a positive influence on the efficiency of price reactions. Among all the variables examined, earnings surprises stand out as the only statistically significant factor, consistently influencing stock prices in both the short and long term. These findings suggest that Taiwanese investors do not fully incorporate earnings information into stock prices at the time of disclosure. This may be due to limited informational efficiency in Taiwan's capital market, investors’ relatively weak ability to interpret macroeconomic signals, and the dominance of retail investors in the market landscape.en_US
dc.description.tableofcontents 第一章、緒論 8 第一節 研究背景與動機 8 第二節 研究目的 9 第三節 研究架構 11 第二章、文獻回顧 12 第三章、樣本與研究方法 15 第一節 研究數據蒐集及描述 15 3.1 使用完整的全數據 23 3.2 依產業別分類 24 3.3 依時間分類 25 3.4 依分析師分類 26 3.5 依市值分類 27 3.6 依總經數據分類 28 第四章、實證模型 29 第一節 總經公布日與公司財報相關性迴歸 29 第二節 不同總經數據與公司財報相關性迴歸 30 第三節 單一總經數據與公司財報相關性迴歸 31 第五章、實證結果 32 第一節 研究結果 32 5.1 使用完整的全數據 32 5.2 依產業別分類(依照3.1整) 41 5.3 依時間分類(依照3.1調整) 47 5.4 依分析師分類(依照3.1調整) 55 5.5 依市值分類(依照3.1調整) 58 5.6 依總經數據分類 61 第六章、穩定性測試 68 第一節 測試方法與結果 68 6.1 將11分位數改成7分位數 68 6.2 修改即時異常報酬的計算天長 74 6.3 修改即時異常報酬的計算基準 81 第七章、結論與後續研究 85 第一節 結論 85 第二節 後續研究 87 第八章、參考文獻 89 第九章、附錄 91zh_TW
dc.format.extent 3450366 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357013en_US
dc.subject (關鍵詞) 台灣總經數據zh_TW
dc.subject (關鍵詞) 企業財報解讀zh_TW
dc.subject (關鍵詞) Macroeconomic Dataen_US
dc.subject (關鍵詞) Earnings Informationen_US
dc.title (題名) 台灣總經數據公布與投資人解讀企業財報資訊的關聯性zh_TW
dc.title (題名) The relationship between the release of Taiwan's macroeconomic data and investors' interpretation of corporate financial reports.en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 李慧娟(2001)，「定期與不定期訊息宣告對股市波動影響之實證研究」，國立高雄第一科技大學金融營運系碩士論文。 徐鍵欣(2004)，「定期總體經濟訊息之宣告效果－以台指現貨、期貨及台指選擇權VIX為例」，國立台北大學合作經濟學系國際企業組碩士論文。 黃柏農(1998)，「台灣的股價與總體變數之間的關係」，證券市場發展季刊，第10卷第4期，89-109。 羅珮真(2005)，「定期總體經濟變數反應訊息宣告之資訊效果－以台灣與那斯達克股市為例」，國立台北大學合作經濟學系國際企業組碩士論文。 Ben-Rephael, A., Da, Z., & Israelsen, R. D. (2017). It depends on where you search: A comparison of institutional and retail attention. Review of Financial Studies, 30(9), 3009-3047. Buernard, V. L., & Thomas, J. K. (1989). Post-earnings-announcement drift: Delayed price response or risk premium? Journal of Accounting Research, 27(Supplement), 1-36. Castanias, R. P. (1979). Macroinformation and the variability of stock market prices. The Journal of Finance, 34(2), 439-450. Da, Z., Hua, W., Hung, M., & Peng, L. (2024). Market returns and a tale of two types of attention. Unpublished working paper. DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. Journal of Finance, 64(2), 709-749. Fisher, A. J., Martineau, C., & Sheng, J. (2022). Macroeconomic attention and announcement risk premia. The Review of Financial Studies, 35(11), 5057-5093. Hirshleifer, D., Lim, S. S., & Teoh, S. H. (2009). Driven to distraction: Extraneous events and underreaction to earnings news. Journal of Finance, 64(5), 2289-2325. Hirshleifer, D., Lim, S. S., & Teoh, S. H. (2011). Limited investor attention and stock market misreactions to accounting information. Review of Asset Pricing Studies, 1(1), 35-73. Hirshleifer, D., & Sheng, J. (2022). Macro news and micro news: Complements or substitutes? Journal of Financial Economics, 145(3), 1006-1024. Liu, P., & Tang, X. (2023). Retail attention, institutional attention. Journal of Financial and Quantitative Analysis, 58(3), 1005-1038. Schmalz, M. C., & Zhuk, S. (2018). Revealing downturns. Review of Financial Studies, 32(1), 338-373. Schwert, G. W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115-1153.zh_TW