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題名 股權結構如何影響投資人對盈餘訊息之反應
Equity Structure and Response of Investors to Earnings Announcement作者 陳美螢 貢獻者 李文傑<br>李浩仲
陳美螢關鍵詞 公司規模
股權集中度
外資比率
市場狀態
盈餘訊息
投資人情緒
Company Size
Ownership Concentration
Foreign Shareholding Ratio
Market States
Stock Earning Information
Investor Sentiment日期 2015 上傳時間 2-Nov-2015 14:55:40 (UTC+8) 摘要 本研究在探討投資人在不同市場狀態下，股權結構如何影響投資人對盈餘訊息之反應。實證結果發現，在市場狀態與盈餘訊息方向相反時，股本排名前五十名的大公司之投資人較容易對於盈餘訊息關注程度降低，以及容易有混合利得損失的認知偏誤之現象，小公司之投資人反而會對盈餘訊息的關注程度提高；股權分布越集中的公司，投資人越會因為訊息不對稱等因素，而對盈餘訊息的關注程度降低；相反地，外資比率越高的公司，投資人在市場狀態與盈餘訊息方向相反時，反而對於盈餘訊息的關注程度會提高。
This paper investigates how the equity structure impacts investors in response to earning information under different states of Taiwanese stock market. The results show that investors of largest fifty companies in terms of registered capital are less responsive to revealed earning information. The investors of small firms are more responsive to announced earning information. In addition, this research also empirically finds that investors of companies with concentrated equity structure would less focus on earning information. However, investors of companies with higher shares of foreign capital would typically concentrate on announced earing information.參考文獻 Adams, G., McQueen, G., and Seawright, K. (1999), “Revisiting the stock price impact of quality awards”, Omega, 27.6: 595-604. Baker, M., Ruback, R. S., and Wurgler, J. (2004), “Behavioral corporate finance: A survey”, National Bureau of Economic Research, No. w10863. Chan, L. K., Jegadeesh, N., and Lakonishok, J. (1996), “Momentum strategies”, The Journal of Finance, 51.5, 1681-1713. Cooper, M. J., Gutierrez, R. C., and Hameed, A. (2004), “Market states and momentum”, The Journal of Finance, 59.3, 1345-1365. DellaVigna, S., and Pollet, J. M. (2009), “Investor inattention and Friday earnings announcements”, The Journal of Finance, 64.2: 709-749. Fama, E. F., and French, K. R. (1993), “Common risk factors in the returns on stocks and bonds”, Journal of financial economics, 33.1: 3-56. Hendricks, K. B., and Singhal, V. R. (1996), “Quality awards and the market value of the firm: An empirical investigation”, Management science, 42.3: 415-436. Hirshleifer, D., and Shumway, T. (2003), “Good day sunshine: Stock returns and the weather”, Journal of finance, 58.3: 1009-1032. Li, C. A., Luo, J. S., and Su, Y. Y. (2006), “Momentum returns, investor sentiments and business cycle”, Journal of Financial Studies, 14.2: 73. Peng, L., and Xiong, W. (2006), “Investor attention, overconfidence and category learning”, Journal of Financial Economics, 80.3: 563-602. Thaler, R. (1985), “Mental accounting and consumer choice”, Marketing science, 4.3: 199-214. 李春安, 類惠貞 (2008), “衝擊事件下投資人情緒與股價指數動能之研究”, 東海管理評論, 10.1: 1-45. 林美鳳, 陳虹吟 (2011), “投資人情緒與分析師行為之關聯性研究︰以中國市場為例”, 會計審計論叢, 1.2: 57-96. 林哲鵬, 李春安, 葉智丞 (2012), “投資人情緒與價格動能之關聯性”, 管理與系統, 19.4: 729-759. 張志向, 蔡佳靜, 黃一祥, 黃旭輝 (2012), “重大事件、從眾行為與投資人情緒的日內關係”, 交大管理學報, 32.1: 61-106. 張森林, 葉宗穎 (2011), “投資人情緒對市場狀態與股票價格的預測能力”, 證券市場發展季刊, 23.2: 1-28. 許溪南, 郭玟秀, 鄭乃誠 (2005), “投資人情緒與股價報酬波動之互動關係：台灣股市之實證”, 台灣金融財務季刊, 6.3: 107-121. 許靜茹 (2002), “投資人交易規模與盈餘宣告反應關聯之研究”, 成功大學會計學系學位論文: 1-83. 陳振遠, 周賢榮, 王朝仕 (2008), “投資人情緒風險與新上市公司股票的異常績效－陽光效應之應用”, 輔仁管理評論, 15.1: 43-72. 傅小芃, 陳昇鴻 (2014), “台灣股市投資人情緒對營收宣告後效果之影響”, 中山管理評論, 22.1: 115-156. 黃寶玉, 倪衍森, 賴步昇 (2011), “台灣股票市場資訊揭示與投資人情緒反應的互動關係”, 台灣金融財務季刊, 12.4: 115-144. 葉智丞, 朱靜眉, 李春安 (2008), “臺灣股市投資人情緒持續反應與股票報酬關係之研究”, 嶺東通識教育研究學刊, 2.4: 121-142. 葉智丞, 李春安 (2012), “投資人情緒、從眾與非從眾行為關聯性之研究”, 證券市場發展季刊, 24.3: 141-182. 詹場, 胡星陽, 呂朝元, 徐崇閔 (2011), “市場狀態與投資人對盈餘訊息之反應”, 經濟論文叢刊, 39.4: 463-510. 描述 碩士
國立政治大學
經濟學系
101258021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101258021 資料類型 thesis dc.contributor.advisor 李文傑<br>李浩仲 zh_TW dc.contributor.author (Authors) 陳美螢 zh_TW dc.creator (作者) 陳美螢 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 2-Nov-2015 14:55:40 (UTC+8) - dc.date.available 2-Nov-2015 14:55:40 (UTC+8) - dc.date.issued (上傳時間) 2-Nov-2015 14:55:40 (UTC+8) - dc.identifier (Other Identifiers) G0101258021 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/79234 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 101258021 zh_TW dc.description.abstract (摘要) 本研究在探討投資人在不同市場狀態下，股權結構如何影響投資人對盈餘訊息之反應。實證結果發現，在市場狀態與盈餘訊息方向相反時，股本排名前五十名的大公司之投資人較容易對於盈餘訊息關注程度降低，以及容易有混合利得損失的認知偏誤之現象，小公司之投資人反而會對盈餘訊息的關注程度提高；股權分布越集中的公司，投資人越會因為訊息不對稱等因素，而對盈餘訊息的關注程度降低；相反地，外資比率越高的公司，投資人在市場狀態與盈餘訊息方向相反時，反而對於盈餘訊息的關注程度會提高。 zh_TW dc.description.abstract (摘要) This paper investigates how the equity structure impacts investors in response to earning information under different states of Taiwanese stock market. The results show that investors of largest fifty companies in terms of registered capital are less responsive to revealed earning information. The investors of small firms are more responsive to announced earning information. In addition, this research also empirically finds that investors of companies with concentrated equity structure would less focus on earning information. However, investors of companies with higher shares of foreign capital would typically concentrate on announced earing information. en_US dc.description.tableofcontents 壹、緒論 1 貳、文獻回顧 4 參、資料 10 肆、模型 13 一、變數定義與衡量方法 13 二、實證模型之設定 20 伍、實證結果分析 28 一、基本模型之實證結果分析 28 二、股權結構與投資人對盈餘訊息的反應之實證結果分析 32 陸、結論 62 參考文獻 64 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101258021 en_US dc.subject (關鍵詞) 公司規模 zh_TW dc.subject (關鍵詞) 股權集中度 zh_TW dc.subject (關鍵詞) 外資比率 zh_TW dc.subject (關鍵詞) 市場狀態 zh_TW dc.subject (關鍵詞) 盈餘訊息 zh_TW dc.subject (關鍵詞) 投資人情緒 zh_TW dc.subject (關鍵詞) Company Size en_US dc.subject (關鍵詞) Ownership Concentration en_US dc.subject (關鍵詞) Foreign Shareholding Ratio en_US dc.subject (關鍵詞) Market States en_US dc.subject (關鍵詞) Stock Earning Information en_US dc.subject (關鍵詞) Investor Sentiment en_US dc.title (題名) 股權結構如何影響投資人對盈餘訊息之反應 zh_TW dc.title (題名) Equity Structure and Response of Investors to Earnings Announcement en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Adams, G., McQueen, G., and Seawright, K. (1999), “Revisiting the stock price impact of quality awards”, Omega, 27.6: 595-604. Baker, M., Ruback, R. S., and Wurgler, J. (2004), “Behavioral corporate finance: A survey”, National Bureau of Economic Research, No. w10863. Chan, L. K., Jegadeesh, N., and Lakonishok, J. (1996), “Momentum strategies”, The Journal of Finance, 51.5, 1681-1713. Cooper, M. J., Gutierrez, R. C., and Hameed, A. (2004), “Market states and momentum”, The Journal of Finance, 59.3, 1345-1365. DellaVigna, S., and Pollet, J. M. (2009), “Investor inattention and Friday earnings announcements”, The Journal of Finance, 64.2: 709-749. Fama, E. F., and French, K. R. (1993), “Common risk factors in the returns on stocks and bonds”, Journal of financial economics, 33.1: 3-56. Hendricks, K. B., and Singhal, V. R. (1996), “Quality awards and the market value of the firm: An empirical investigation”, Management science, 42.3: 415-436. Hirshleifer, D., and Shumway, T. (2003), “Good day sunshine: Stock returns and the weather”, Journal of finance, 58.3: 1009-1032. Li, C. A., Luo, J. S., and Su, Y. Y. (2006), “Momentum returns, investor sentiments and business cycle”, Journal of Financial Studies, 14.2: 73. Peng, L., and Xiong, W. (2006), “Investor attention, overconfidence and category learning”, Journal of Financial Economics, 80.3: 563-602. Thaler, R. (1985), “Mental accounting and consumer choice”, Marketing science, 4.3: 199-214. 李春安, 類惠貞 (2008), “衝擊事件下投資人情緒與股價指數動能之研究”, 東海管理評論, 10.1: 1-45. 林美鳳, 陳虹吟 (2011), “投資人情緒與分析師行為之關聯性研究︰以中國市場為例”, 會計審計論叢, 1.2: 57-96. 林哲鵬, 李春安, 葉智丞 (2012), “投資人情緒與價格動能之關聯性”, 管理與系統, 19.4: 729-759. 張志向, 蔡佳靜, 黃一祥, 黃旭輝 (2012), “重大事件、從眾行為與投資人情緒的日內關係”, 交大管理學報, 32.1: 61-106. 張森林, 葉宗穎 (2011), “投資人情緒對市場狀態與股票價格的預測能力”, 證券市場發展季刊, 23.2: 1-28. 許溪南, 郭玟秀, 鄭乃誠 (2005), “投資人情緒與股價報酬波動之互動關係：台灣股市之實證”, 台灣金融財務季刊, 6.3: 107-121. 許靜茹 (2002), “投資人交易規模與盈餘宣告反應關聯之研究”, 成功大學會計學系學位論文: 1-83. 陳振遠, 周賢榮, 王朝仕 (2008), “投資人情緒風險與新上市公司股票的異常績效－陽光效應之應用”, 輔仁管理評論, 15.1: 43-72. 傅小芃, 陳昇鴻 (2014), “台灣股市投資人情緒對營收宣告後效果之影響”, 中山管理評論, 22.1: 115-156. 黃寶玉, 倪衍森, 賴步昇 (2011), “台灣股票市場資訊揭示與投資人情緒反應的互動關係”, 台灣金融財務季刊, 12.4: 115-144. 葉智丞, 朱靜眉, 李春安 (2008), “臺灣股市投資人情緒持續反應與股票報酬關係之研究”, 嶺東通識教育研究學刊, 2.4: 121-142. 葉智丞, 李春安 (2012), “投資人情緒、從眾與非從眾行為關聯性之研究”, 證券市場發展季刊, 24.3: 141-182. 詹場, 胡星陽, 呂朝元, 徐崇閔 (2011), “市場狀態與投資人對盈餘訊息之反應”, 經濟論文叢刊, 39.4: 463-510. zh_TW
