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    Title: 季盈餘宣告對進出喊價價差的影響
    Authors: 簡明真
    Contributors: 劉維琪
    簡明真
    Date: 1990
    1989
    Issue Date: 2016-05-03 14:07:23 (UTC+8)
    Abstract: 論文提要
    國內外學者探討証券市場之效率性主要以收盤價為觀察重心，然根據Harris(1989) 等國外學者的實證研究發現：股市每日最後一筆成交價明顯上升，但每日最後一筆價差則無此缺點，所以本研究嘗試以價差為觀察重心，探討季盈餘宣告的資訊效果。
    研究範圍包括七十一年元月以前便已上市的普通股，一共54個樣本，研究期止於七十五年十二月，經實證研究後發現了下列數項結論：
    一、第二季盈餘宣告日之前，各相對日數之價格變動幅度、成交量、絕對價差與相對價差並無顯著不同於非宣告期，此乃因第二季盈餘宣告之前置期過長，於宣告期之前便已外洩的緣故；而宣告後第五日成交量和價格變動幅度之顯著差異可能是由於市場主力強調該資訊，引誘散戶買進股票所造成的結果。
    二、第三季盈餘宣告由於前置期較短，宣告日之前各相對日數在成交量、價格變動幅度與非宣告期的差異較第二季顯著，顯示於宣告日前資訊己外洩，但價差之變動較不明顯，而盈餘宣告日後第六天成交量和價格變動幅度呈顯著差異。
    三、第二季價差變動幅度增加的股數於宣告期並無明顯不同於非宣告期，而價差變動幅度減少的股數僅在宣告前第四天明顯減少，表示市場投資人風險意識增加，但於盈餘宣告當天並無顯著差異。
    四、第三季之價差變動幅度增加的股數於宣告期亦無明顯不同於非宣告期，價差變動幅度減少的股數僅在宣告日前第五天明顯減少表示市場投資人風險意識增加，但於盈餘宣告當天並無明顯差異，結果與第二季相似。
    五、第二季之盈餘值符號和價差變動幅度有顯著相關，但由於前置期過長產生正盈餘值產生正價差變動幅度，負盈餘值產生負價差變動幅度的不合理現象，而第三季盈餘值符號和價差變動幅度亦有顯著相關，但正盈餘值發生負價差變動幅度的比例較大，而負盈餘值發生正價差變動幅度的比例較大。
    六、第二季、第三季各相對天數之盈餘宣告時間和價差變動幅度並不存在顯著相關，即時間效果不顯著。
    七、第二季之盈餘值符號和盈餘宣告時間存在顯著相關，盈餘值為正，反而晚宣告，第三季盈餘值符號和盈餘宣告時間之關聯性並不顯著，表示盈餘值符號和盈餘宣告時間的關係不明確。
    經由上述檢定發現台灣証券市場未能支持季盈餘宣告帶有資訊內容之假說，可能的原因有下列二點：一.每股本益比過高，導致投資人無安全感，追逐短期差價，不重視公司長期績效，故季盈餘宣告無資訊效果。二.財務報表公佈時間時間過晚，第二季自會計末了完二個月內均可公佈，第三季自會計末了完一個月內均可公佈，此時季盈餘資訊己為月營收公告或其它更適時之資訊所取代。
    Reference: 參考文獻
    中文書目：
    1.王官品，「上市公司每月營收公告與股價變動關係之研究」，中興大學企業管理研究所未出版碩士論文，民國七十五年六月
    2.李又剛，股僄漲跌限幅措施下的我國股市與美、日、港三國股市之比較"，台北市銀月刊第二十卷第一期，民國七十八年一月，頁14~27。
    3.余尚武，「台灣證券市場股票上市公司盈餘宣告所含資訊內容之研究」，台灣大學商學研究所未出版碩士論文，民國七十五六月。
    4.呂清標，「台灣股票市場個人投資行為之研究」，政治大學企業管理研究所未出版碩士論文，民國六十七年六月。
    5.吳貞和，「台灣證券市場流動性之衡量及其影響因素之研究」，中山大學未出版碩士論文，民國七十八年六月。
    6.林日峰、謝國松，"如何改進我國上市公司財務資訊之公開"，證券市場發展季刊，第4期，七十八年十月，頁75~78。
    7.林鎮邦，「台灣地區股票上市公司公佈之財務報表所含資訊之研究」，台灣大學商學研究所未出版碩士論文，民國六十八年六月。
    8.張鴻基，「台灣地區股票上市公司每季盈餘時間數列特性及資訊內容之研究」，台灣大學商學研究所，未出版碩士論文，民國七十二年六月。
    9.傅顯章，「台灣地區上市股票公告得為信用交易對股價的影響」，淡江大學管理科學研究所未出版碩士論文，民國七十六年六月。
    10.羅禎昌，「現金增資公告對股票價格影響之實證研究」，政治大學企業管理研究所未出版碩士論文，民國七十六年六月
    11.劉玉珍，「台灣地區上市公司股票最後進出喊價價差之實證研究」，中山大學未出版碩士論文，民國七十七年六月。
    12.劉維琪、吳欽杉、劉玉珍"對證券自營商應有的規範，"證券市場發展季刊，第5期，民國七十九年一月，頁68~71。
    13.錢士安，林麗珠譯。"股票市場與經濟活動"，台北市銀月刊，第三期第二十卷，民國七十八年三月，pp38~48。
    14.顏月珠，民國七十四年十月，"商用統計學"，第8章。
    l5.饒谷懷，"美國證券市場的特色"，證券資料月刊，第270期，民國七十三年十月，頁1~17。

    英文書目：
    1. Amihud, Y. and H. Mendelson, "Dealership Market: Market-Making With Inventory", Journal of Financial Economics, 1980, pp.31-53.
    2.Chambers, A. E. and Penman S. H., "Timeliness of Reporting and the Stock Price Reaction to Eaunings Announcements," Journal of Accounting Research, 1984, pp.21-47
    3.Ball, R. and P. Brown, "Earnings changes, stock prices and Market Efficiency", Journal
    of Accounting Research, 1968, pp.159-178.
    4.Bathke, A. W., Kenneth S. "The Relationship Between Time-Series Modles and the Security Market`s Expection of quarterly Earnings," The Accounting Review, 1984, pp.163-176.5. Beaver, William H., "The Information Content of Annual Earnings Announcements" , Journal of Accounting Research (Supplement 1968), p.69
    6.Benston, G. and R. Hagerman, "Determinants of Bid-Asked Spreads In the OTC Market", Journal of Financial Economics, 1974, pp.353-364.
    7.Bradfield, J., "A Formal Dynamic Model of Market Making", Journal of Financial and Quantitative Analysis, 1987, pp.275-291.
    8.Brown, S. L. "Earnings Changes, Stock Prices and Market Efficiency", Journal of Finance, 1978, pp.17-28.
    10.Dale Morse and Neal Ushman, "The Effect of Information Announcements on the Market Microstructure, " The Accounting Review Vol. LVIII, 1983, pp.247-258.
    11.Demsetz, H., "The Cost of Transacting", quarterly Journal of Economics 82, 1968, pp.33-53.
    12.Fama, Eugene F., Lawrence F., Michael C. J. and Richard R., "The Adjustment of Stock Prices to New Information," International Economic Review 10, 1969, pp. 1-21.
    13.Garman, M., "Market Microstructure," Journal of Financial Economics, 1976, pp.257-276.
    14.Givory , D. & D. Palmon, "Timeliness of Annual Earnings Announcement: Some Enpirica1 Evidence," The Accounting Review, 1982, pp.486-508 .
    15.Grinblatt M., Masulis R. and Titman S., "The Valuation Effects of Stock Splits and Stock Dividends," Journal of Financial Economics, 1984 : pp.461-490.
    16.Hamilton , J., "Competition, Scale Economics and Transaction Cost in the Stock Market," Journal of Financial and quantitative Analysis, 1976, pp.779-802.
    17.Harris, L., "A Day-End Transaction Price Anomaly," Journal of Financial and Quantitative Analysis 24, 1989, pp.29-45.
    18.Ho, T., and H. R. Stoll, "On Dealer Markets under Competition,"Journal of Finance 35, 1980, pp. 259-267.
    19.J . F. Jaffe and R. L. Winkler,"Optimal Speculation Against an Efficient Market", Journal of Finance 31, 1976 , pp.49-61.
    20.Joseph, A. and Swary, I., "Quarterly Dividend and Earnings Announcements and Stockholders` Returns: An Empirical Analysis," Journal of Finance, 1980, pp. 1-12.
    21.Kalman, J . C., Maier, S . F., Schwartz, R. A., and Whitcomb, D. K. , the Microstructure of Securities Markets, Englewood Cliff,New Jersey, 1985, pp. 2-4, PP.97-98, P.111.
    22.Lim, Tee Ngay, "Essays on the bid-ask spread, "University of California, Berkeley, 1987, UFI Disertation Information Service.
    23.Patell, J. M., Mark A. W. "The Intraday Speed of Adjustment of Stock Prices to Earnings and Dividened Announcements, Journal of Financial Economics, 1984 ,
    pp. 223-252.24. P.C. VENKATESH and R. CHIANG, 1986, "Information Asymmetry and the Dealer`s Bid-Ask Spread: A Case study of Earnings and Dividend Announcements,"Journal of Finance, vol.XLL, pp.1089-1102.
    25.Robert A. Schwartz, Equity Markets, Structure, Trading and Performance, Harper and Row Publishers, New York, 1988, ch3.
    26.Stoll, H., "Dealer Inventory Behavior: An Empirical Investigation of NASDAQ Stocks", Journal of Financial and Quantitative Analysis 1980, pp.359-380.
    27.Stoll, H.,: "The Supply of Dealer Services in Securities Markets," Journal of Finance, 1978 , pp.1133-1151.
    28.T.E. Copeland and D. Galai, "Information Effects on the Bid-Ask Spread", Journal of Finance 38 1983 , pp.1457-1469.
    29.Terry, E., " End 0 f the Day Returns and the Bid-Ask Spread," Research Paper, Stanford University, 1986.
    30.Ticnic, S., "The Economics of Liquidity Services", Quarterly Journa1 of Economics , 1972, pp.79-93.
    31.Ticnic, S ., and R. West, "Competition and the Pricing of Dealer Service in the Over-the -Counter Stock Market," Journal of Financial and Quantitative Analysis, 1972, pp.1707-1728.
    32.Venkatesh P. C. and Chiang R., "Information Asymmetry and the Dealer`s Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements," Journal of Finance, Vol.XLL, 1986, pp.1089-1102.
    Description: 碩士
    國立政治大學
    企業管理學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002005226
    Data Type: thesis
    Appears in Collections:[Department of Business Administation] Theses

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