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https://nccur.lib.nccu.edu.tw/handle/140.119/157773
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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: | 2025-07-01 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。
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Hirshleifer, D., & Sheng, J. (2022). Macro news and micro news: Complements or substitutes? Journal of Financial Economics, 145(3), 1006-1024.
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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 |
| 顯示於類別: | [財務管理學系] 學位論文
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