台灣上市公司營收預期宣告與股價反應分析

Abstract

過去已有許多研究證實月營收公告具備營收資訊內涵，而未有研究證實預測性的營收資訊亦具有資訊內涵的效果，故本研究以2014年至2015年間台灣所有上市公司未來營收預期訊息作為研究主體，透過事件研究法驗證營收預期宣告事件是否和營收公告一樣具備資訊內涵，同時研究何種類型的上市公司股價對於營收預期宣告事件的反應更為強烈，並深入討論該事件是否係因資訊不對稱使股價過度反應而存在套利空間，以及探討效率市場假說是否可套用在任何時點與市場中，藉以提供投資人在發生營收預期宣告事件時作投資決策的參考。研究結果歸納發現營收預期宣告事件於事件日當天有顯著異常報酬反應，且檢定結果顯示營收預期宣告成長、營收與股價報酬率呈正相關、高風險以及電子股等公司對於營收預期宣告事件的反應較為強烈。而無論何種類別的營收預期宣告事件皆有顯著的異常報酬反應，推論確實存在套利空間。另外研究同時發現，營收預期宣告事件僅在事件日當天反應，事件日前後一天皆無明顯異常報酬反應，顯示事件支持效率市場假說。

Researches proved that sales announcement contained information content. This research explored whether expected sales announcement contained information content as well. We focused on the expected sales announcement events of publicly listing companies in Taiwan during 2014 to 2015 as our samples, using Event Study Method to observe the abnormal returns. Our empirical results revealed a statistically significant positive market reaction in Taiwan Stock market when the expected sales information was announced. The results especially showed that Events with positive information reacted more significantly than Events with negative information. We further proved that information asymmetry existed, so people could arbitrage when these expected sales events happened. Our results support “Efficiency Market Theory” in any markets or at any time. These results could help investors to make trading decisions when facing expected sales announcements.