台灣股票報酬與盈餘變化之關聯性

Abstract

本研究探討股票市場對未預期盈餘之反應，首先利用總和法、等值法和市值法來衡量未預期盈餘，採用迴歸模型分析未預期盈餘與股票報酬之關係，實證結果顯示在盈餘宣告當季，未預期盈餘與股票報酬具有顯著的負相關。其次，本研究以AR1之預測誤差來探討盈餘意外對股票報酬之影響，實證結果發現盈餘意外在盈餘宣告當季對股票報酬有顯著的影響，故本研究推論季盈餘宣告之持續效果並不存在。最後，本研究利用二階段迴歸模型分析在控制總體經濟變數後，未預期盈餘與股票報酬之關係，實證結果發現在盈餘宣告之下一季，未預期盈餘與股票報酬具有顯著的負相關。

We study the stock reaction to aggregate earnings news. We use three methods which are aggregate, equal-weighted and value-weighted to measure seasonally differenced quarterly earnings, defined as earnings in the current quarter minus four quarters prior. From our results, we find that returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Besides, aggregate returns correlate negatively with concurrent earnings. We also use two-stage ordinary least regression to analysis the relationship between stock returns and earnings surprises under controlling the components of economic condition. Our empirical results suggest that stock returns correlate negatively with seasonally differenced quarterly earnings on the next quarter of earnings measured.