本文主要在探討台灣股票市場對不同公開訊息以及不同訊息內涵的反應強度，所謂的公開訊息則包含總體經濟指標的發佈以及公司盈餘、股利的宣告。採用事件研究法的結果指出，公開訊息的宣告確實會影響股價的變動。在單一訊息的樣本當中，本研究發現：1.不論是總體或公司的壞消息，股價與訊息內容有一致的變動方向，然而，只有公司的好消息發佈時，股價才會與訊息內容有一致的變動方向。2.不論是好消息或壞消息，公司訊息對股價的影響往往比總體訊息來的強烈。在多重訊息的樣本當中，研究結果指出：1.若當天同時有兩個相同訊息內容的宣告發生時，股價只會對壞消息有一致且顯著的變動。2. 若當天同時有兩個相反訊息內容的宣告發生時，即使總體有壞消息宣告，公司好消息對股價的影響仍然強過總體的壞消息。

This paper investigates the stock price reaction to public information including macroeconomic and firm-specific announcements in the Taiwan Stock Exchange Corporate (TSEC). We provide evidence that macroeconomic and firm-specific announcements can explain a significant fraction of stock price movements in this study. In the “single announcement” sample, our major findings are: (1) there is a negative relationship between bad news and stock price movement, while good news display similar patterns in firm-specific good news only; (2) regardless of good news or bad news, firm-specific announcements exhibit stronger intensity than macroeconomic announcements. The interactive effects between macroeconomic/firm-specific announcements and good/bad news in our “multiple announcements” sample are: (1) If announcements with same information content take place on the same day, stock prices have a strong and consistent relation toward the release of bad news. We observe asymmetric reaction phenomenon in this point of view. (2) Additionally, if announcements with opposite information content take place on the same day, firm-specific announcements may dominant the stock price movements than bad news do.

Contents
1. Introduction 1
2. Literature Review 1
3. Sample and Methodology 3
3.1 Data Description 3
3.2 “Single Announcement” vs. “Multiple Announcements” 4
3.3 Good News & Bad News 5
3.4 Macroeconomics News 6
3.5 Firm-Specific News 8
3.6 Event Study 9
4. Empirical Results 11
4.1. Summary Statistic 11
4.2. Individual Announcements and Good/Bad News 11
4.3. Subsample Analysis of Stock Price Reactions 12
4.4. Public Information Announcements and Good/Bad News 13
4.5. Interactive Effects For “Multiple Announcement Per Day” Sample 14
4.6. Regression Analysis 15
5. Conclusion 16
Reference 17
Figure
Figure 1 Division During Event Period. 10
Table
Table I Description of News Category 20
Table II Summary Statistics of Macroeconomic Announcements 21
Table III Summary Statistics of Firm-Specific Announcements 22
Table IV Abnormal Return of Individual Macroeconomic Announcements 23
Table V Abnormal Return of Firm-Specific Announcements 25
Table VI Stock Price Reaction to Firm-Specific Announcements: by Firm Size Quintiles 28
Table VII Stock Price Reaction to Macroeconomic Announcements: by Firm Size Quintiles 30
Table VIII Abnormal Return of Macroeconomic and Firm-Specific Announcements 32
Table IX Abnormal Return of “Multiple announcements” Sample 33
Table X Cross-Sectional Regression Analysis for Multiple Announcements Sample 34

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