臺灣博碩士論文加值系統

由於市場上對新資訊無法快速反應，造成「盈餘慣性」現象出現，此外市場上大部分投資人並非理性，因此產生「錨定效果」，錨定效果是一種認知上的偏誤，本文認為法人具備專業知識及資訊優勢故能快速反應市場資訊，藉此降低盈餘慣性及錨定效果。本篇依據Heejeong and Sorah (2018)研究架構，透過投資組合研究方法及迴歸模型分析觀察2008Q1至2019Q2的台灣股票市場是否具有盈餘慣性及錨定效果，並探討外資、投信與自營商三大法人介入是否能達到減緩這兩種現象的作用。
投資組合方法的分組結果顯示，具有明顯盈餘慣性效果，和較不明顯的正向錨定效果，此外較高的三大法人持股能減緩盈餘慣性及錨定效果，但董監持股則無此作用。以持股比率高低分組迴歸的實證結果，可觀察具有明顯的盈餘慣性效果，以及負向的錨定效果。在加入持股變數的迴歸實證結果，則可看出三大法人持股迴歸均具有盈餘慣性效果，而董監持股迴歸僅於單獨考慮標準化未預期盈餘變數時，才具有盈餘慣性效果。在錨定效果方面，三大法人及董監持股迴歸均有顯著的負向定錨效果，此外三大法人持股迴歸顯示若有較高的持股比率可降低盈餘慣性，但高董監持股並無法降低盈餘慣性。

As the market cannot response to the new information quickly, the phenomenon of "Post–Earnings-Announcement Drift (PEAD)" appears. In addition, most investors are not rational, so anchoring effect, a cognitive bias, is produced. This article suggests that institutional investors, endowed with knowledge and information advantage, can quickly react to the market information and therefore smoothing the PEAD and anchoring effect. This study is based on the work of Heejeong and Sorah (2018) by employing the portfolio method and the regression models to analyze the PEAD effect and anchoring effect. The sample includes listed stocks in Taiwan stock market from 2008Q1 to 2019Q2. Besides, this study also investigates whether the stock ownerships of foreign institutional investors, investment trust, and dealer can mitigate two effects.
For portfolio method the results show significant PEAD effect and less significant and positive anchoring effect. In addition, the stocks ownerships of institutional investors can soothe the PEAD and anchoring effect, while the stock ownerships of directors and supervisors cannot. For sub-sample regression model, it results an apparent and significant PEAD effect, and a significantly negative anchoring effect. For regression model that include the stocks ownerships as independent variables, PEAD effect is found in regressions that have the stocks ownerships of institutional investors as explanatory variables. In regressions that have the stock ownerships of directors and supervisors as explanatory variables, the PEAD effect disappears when the anchoring effect is considered. In all regressions significant and negative anchoring effect is observed. At last, higher shareholdings of institutional investors can reduce the PEAD effect, while higher shareholdings of directors and supervisors have no significant impact on the degree of PEAD effect.

目錄
摘要 i
Abstract ii
誌謝 iii
圖目錄 vi
表目錄 vii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的與研究架構 2
第二章 文獻回顧 4
第一節 盈餘慣性(Post Earnings Announcement Drift, PEAD) 4
第二節 錨定效果(Anchoring effect) 5
第三節 專業機構投資人(Professional institutional investors) 6
第三章 研究方法 7
第一節 樣本資料來源 7
第二節 研究變數說明 8
第三節 投資組合之研究方法 13
第四節 迴歸模型 18
第四章 實證結果分析 21
第一節 樣本變數敘述統計及相關係數分析結果 21
第二節 投資組合分析結果 24
第三節 迴歸結果分析-以法人持股分組迴歸 54
第四節 迴歸結果分析-加入法人持股變數 64
第五章 結論 82
參考文獻 85

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