| Summary: | 本研究之主要目的乃在探討身為專業投資人之自營商是否會對財務預測修正資訊作出適切的反應？又其反應的時機為何？另外並進一步探討其投資策略的運用情形。財務預測修正資訊之公告代表公司之財務狀況或外在環境業已發生變動，身為三大法人之一的自營商是否會適切地反應此公告資訊？乃為本研究欲談討的第一項議題。而若自營商果真會對財務預測修正資訊之公告作出適切的反應，那麼在公司經營階層有延遲公告壞消息及提前公告好消息的動機下，自營商的反應時機是否會在向下修正公告日之前或向上修正公告日之後呢？此為本研究的第二項探討主題。此外，依據以往研究結果顯示：自營商之巨額交易資訊會引起股價異常變動；據此，本研究第三項欲探討主題即為，自營商是否會利用此資訊特性，以策略性的相反巨額交易行為來為自身謀求利益？或用以表達其本身對於公司經營前景有別於公司經營階層的獨特預期。
本研究之樣本期間自民國85年1月1日起至民國87年3月31日止，共27個月，總計樣本數為271個，觀察值2,439個。研究方法乃採市場模式，並運用 T 檢定來進行資料分析。經實證分析後，本研究所獲得的結論彙述如下：
一、自營商對於財務預測修正資訊之反應：
1.不論修正幾次，自營商均會對財務預測向下修正資訊作出適當的反應。
2.自營商在財務預測第一次向上修正之公告日前或後一週內會作出適當的反應；但對於第二次向上修正資訊反而會有相反的反應，不過統計上未達顯著水準。
二、自營商對於財務預測修正資訊之反應時機
1.自營商在財務預測向下修正公告日之前即予以適當反應；亦即有提前反應的現象。
2.自營商在財務預測向上修正公當日之前亦予以提前反應之（但在第二次向上修正情況，自營商之反應為相反反應。）。
三、自營商對於財務預測修正資訊是否存在有策略佳的相反巨額交易行為
在『巨額交易」定義為自營商買賣超張數占當週成交量的 40%以上時，除財務預測第一次向下修正情況外均存在有一個策略性的相反巨額交易樣本。而以另一個定義定義『巨額交易』--超過一個標準差以外者，則在各修正情況下皆可得到多個策略性的相反巨額交易樣本。
=== This study aims at examination of whether professional investors--dealers would react appropriately to mandatory forecast revision, and of the timing of dealers' reaction; furthermore, at getting an understanding of investment strategies they've taken.
Three main issues in this study:
1.The announcement of forecast revision indicates the external environment has been changed or the corporation's financial position has changed. Whether one of institutional investors--dealers would react appropriately to mandatory forecast revision?
2.The timingof dealers' reaction?
According to previous research findings: Corporate managers tend to advance the announcement of good news and to delay the announcement of bad news. Thus, if dealers can react appropriately to mandatory forecast revision, could the timing of the dealers' reaction be prior to the announcement of unfavorable forecast revision or posterior to the announcement of favorable forecast revision?
3.Based on previous research fingds, the information of dealers' volume trading will cause abnormal volatility of stock prices. Does strategic reverse volume trading from which dealers might benefit exist in their reaction as a result?
The samples cover 27 months from January of 1996 to March of 1998, and consist of 271 firms. The methodology imitates market model, and data is analyzed through T-test. The empirical findings can be summarized below:
1.Dealers' reaction to the announcement of forecast revision:
(1)However many times the forecast revised, dealers will react appropriately to the announcement of unfavorable forecast revision within designed window.
(2)Dealers will react accordingly to the first favorable forecast revision one week prior to or posterior to the announcement date, but do adversely to the second forecast revision.
2.The timing of dealers' reaction to the announcement of forecast revision:
Dealers will react prior to the announcement date of forecast revision no matter it is favorable or unfavorable. (However in the second favorable revision situation, dealers' reaction is adverse to the forecast information.)
3.Whether strategic reverse volume trading exits in the dealers' reaction?
(1)If "volume trading" is defined as dealers' trading excess accounts for 40% of weekly volume, only one strategic reverse volume trading sample exists in each of the situations except in the first unfavorable forecast revision situation.
(2)If "volume trading" is defined as exceeding one standard deviation, several strategic reverse volume trading samples exit in each of the situations.
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