| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 96 === In order to observe quarterly earnings announcement effect, the article observe the abnormal return, volume and net buy of institutional investors around earnings announcement dates by using event study in the Taiwan stock market. The empirical evidence shows the quarterly earnings announcement contains information, the news had leak before the actual announcement day, existence of asymmetric volatility in the Taiwan market when news comes and the company used to announce good news earlier than bad news, finally, reject the coincidence positive relationship between price and volume.
Next step, we construct three portfolio by using announcement news, past return and volume concentration ratio, examine whether the three strategies can create significant profits under different ranking horizons and holding horizons. The empirical evidence shows the three strategies all can create significant profits, furthermore, the better/worse news the more significant positive/negative return.
Finally, we use four factor regression analysis, examine size factor is a significant factor, and find out big company are not sensitive to earnings announcement, and the impulse from bad news are bigger than good news on small company.
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