| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 97 === The study employs reference from and extended the study of Vega (2006) and Demers and Vega (2008) to classify the relevant information zones for Taiwan stock market into private information and public information. The study takes the quarterly earnings announcement as the incident to explore how the private information and public information before the announcement date would have impacted on the cumulative abnormal returns after the announcement date. With respect to the proxy variables of private information, the study invokes probability of informed trading, PIN proposed by Easley, Hvidkjaer and O’Hara (2002), to construct the stock PIN in Taiwan stock market. With respect to the public information, the study is extended from Vega’s (2006) study to construct SUR variables applicable to Taiwan stock market based on the news media before the quarterly earning announcement; Moreover, the study extends the design of study from Vega’s (2006) and Demers and Vega’s(2008) by using the keywords such as optimism and pessimism, in public media information to construct SR and to further verify the application and value of optimism and pessimism in public and private information and media. The empirical evidence from the study discovers that there is a positive correlation between SR and the cumulative abnormal return before the earning announcement date. There is a negative correlation between SR before the earning announcement date and the cumulative abnormal return after the earning announcement date. The result proves that information related to the company in media has already been reflected on the cumulative abnormal return before the announcement date. The study confirms that there is no significant association between PIN and before the earning announcement date; nonetheless, there is a negative correlation with cumulative abnormal return after the earning announcement date. Whereas SUR has no significant association with cumulative abnormal return after the earning is announced. The result furthermore confirms that applicable interpretation of optimism and pessimism implied in public news information will become the key driver impacting on the cumulative abnormal return. The empirical evidence from proposal discovers that the probable cause comes from the investment behavior occurred when the miscellaneous information traders with basis of information on the stock information, are distributed by informed traders under certain conditions, will follow the informed traders to the market whereas they have already secretly entered the market. Consequently, the informed traders will be able to sell short their shares successfully after the earning is announced and will become the winner with the optimal return in the game.
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