| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 98 === The present study empirically investigates changes in company fundamentals, stock prices will lead to the effect of information uncertainty, according to the analysts forecast EPS and momentum in the bull market and the bear market respectively, we try to understand whether produce relatively higher expected returns following good news and relatively lower expected returns following bad news, moreover, we use Carhart (1997) four-factor model to discuss information uncertainty effect whether different form zero significantly? The sample using in the research is Taiwan stock market from 2003 to 2009 and use monthly returns for portfolios. The result is greater information uncertainty should produce relatively higher expected returns following good news in the bullish market and relatively lower expected returns following bad news in the bearish market. In other hand, with momentum strategy, so that the stock price has the phenomenon of momentum. Information and electronic industries of Taiwan stock market have the momentum effect in bull market and the bear market. And Taiwan’s information and electric industries have scale effect in market state with bull market and good news.
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