| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 99 === The research is to study the relationship between public news and cumulative abnormal returns (CAR) referring to Vega (2006) and Demers and Vega (2010). The study applies text mining technique to extract information content from public news and establishes quantitative indexes. It is helpful to earn abnormal profits by considering the public news, represent by quantitative indexes from text miming. The study agrees with of Vega (2006) and Demers and Vega (2010), market price is not still revealed to the public news. It is found that cumulative abnormal return(CAR) is positively influenced by sentimental ratio for weight(SRW)、MEDIA、surprises (SUR)、MEDIA*、SUR* and cumulative abnormal returns (CAR).; It, therefore, naturally to suggest to consider the quantitative indexes before the earnings announcement.
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