| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 100 === This paper examines the impact of media related to the company prior to its earnings announcements on its price change and volatility with the incorporation of investor types in the Taiwan stock market. We also consider different scenarios for the robustness check including the trading or non-trading periods and the bull or bear market trends. The differences between this paper and the prior research lie in that the information content of Chinese media reports is extracted and comprehensive tick data are used to classify the trader types including institutions and individuals. The media coverage prior to the announcement has a positive impact on the price change initiated by foreigners especially when the earnings are announced on the trading day and the findings are consistent in both the bull and bear markets. As for the domestic institutions, the media coverage may give rise to a negative (positive) impact on the price change initiated by corporations (mutual funds) especially during a bull (bear) market. With regard to the individuals, although there is no significant consistent trading behavior, we find that there is a negative relationship between the media coverage and price changes in the bear market. The higher the media coverage related to the company, the higher the market volatility regardless of what the investors’ types are. Since ninety-five percent of companies announce their earnings information on trading days, we would suggest that the trading behaviors during the earnings announcements especially on the trading days are more representative in the Taiwan stock market. In conclusion, the media coverage may have an impact on the trading behavior around the earnings announcement regardless of whether the investors are individuals or institutions. However, the optimistic or pessimistic content of news reports has less of an impact on the trading behavior even if the market scenarios are divided into bull/bear markets or trading/non-trading periods. The exposure of the company to the media surely has an impression on the investors.
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