| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 103 === This research examines whether investor attention and revenue announcements influence the stock returns in Taiwan securities market. First, we use abnormal trading volume as a proxy of investor attention. Besides, with event study method, this study not only observes whether or not companies that releasing revenue announcements have significant cumulative abnormal returns around the announcement day but also analyzes its factors. Afterwards, we divide full samples into two subsamples, positive and negative revenue surprises, investigating whether investor attention enhances the impact of positive and negative revenue surprises on abnormal returns. The empirical result shows that when investors notice company’s unexpected revenues, the cumulative abnormal returns become larger with the increase of unexpected revenues. It indicates that investor attention actually affects the stock returns of companies having revenue announcement previously. Furthermore, no matter in the circumstances of positive or negative revenue surprises, investor attention more sufficiently aids the implicit information content of revenue surprises in reacting on stock prices.
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