南華大學機構典藏系統:Item 987654321/28106
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    Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/28106


    Title: 探討影響公司營收宣告後股價報酬持續性的因素:投資人情緒和動能策略的角色
    Other Titles: Factors Influencing Stock Returns Persistence after Company's Revenue Announcement: The Role of Investor Sentiment and Momentum Strategy
    Authors: 林淑禎
    LIN, SHU-CHEN
    Contributors: 財務金融學系財務管理碩士班
    陳昇鴻;張瑞真
    CHEN, SHENG-HUNG;CHANG, JUI-CHEN
    Keywords: 營收宣告;投資者情緒;動能策略;股價報酬持續性
    Investor Sentiment;Post Revenue Announcement Drift;Stock Returns Persistence;Momentum Strategy
    Date: 2019
    Issue Date: 2022-03-25 11:09:49 (UTC+8)
    Abstract:   本論文以2013年2月到2018年11月台灣證券交易所上市普通股為研究對象,以事件法計算公司月營收宣告後的股價異常報酬率,實證探討投資人情緒及動能投資策略對上市公司營收宣告後累績報酬率的影響。主要的研究發現為:第一,投資人情緒對公司月營收宣告後股價報酬表現出顯著且持續性的影響性;第二,投資人情緒的高低狀態對月營收宣告後股價報酬表現出顯著且持續性的影響性;第三,短期的動能策略對公司月營收宣告後股價報酬存在顯著的影響。
      This thesis focuses on the common stocks listed on the Taiwan Stock Exchange from February 2013 to November 2018, and uses the event study method to calculate the abnormal returns of the stock post the company's monthly revenues announcement, and empirically investigates the impacts of investor's sentiment and momentum investment strategy for the returns persistence. The main findings are as follows: First, the investor's sentiment has a significant and maintains impacts on the stock price persistence after the revenues announcement. Second, the investor's sentiment level shows the stock returns persistence after the revenue announcement. Third, the short-term momentum strategy has a significant impact on returns persistence post revenues announcement.
    Appears in Collections:[Department of Finance, The M.A. Program of  Financial Management] Disserations and Theses

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