月營收對股價報酬影響性之研究

The Study on the Influence of Monthly Sales Information for Stock Market

根據以往實證營收（盈餘）訊息具有資訊內涵效應，通常公司營收（盈餘）的成長率優劣，會對公司的股價產生變動。本文主要研究目的在於探討營收成長率高低不同的公司，是否會造成股價在反應速度與報酬上具有差異？經本文實證結果有二點發現：（一）在多頭市場下，高營收成長率的公司股價反應速度明顯的領先低營收成長率。（二）在多頭與空頭市場下，高營收成長率的公司股價報酬均優於低營收成長率，特別在多頭市場尤為明顯。此結果顯示：公司營收成長率的優劣，確實會影響股價報酬的變動。

According to previous studies, the research find the effect of information contents exist in revenue (or earning) information. The news release will directly influence on the behaviors of the investors and indirectly influence on the volatility of stock price. The main purpose of this paper is to explore whether the response speed of stock price and return will vary among different revenue growth rate. There are two empirical findings. One, the response speed of stock return for the companies with high revenue growth rate is leading to the response speed of stock return the companies with low revenue growth rate in the bull market. Another, the stock return for the companies with high revenue growth rate is great to the stock return the companies with low revenue growth rate in the bull and bear market, the phenomenon is special significant in the bull market. The results show that the revenue (or earning) growth information news release will directly influence on the volatility of stock price.