月營收宣告與行為偏誤

Monthly Sales Announcements and Behavioral Bias

代表性偏誤促使投資人錯誤延伸現行趨勢，引起過度反應，然隨後一旦發現錯誤，導致價格修正反轉。本研究應用前後期月營收宣告之交互作用，來探討台灣股市投資人是否存在代表性偏誤。結果發現持續營收好消息後之平均報酬顯著低於持續營收壞消息後之平均報酬，即發現顯著之價格反轉。此證據支持代表性偏誤導致投資人對營收消息過度反應。此外，結果顯示未預期營收具有顯著的資訊內涵。

Representativeness bias can lead investors to incorrectly extrapolate existing trends and cause overreaction, which reverses at a later date once incorrect conclusions are proven false. This paper uses interactions between pre- and postmonthly sales announcements, to explore the existence of investors' representativeness bias in the Taiwan stock market. I find that the average return following a series of good sales news is significantly lower than the average return following a series of bad sales news, i.e. the significant price reversals. This evidence supports that a representativeness bias leads investors to overreact to sales news. In addition, the results indicate significant information content of unexpected sales.