有限注意力與年度盈餘宣告

Limited Attention and Annual Earnings Announcements

本研究檢測在台灣年度盈餘宣告中，不同時間點的市場反應。由於會計資訊幾乎在網路上可以不花成本取得，本文認為投資人仍有一項有限注意力的成本。本研究結果顯示，在盈餘宣告時期初始，並未有顯著未預期股票報酬的改變，隨著越多財務年報陸續公佈，投資人開始注意到眾多盈餘消息，因此進場交易造成未預期股票報酬變動之增加，其注意力隨著盈餘宣告時期過後而結束。本文發現於法定盈餘宣告期限之後，所公佈的好消息或壞消息，均呈現顯著的交易量減少，此結果未必意含著投資人未注意到，而是市場的一致性看法將會導致交易量減少。最後，本文檢測不同類型的投資人，其在盈餘公佈期間的交易活動。整體而言，本文的結果顯示投資人的注意力配置並非相同，因此支持有限注意力假說。

This paper examines market responses at different times of annual earnings announcements in Taiwan. Since accounting information is available on the Internet at almost no cost, we argue that there is still a cost of limited attention to investors. The empirical results show that the unexpected return changes at the outset of the earnings announcements season are insignificant. As the filings of annual reports intensify, investors become attentive to the massive earnings news and trade accordingly with an increase in unexpected return changes, culminating at the end of the earnings announcement season. We find a significant decrease in trading volume for good news and bad news announced after the statutory due date, which does not necessarily imply investor inattention since a consensus in the market decreases trading volume. We end by examining the trading activity of different types of investors during the earnings filing period. Overall, our findings suggest that the attention allocation by investors is not homogeneous during annual earnings announcements and support the hypothesis of limited attention.