好消息、壞消息與報酬動能效應–以台灣股市為例

The Momentum Phenomena of Good News, Bad News and Returns in Taiwan Stock Market

為提升企業資訊揭露的透明度、落實公司治理，以促進資本市場健全發展，台灣證交所及證券櫃買中心於2003 年委託證基會建置「資訊揭露評鑑系統」。諸多學者研究發現，系統實施後其評鑑結果對機構投資人存在顯著的正面影響，但無法辨識評鑑結果的變動是否影響股票報酬。本研究以2006 至2012 年公布之資訊揭露評鑑結果為樣本，發現，評鑑等級與1 至12 月持有期之投資組合報酬率成正向關係。將評鑑等級比前一期為調升者 (調降者) 定義為好消息 (壞消息)，進一步建構以買入好消息、同時賣出壞消息的消息策略，並觀察於持有1 至12 月期長後的投資組合報酬率是否為正，結果發現，於持有1 至12 月期長後的投資組合報酬率顯著為正，顯示台灣股市資訊揭露評鑑結果消息的發佈存在消息效應，投資人對於好消息/壞消息公布結果的反應程度也不同。

In order to drive the development of a sound capital market by enhancing transparency in corporate information disclosure and achieving corporate governance, Taiwan Stock Exchange Corporation (TWSE) and GreTai Securities Market commissioned the Securities and Futures Institute in 2003 to create the Information Disclosure and Transparency Ranking System (IDTRS) for evaluating levels of transparency in all listed companies in Taiwan. Prior studies suggested that the full year ranking results from the IDTRS had significant positive effects on institutional investors but were unable to identify whether changes in ranking results from the IDTRS affect stock-based compensation. This study therefore aims to examine this question. Based on the sampled ranking results of information disclosure by the companies listed on TWSE between 2006 and 2012, the initial findings reveal that ranking levels are directly proportional to rates of return on portfolios over a one year holding period. Upgradedor downgraded ranking compared with the previous year are defined as good or bad news to see whether rates of return on portfolios are positive at the end of the one year holding period. The results show that they are indeed positive, indicating that announcing ranking results of information disclosure in Taiwan stock market produces an information content effect and investors react differently to the good/bad news in the announced results.