台灣股市的未預期月營收：綜合分析

Unexpected Monthly Revenue in the Taiwan Stock Market: A Comprehensive Analysis

有感於台灣股市不同其他股市，上市櫃公司必須在每月10日以前，公告上月份營收之法令，本文的目的在於綜合檢驗台灣股市「未預期月營收」之效果。研究結果顯示：第一、未預期月營收確實隱含未來盈餘成長和股票報酬的訊息；第二、雖然不同公告頻率之未預期營收與未預期盈餘具有部分相同的資訊內涵，但是各自擁有獨特的解釋股票報酬的能力；第三、藉由不同公告頻率之未預期營收、未預期盈餘與常見的股票特徵值，再利用6個月滾動估計窗口，並透過Fama-MacBeth迴歸預測樣本外的股票報酬，確實可得到更優異的投資績效。第四，在月營收公告前，三大法人針對未預期月營收表現最佳（最差）的股票出現增持（減持）手中持股的情況。

Motivated by Taiwan's unique regulation that firms listed in the domestic stock market have to announce their past-month's revenues before the 10th of every month, this paper comprehensively analyzes the effects of unexpected monthly revenue (MSURGE). Evidence shows that, first, MSURGE helps predict future earnings growth and stock returns. Second, although MSURGE, unexpected quarterly revenue (QSURGE), and unexpected quarterly earnings (QSUE) closely correlate, they independently explain the cross-section of stock returns. Third, investment strategies based on the out-of-sample forecasted returns, using MSURGE, QSURGE, QSUE, and other stock characteristics, exhibit superiorly performances. Finally, institutional investors increase (decrease) their holdings prior to the announcements with positive (negative) MSURGE.