本文利用台灣證券交易所之逐筆交易資料，分析了三種類型的投資者在盈餘宣告日周圍之交易活動。本文實證結果表明，於盈餘宣告日周圍之所有投資者類別通常對其私人訊息反應過度，而對公開訊息反應不足，從而導致盈餘宣告後漂移（PEAD）之異常現象。此外，個人投資者之過度自信交易量及持續時間皆較機構投資者大，從而解釋了較大的PEAD。另外本文發現國外機構投資者有學習效果而國內機構及個人投資者則無學習效果，且個人投資者樂於使用槓桿交易且拙於處理資訊，從而導致更多的過度自信交易。本文亦發現，外國機構於盈餘宣告前所建立之部位，可於宣告後獲利，個人投資者則虧損。當公司之財務報表之質量或套利限制更加惡化時，外國機構投資者將具更大之訊息優勢。

This research analyzes the trading activities of three types of investors around earnings announcements, we take advantage of a tick-by-tick transaction dataset on the Taiwan Stock Exchange. Our empirical results indicate that all investors’ trading activities around such announcements generally overreact their private information and underreact from public information, thus driving the well-documented post-earnings announcement drift (PEAD) anomaly. Moreover, individual investors’ overconfident trading volume and duration of overconfident trading are more than that of institutions, also fond of trade in margin and poor information processing ability, thereby causing more PEAD. Lastly, our empirical evidence report that foreign institutional investors have a greater information advantage when firms’ reporting quality or limit-to-arbitrage is more deteriorative.

論文審定書 i
致謝辭 ii
摘要 iii
Abstract iv
List of Tables vii
1. Introduction 1
2. Literature review 12
2.1 Who drives the price drift? 12
2.2 The relations among price drift and trading behavior 14
2.3 The relations among price drift, accounting quality, and limit to arbitrage 16
2.4 Research question 18
3. Data and variable definitions 19
3.1 Data 19
3.2 Cumulative abnormal returns 19
3.3 Cumulative abnormal net trading across different types of investors 20
3.4 Earnings surprise 21
3.5 Summary statistics of shares traded in the Taiwan stock market 21
4. Empirical results 22
4.1 Does PEAD exist in Taiwan? 22
4.2 Who drives PEAD? 23
4.2.1 Cumulative abnormal net trading around earnings announcement 23
4.2.2 Overconfident trading after earnings announcement 25
4.2.3 The durations of the overconfident trading 28
4.2.4 Do investors learn from their past wrong trading? 29
4.2.5 The relation between margin trading and individuals overconfident trading 31
4.2.6 The impact of attention on the individuals overconfident trading 33
4.2.7 The information content of pre-announcement net trading 34
4.2.8 Regression results of the relation between pre-announcement trading and post-announcement returns 36
4.2.9 Summary of prior results 38
4.3 Additional test 40
4.3.1 Financial reporting quality, PEAD, and trading activities across various types of investors 40
4.3.2 Limits to arbitrage, PEAD, and trading activities 44
4.3.3 Price limits, PEAD, and individuals’ overconfident trading activities 48
5. Conclusion 51
References 55
Appendices 93

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