本研究將在單一股票中持股市值超過新台幣一億元之投資人，定義為「大戶」。研究首先，檢驗台灣大戶是否具備知情交易者的特徵；其次，探討大戶持股比率變動（Large-holder Holding Ratio, LHR）對於月營收公告期間市場累積異常報酬（Cumulative Abnormal Return, CAR）之影響。實證結果顯示，大戶在營收公告前若增加持股比率，將強化放大市場對正向未預期營收的正向反應；反之，若減少持股比率，則會加劇市場對負向未預期營收的負向反應，機構法人持股變動亦呈現類似效果。分群回歸顯示，大戶在負向未預期營收公布前減碼，壞消息的放大效果在小市值公司表現更為顯著；在投資人情緒分組中，當市場情緒偏向樂觀時，市場對大戶於正向未預期營收前提前增持的反應更強烈，面對負向未預期營收時，大戶提前減碼對市場反應的影響則因情緒指標不同而有所差異；在產業層面，大戶在正向未預期營收公布前增持，好消息的放大效應則在服務業中較明顯。

This study defines investors holding over NT$100 million in a single stock as “large shareholders.” It first examines whether these investors exhibit informed trading behavior and then explores how changes in the Large-holder Holding Ratio (LHR) affect cumulative abnormal returns (CAR) during monthly revenue announcements.The results show that increases in large shareholders’ holdings prior to announcements amplify the market’s positive reaction to positive unexpected revenue. Conversely, reductions in holdings intensify the negative reaction to negative unexpected revenue. Similar effects are observed for institutional investors.Subgroup analyses reveal that the amplification of bad news is more pronounced in small-cap firms when large shareholders reduce holdings before negative revenue surprises. Under optimistic investor sentiment, the market reacts more strongly to pre-announcement increases in holdings before positive surprises. However, the effect of pre-announcement reductions before negative surprises varies by sentiment proxy. At the industry level, the amplification of good news is more evident in services sectors when large shareholders increase holdings ahead of positive surprises.

論文審定書i
摘要ii
Abstractiii
目錄iv
表次vi
第一章 緒論1
第二章 文獻回顧3
2.1 盈餘宣告與股票市場3
2.2 知情交易與盈餘宣告4
2.3 影響盈餘宣告之其他變數5
第三章 研究設計與方法6
3.1 研究樣本與資料來源6
3.2 變數定義7
3.3 實證模型11
第四章 實證模型結果13
4.1 敘述性統計13
4.2 實證模型結果14
4.2.1 相關係數分析14
4.2.2 未預期營收對CAR的影響16
4.2.3 知情交易是否存在18
4.2.4 主要回歸結果: 大戶持股比率變動對CAR的影響20
4.2.5 市值大小對CAR的影響23
4.2.6 投資人情緒高低對CAR的影響26
4.2.7 產業分群對CAR的影響29
4.3 穩健性測試33
4.3.1 通膨調整後大戶持股比率變動對CAR的影響33
4.3.2 三大法人合計持股比率變動對CAR的影響36
4.3.3 外資、投信及自營商持股比率變動對CAR的影響39
4.3.4 營收年增率取代未預期營收對CAR之影響42
第五章 結論46
參考文獻48
附錄51

中文文獻及參考資料:
網路資料: 臺灣超高資產客群財富洞察報告(2024)
劉毅馨與蔡彥卿. (2006). 月營收宣告期間私有資訊交易之探究. 管理與系統, 13 (1), 47-76
顧廣平. (2017). 月營收宣告與行為偏誤. 中山管理評論, 25(1), 63-100
黃品諭. (2019). 月營收公告前的權證知情交易. 碩士論文, 國立東海大學
黃敬庭. (2023). 投資人情緒對營收宣告後效果的影響. 碩士論文, 國立中山大學

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