本研究以2016年至2022年台灣證券交易所上市公司公告合併營業收入為研究對象，結合投資人情緒指標，透過事件研究法，計算營收公告事件的累積異常報酬（Cumulative Abnormal Return），再運用最小平方法（OLS），以迴歸分析探討情緒對公司營業收入公告之股價反應的影響。接著再進一步以產業、股利殖利率、散戶構面等特性，區分研究樣本進行差異化的分析，檢視不同特性下情緒對公司營業收入公告之股價反應的影響是否有差異。
本研究實證結果顯示，當未預期營收好消息公告時，投資人情緒與股價反應呈同向變動，也就是股價對營收好消息的敏感性在情緒樂觀時會更高 ; 當未預期營收壞消息公告時，投資人情緒與股價反應則呈反向變動，也就是股價對營收壞消息的敏感性在情緒悲觀時更高。而電子股相較非電子股，在營收宣告的股價反應上更容易受到情緒的影響。此外，情緒對好消息公告的股價反應會因為散戶的集中程度、交易熱度、行為模式不同而變化，對累積異常報酬的影響也較壞消息公告更顯著。

This study examines the impact of investor sentiment on the stock price response to revenue announcements of listed companies on the Taiwan Stock Exchange from 2016 to 2022. By employing event study methodology, we calculate the Cumulative Abnormal Return (CAR) of revenue announcement events and use Ordinary Least Squares (OLS) regression analysis to investigate the influence of sentiment on the stock price response to revenue announcements. Furthermore, we conduct differentiated analysis by industry, dividend yield, retail investor participation, and trading activity to examine whether the impact of sentiment on stock price response to revenue announcements varies across different characteristics.
The empirical findings of this study reveal that when unexpected positive revenue news is announced, investor sentiment and stock price response move in the same direction, indicating that stock prices are more sensitive to positive revenue news under optimistic sentiment. Conversely, when unexpected negative revenue news is announced, investor sentiment and stock price response exhibit opposite movements, suggesting that stock prices are more sensitive to negative revenue news under pessimistic sentiment. Moreover, electronic stocks are more susceptible to the influence of sentiment on stock price reactions to revenue announcements compared to non-electronic stocks. In addition, the impact of sentiment on stock price reactions to positive revenue announcements varies based on the concentration, trading activity, and behavioral patterns of retail investors. This impact is more pronounced compared to the effect on stock price reactions to negative revenue announcements.

論文審定書 i
中文摘要 ii
英文摘要 iii
第一章、緒論 1
第二章、文獻回顧與假說建立 3
2.1 投資人情緒對股票市場的影響 3
2.2 情緒和盈餘宣告效果 4
2.3 假說建立 5
第三章、樣本描述與研究設計 7
3.1 資料來源與樣本選取 7
3.2 變數定義與衡量方式 8
3.3 實證模型 11
第四章、實證結果 17
4.1 敘述性統計 17
4.2 迴歸模型結果 18
第五章、結論 36
參考文獻 38

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