Trading Behavior and Profits of Retail and Institutional Investors around Earnings Announcements in Taiwan's Stock Market

臺灣股市散戶與法人在盈餘宣告前後之交易行為及損益

10.6545/JFS.202012_28(4).0001

詹場(Chang Chan)；張仲豪(Chung-Hao Chang)

Taiwan's stock market ； earnings announcement ； retail investor ； institutional investor ； 臺灣股市 ； 盈餘宣告 ； 散戶 ； 機構投資人

財務金融學刊

28卷4期（2020 / 12 / 31）

1 - 57

英文

We analyze the trading behavior and profits of retail and institutional investors around earnings announcements in Taiwan's stock market. We find that the average annual trading profits of institutional investors around earnings announcements are higher than those of retail investors by NT$22 billion dollars. In addition, institutional investors enjoy higher trading profits during the earnings news announcement periods (ENAP) than during the non-ENAP; they also enjoy higher trading profits during the good ENAP than during the bad ENAP. Finally, for the return predictability of trades, foreign institutional investors are the best, followed by domestic institutional investors, and then retail investors.

本研究分析臺灣股市盈餘宣告前後機構投資人（法人）與散戶之交易損益及行為。結果發現法人每年在盈餘宣告期間之獲利高於散戶220億。此外，法人在盈餘宣告期間之獲利高於非盈餘宣告期間，且於好盈餘訊息期間之獲利高於壞盈餘訊息期間。在盈餘宣告前之交易對報酬的預測力方面，外國法人最佳、本國法人次之、散戶再次之。

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