月營收宣告與行為偏誤

Monthly Sales Announcements and Behavioral Bias

10.6160/2017.03.02

顧廣平(Kuang-Ping Ku)

月營收宣告 ； 資訊內涵 ； 過度反應 ； 代表性偏誤 ； Monthly Sales Announcements ； Information Content ； Overreaction ； Representativeness Bias

中山管理評論

25卷1期（2017 / 03 / 01）

63 - 100

繁體中文

代表性偏誤促使投資人錯誤延伸現行趨勢，引起過度反應，然隨後一旦發現錯誤，導致價格修正反轉。本研究應用前後期月營收宣告之交互作用，來探討台灣股市投資人是否存在代表性偏誤。結果發現持續營收好消息後之平均報酬顯著低於持續營收壞消息後之平均報酬，即發現顯著之價格反轉。此證據支持代表性偏誤導致投資人對營收消息過度反應。此外，結果顯示未預期營收具有顯著的資訊內涵。

Representativeness bias can lead investors to incorrectly extrapolate existing trends and cause overreaction, which reverses at a later date once incorrect conclusions are proven false. This paper uses interactions between pre- and postmonthly sales announcements, to explore the existence of investors' representativeness bias in the Taiwan stock market. I find that the average return following a series of good sales news is significantly lower than the average return following a series of bad sales news, i.e. the significant price reversals. This evidence supports that a representativeness bias leads investors to overreact to sales news. In addition, the results indicate significant information content of unexpected sales.

1. 顧廣平(2011)。盈餘與營收動能。管理學報，28(6)，521-544。
   連結：
2. 顧廣平(2010)。營收動能策略。管理學報，27(3)，267-289。
   連結：
3. Swaminathan, B. and Lee, C. M. C., 2000, “Do Stock Prices Overreact to Earnings News?”Working Paper, Cornell University.
4. Barber, B. M.,Lyon, J. D.(1997).Detecting Long-run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics.Journal of Financial Economics,43(3),341-372.
5. Barberis, N.,Shleifer, A.,Vishny, R.(1998).A Model of Investor Sentiment.Journal of Financial Economics,49(3),307-343.
6. Bernard, V. L.,Thomas, J. K.(1990).Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings.Journal of Accounting and Economics,13(4),305-340.
7. Bloomfield, R.,Hales, J.(2002).Predicting the Next Step of a Random Walk: Experimental Evidence of Regime Beliefs.Journal of Financial Economics,65(3),397-414.
8. Boussaidi, R.(2013).Representativeness Heuristic, Investor Sentiment and Overreaction to Accounting Earnings: The Case of the Tunishian Stock Market.Procedia - Social and Behavioral Sciences,81(1),9-21.
9. Brav, A.,Heaton, J. B.(2002).Competing Theories of Financial Anomalies.Review of Finanical Studies,15(2),575-606.
10. Chan, W. S.,Frankel, R.,Kothari, S. P.(2004).Testing Behavioral Finance Theories Using Trends and Consistency in Financial Performance.Journal of Accounting and Economics,38(1),3-50.
11. Cooper, M. J.,Gutierrez, R. C., Jr.,Hameed, A.(2004).Market States and Momentum.Journal of Finance,59(3),1345-1365.
12. Daniel, K.,Hirshleifer, D.,Subrahmanyam, A.(1998).Investor Psychology and Security Market Under- and Overreactions.Journal of Finance,53(6),1839-1885.
13. De Bondt, W. F. M.(1998).A Portrait of the Individual Investor.European Economic Review,42(3-5),831-844.
14. Ertimur, Y.,Livnat, J.,Martikainen, M.(2003).Differential Market Reactions to Revenue and Expense Surprises.Review of Accounting Studies,8(2-3),185-211.
15. Fama, E. F.(1998).Market Efficiency, Long-term Returns, and Behavioral Finance.Journal of Financial Economics,49(3),238-306.
16. Fama, E. F.,MacBeth, J. D.(1973).Risk, Return, and Equilibrium: Empirical Tests.Journal of Political Economy,81(3),607-636.
17. Fisher, K. L.(1984).Super Stocks.Burr Ridge, IL:Irwin Professional Publishing.
18. Foster, G.(1977).Quarterly Accounting Data: Time-Series Properties and Predictive- Ability Results.Accounting Review,52(1),1-21.
19. Foster, G.,Olsen, C.,Shevlin, T.(1984).Earnings Releases, Anomalies, and the Behavior of Security Returns.Accounting Review,59(4),574-603.
20. Grether, D. M.(1992).Testing Bayes Rule and the Representativeness Heuristic: Some Experimental Evidence.Journal of Economic Behavior & Organization,17(1),31-57.
21. Jegadeesh, N.,Livnat, J.(2006).Revenue Surprises and Stock Returns.Journal of Accounting and Economics,41(1-2),147-171.
22. Kahneman, D.,Tversky, A.(1972).Subjective Probability: A Judgment of Representativeness.Cognitive Psychology,3(3),430-454.
23. Kama, I.(2009).On the Market Reaction to Revenue and Earnings Surprises.Journal of Business Finance & Accounting,36(1-2),31-50.
24. Newey, W. K.,West, K. D.(1987).A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.Econometrica,55(3),703-708.
25. Rabin, M.(2002).Inference by Believers in the Law of Small Numbers.Quarterly Journal of Economics,117(3),775-816.
26. Shefrin, H.(2002).Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing.New York:Oxford University Press.
27. Shleifer, A.(2000).Inefficient Markets: An Introduction to Behavioral Finance.New York:Oxford University Press.
28. Tversky, A.,Kahneman, D.(1971).Belief in the Law of Small Numbers.Psychological Bulletin,76(2),105-110.
29. Tversky, A.,Kahneman, D.(1974).Judgment under Uncertainty: Heuristics and Biases.Science,185(4157),1124-1131.
30. Wu, C. H.,Wu, C. S.,Liu, V. W.(2009).The Conservatism Bias in an Emerging Stock Market: Evidence from Taiwan.Pacific-Basin Finance Journal,17(4),494-505.
31. 郭敏華(2008)。行為財務學。台北=Taipei, TW:智勝文化=Best-Wise Publishing Co., Ltd.。
32. 劉毅馨、蔡彥卿(2006)。月營收宣告期間私有資訊交易之探討。管理與系統，13(1)，47-76。
33. 簡雪芳(1998)。臺灣大學商學研究所=Graduate Institute of Business Administration, National Taiwan University。

1. 劉昃恩,張仲岳,王蘭芬(2020)。月營收編製基礎變動前後資訊內涵之比較。當代會計，21(1)，33-62。
2. (2022).Seasoned equity offerings, return of capital and agency problem: Empirical evidence from Taiwan.Asia Pacific Management Review,27(2),92-105.