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上市公司季盈餘宣告與投信持股比例關係之研究邱承志 Unknown Date (has links)
本研究係探討「上市公司季盈餘宣告」與「投信持股比例」之關係,希望瞭解季盈餘資訊對基金經理人投資決策之影響方向與程度。樣本涵蓋期間為民國八十四年第四季至八十六年第一季,以國內全體基金及其投資標的為研究對象,採用 t 檢定(單尾、雙尾)及簡單迴歸分析進行研究,實證結果如下:
一、關於「季盈餘成長率」與「持股比例變動百分比」之相關性:
就整體樣本而言,此二項變數間的關係並不顯著,但就產業別而言,「金融類股」與「其他類股」則出現顯著的結果,顯著水準分別是 1%與 5%。
二、關於「好消息」與「持股比例變動百分比」之相關性:
「季盈餘成長率」與「持股比例變動百分比」均達到 1% 的顯著水準,且後者的 t 值為證數,顯示好消息確實會引起持股比例顯著增加。
但就變動幅度的相關性加以分析,整體樣本的迴歸分析結果並不顯著,在產業類別方面,僅有「其他類股」出現顯著的狀況,達到 1%顯著水準。
三、關於「壞消息」與「持股比例變動百分比」之相關性:
「季盈餘成長率」與「持股比例變動百分比」均達到 1%的顯著水準,但後者的 t 值為負數,表示壞消息的出現反而造成持股比例顯著增加。
若就變動幅度的相關性加以分析,全體樣本迴歸分析結果達到 10%的顯著水準,至於在產業別方面,計有塑膠、營建、金融等三種產業出現顯著的結果,顯著水準分別是 10%、1%、1%。
四、關於「好消息的幅度」與「持股比例增加幅度」的分組檢定:
四組「好消息的幅度」均達到 1%的顯著水準,而四組「持股比例增加幅度」亦均達到 5%的顯著水準,顯示只要出現好消息,不論幅度大小,均會引起持股比例顯著增加。
但是迴歸分析方面,四組皆未達到顯著水準,顯示「持股比例增加的幅度」與「好消息的幅度」並不具有顯著的相關性。
五、關於「壞消息的幅度」與「持股比例減少幅度」的分組檢定:
四組「壞消息的幅度」均達到 1%的顯著水準,而四組「持股比例減少幅度」亦均達到 5%的顯著水準,顯示只要出現壞消息,不論幅度大小,均會引起持股比例顯著增加。原因可能亦為投信基金進場承接的結果。
至於在迴歸分析方面,四組皆未達到顯著水準,顯示「持股比例增加的幅度」與「壞消息的幅度」並不具有顯著的相關性,亦即只要出現壞消息投信基金就可能進場承接,但承接時買進的幅度與壞消息的幅度並未沒有顯著的相關性。
六、關於「本季盈餘成長率大於前一季」與「持股比例變動百分比」之相關性:
不論是全體樣本或細分的三組樣本(正正、負正、負負)均出現顯著的結果,除了「負正組」的顯著水準為 5%外,全體樣本與其餘二組(正正、負負)的顯著水準均為 1%。顯示投信業者相當重視上市公司盈餘改善的訊息,只要本季盈餘成長率大於前一季,不論前後二季盈餘成長率究竟是正號或負號,投信基金均會顯著增加持股比例。
七、關於「本季盈餘成長率小於前一季」與「持股比例變動百分比」之相關性:
不論是全體樣本或細分的三組樣本(正正、正負、負負)均出現顯著的結果,全體樣本與「負負組」的顯著水準為 1%,「正正組」與「正負組」的顯著水準為 5%。但四種情況的 t 值均為正數,與假說之預期正好相反,表示本季盈餘成長率小於前一季時,確實會引起投信基金進場承接。 / The purpose of this study is to investigate the impacts of quarterly report announcement on portfolio revision of mutual funds in the Taiwan stock market. Based on economics of information, mutual fund can be considered as a professional investor in the market such that management of mutual fund wold apply his (her) professional knowledge to forecast the realized number of earnings this period. Therefore, this study hypothesizes that mutual funds would response to the announcement of quarterly earnings earlier than other investors such that the porfolio of mutual fund would accord the announcement to make proper revision. The findings of this study can be summarized as follows.
● Except for financial servics and others industry groups, the relationship between the announcement of quarterly earnings and porfolio revisions of mutual funds is not significant.
● The positive growth of quarterly earnings will cause the significant porfolio revisions of mutual funds; but the relationship between their magnitude is not significant.
● The negative growth of quarterly earnings will cause the reverse significant porfolio revisions of mutual funds. This results implies mutual fund may be an instrument for maintaining price; or mutual fund may consider the bad news of this period being the worst condition of the firm.
● It is robust to conclude whatever itis a good news or not, mutual fund will increase its holdings. In particular, these results hold when the next quarter has the same sign of earnings growth.
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Marknadseffektiviteten på Stockholmsbörsen efter finanskrisen 2008 : En studie om marknadseffektivitet på NasdaqOMXArakelian, Alisa, Malki, Mattias January 2012 (has links)
Syfte: Syftet med uppsatsen är att undersöka hur marknadseffektiviteten på Stockholmsbörsen har blivit påverkat av finanskrisen 2008, vilket genomförs genom att undersöka om bolag får avvikande avkastning vid publicering av kvartalsrapporter. Teori: Teorikapitlet utgår från den effektiva marknadshypotesen, där dess tre olika komponenter samt anomalier tas upp. Metod: Undersökningen genomförs med hjälp av en event studie och en hypotesprövning för att kontrollera hur effektiviteten på NasdaqOMX har blivit påverkad av finanskrisen. Undersökningen utgår ifrån en period på tre år, 2009-2011, och omfattar aktierna på index OMXS30. En insamling av kursdata från de 29 bolag som ingick i OMXS30 har skett, med hänsyn till datum för publicering av kvartalsrapporter. Detta ger totalt 261 observationer under dessa tre år. Empiri: Hypotesprövningen tillsammans med övrig empiri har visat att det kan finnas ett samband mellan publicering av kvartalsrapporter och bolagens aktiepris. Dock visar empirin att finanskrisens påverkan på effektiviteten har varit mycket liten. Analys: Analys av empirin tyder på att det finns tydliga tecken på att bolagens aktiepris påverkas vid publicering av kvartalsrapporter. Störst påverkan sker däremot publicering av kvartalsrapport ett och två. Analys av empirin visar även att marknaden har återhämtat sig snabbt efter finanskrisen. Slutsats: Undersökningen visar att det finns tecken på en mellanstark form av effektivitet på NasdaqOMX, även om denna inte är helt hundraprocentig. Dock är det svårt att dra en generell slutsats hur mycket 2008 års finanskris har påverkat denna effektivitet eftersom en finanskris har efterlöst en annan. / Purpose: The purpose of this paper is to examine how market efficiency on the Stockholm stock exchange has been affected by the financial crisis of 2008, which is carried out by examining if companies earn abnormal returns when publishing quarterly reports. Theoretical perspectives: The theory chapter is based on the efficient market hypothesis, where its three different components and anomalies are discussed. Methodology: The examination is carried out by an event study and a hypothesis test to control how the efficiency on NasdaqOMX has been affected by the financial crisis. The examination is based on a three year period, 2009-2011, and includes the stocks on the index OMXS30. Stock data has been collected from the 29 companies in the OMXS30, with regard to dates the quarterly reports were published. This gives a total of 261 observations under three years. Empirical outcome: The hypothesis test, together with other empirical results, has shown that there may be a relation between the publishing of quarterly reports and company stock price. However, empirical results show that the financial crisis effect on the market efficiency has been insignificant. Analysis: Analysis of the empirical results show that there are clear signs of change in company stock price when publishing quarterly reports. However, the significant change can be seen during the publishing of quarterly report one and two. Analysis of the empirical results also shows that the market has quickly readjusted after the financial crisis. Conclusion: The study shows that there are signs of semi-strong market efficiency on NasdaqOMX, even if this efficiency is not 100 percent strong. However, it is hard to come to a general conclusion on how much the financial crisis 2008 has affected this efficiency due to the fact that one financial crisis has resolved after another.
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