一月效應在近五十年來係屬一有趣之議題，但至今仍無學者能對其形成原因提出一較佳之解釋。正因為一月效應發生之時點是在每年的一月份，且每年一月份是公司正辦理上年度的決算，新的年度也是才開始而已，所以從另一個角度而言，無論從公司的角度或從投資者的角度而言，均是在形成當年度預期且驗收去年度成果的主要時點。據此本論文以為，上市公司的「一月效應」與投資者對去年度獲利成果，以及對本年度經營結果的預期有關。
本研究係針對我國上市公司1994年至1999年一月之資料加以分析，根據事件研究法及敘述性統計分析之結果發現我國股市在該段期間內並無正的一月效應、反倒是有負的一月效應現象。這樣的結果與早期多數學者的實證結果相反，但近期學者對我國股市的研究當中，已有部分學者之實證結果認為我國股市並無正的一月效應存在。
另外，本研究亦針對上市公司一月累積異常報酬與未預期盈餘之關聯性進行探討，結果發現不論是第一季未預期盈餘或去年度未預期盈餘，其與一月累積異常報酬間皆呈負相關，但不顯著。之後，又把研究標的由一般性盈餘抽換為持續性盈餘，發現未預期盈餘與累積異常報酬間負向關係更為明顯。最後，再將公司規模大小列入考量，發現小公司確實有較高的累積異常報酬，此與先前多數學者實證的結果相符。然而，規模本身雖可對一月累積異常報酬提供一較佳之解釋，但將規模加入模式後仍無法明顯提昇未預期盈餘對累積異常報酬之解釋能力。 / Over the past fifty years, January Effect has always been an interest topic. However, no conclusive explanations have ever been offered. January is the time for management of corporations and investors to confirm the performance of last year and to form expectations of the coming year. Therefore, it may be reasonable to hypothesize the January Effect is related to the actual profitability of last year and the expected earnings of current year.
This study first examine whether Taiwan’s stock market has January Effect. Monthly returns of the sample companies for the period 1994 to 1999 are tested. The result indicated that there is a negative January Effect, which runs contrary to most of the previous research findings. However, recent studies on Taiwan’s stock market have drown more conclusions refuting the hypothesis that Taiwan’s stock market has positive January Effect.
This study further examines the relationship between the January cumulative abcdrmal returns of sample companies and the unexpected earnings of the previous year and the first quarter of the current year. Regression model is employed. The result indicates that there is negative, though not significant, relationship. The earnings are then further partitioned into permanent and transitory.
A new regression analysis using the permanent unexpected earnings is performed. The result is the same but more significant. When company size using the market value as a proxy is added to the regression model, it shows that small companies tend to have higher cumulative abcdrmal returns.
In summary, this study finds no significant relationship between the stock returns in January and the unexpected earnings of the previous year and/or the first quarter of the current year.
| Identifer | oai:union.ndltd.org:CHENGCHI/A2002001968 |
| Creators | 林伯諺, Lin, Po-Yen |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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