本研究聚焦於台灣資本市場獨有之月營收公告制度，探討未預期月營收、未預期季營收、未預期季綜合損益與總資產成長率等股價特徵變數對股票報酬之橫斷面定價能力。在AI與半導體產業鏈擴張的背景下，研究核心在於釐清企業資產成長所隱含的資訊內涵，並實證營收、綜合損益資訊發布後，市場是否存在反應不足之現象。
實證樣本涵蓋2008年1月至2025年10月台灣上市、上櫃及已下市櫃公司之普通股。研究首先運用Fama-MacBeth兩階段橫斷面迴歸模型檢驗各特徵變數之定價能力；其次，利用跨度迴歸與GRS聯合檢定，在嚴格控制Fama-French五因子與未預期季綜合損益後，檢驗未預期月營收之獨立增額資訊價值；最後，分別採3、6、12個月之滾動視窗估計特徵變數定價係數，建構Fama-MacBeth Strategy（FMS）多空投資組合策略，並利用Fama-French五因子模型對FMS策略之實際報酬進行風險調整後報酬分析。
實證結果顯示，台灣市場之總資產成長率與報酬呈現顯著正相關，異於成熟市場之投資效果；然而，此解釋力在納入未預期綜合損益後即遭吸收，顯示其前瞻資訊已被未預期綜合損益涵蓋。進一步依據財報資訊啟用狀態進行子樣本檢驗後，在新一季財報資訊首次可使用之月份，未預期季營收並未恢復正向邊際解釋力，而未預期月營收仍維持高度正向顯著，顯示未預期月營收對季營收之資訊吸收效果並非單純源自季報資訊老化。在因子獨立性檢驗上，未預期月營收在控制 Fama-French 五因子與季盈餘因子報酬後，仍具備高度顯著且獨立之異常報酬，顯示台灣市場獨有之月營收公告制度，確實蘊含領先季報且超越現有資產定價框架之獨立增額資訊。基於此建構之 Fama-MacBeth Strategy（FMS）多空投資組合策略能在做多與放空兩端捕捉市場對基本面資訊反應不足的異常報酬，並有效規避市場、規模、價值及投資等系統性風險。

This study examines the cross-sectional pricing power of stock characteristics in Taiwan’s unique monthly revenue announcement system, including unexpected monthly revenue, unexpected quarterly revenue, unexpected quarterly comprehensive income, and total asset growth. The sample covers listed, OTC, and delisted common stocks in Taiwan from January 2008 to October 2025. This study first applies Fama-MacBeth cross-sectional regressions to test the pricing power of each characteristic. It then uses spanning regressions and the GRS test to examine whether unexpected monthly revenue contains independent incremental information after controlling for the Fama-French five factors and unexpected quarterly comprehensive income. Finally, Fama-MacBeth Strategy (FMS) long-short portfolios are constructed using 3-, 6-, and 12-month rolling windows.
The results show that total asset growth is positively associated with returns in Taiwan, but this effect is subsumed by unexpected comprehensive income. Further subsample tests based on financial statement activation timing show that unexpected quarterly revenue does not regain positive marginal pricing power when newly released quarterly financial statements first become usable, while unexpected monthly revenue remains significantly positive. This suggests that the information absorption effect of monthly revenue is not merely driven by the aging of quarterly financial statements. Moreover, unexpected monthly revenue generates significant abnormal returns after controlling for the Fama-French five factors and quarterly earnings factors. The FMS strategy also captures abnormal returns from market underreaction on both the long and short sides.

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