本文旨在探討券商預期營收和公司實際營收之間的差距對財務報表宣布當日公司股價的影響，並且進一步分析此影響和投資人情緒之間的關聯性。首先，蒐集2015年第一季到2019年第三季的券商預期營收與公司實際營收，並去除兩者差距最大及最小的1%離群值。接著，以公司季報公布當日股票報酬率減去當日台灣發行量加權指數報酬率作為當日公司異常報酬率。
除了營收差距對於股票報酬率的影響外，本文亦欲探討投資人情緒和此影響間的關聯，因此選取了市場週轉率、IPO數量、新發行股權占比、三大法人週轉率、相對強弱指標以及消費者信心指數作為投資人情緒的代理變數，並以主成分分析法建構出綜合投資人情緒指標。最後，為了瞭解投資人對於不同類型(如：價值型、成長型、大規模、小規模)公司出現營收差距的反應，將樣本資料分別依照市價帳值比和淨值由大到小分成五等分，以此觀察組間之差異。
研究結果顯示，券商預期營收和公司實際營收的差距和財報發布當日之股票報酬確實存在顯著關係，若公司實際營收低於券商預期營收將使當日公司股價下跌，此情形在市價帳值比小以及淨值大的公司中尤為明顯。並且，投資人情緒確實會影響投資人對營收差距的反應，在公司實際營收高於預期營收時，若當日投資人情緒高漲，公司股價上漲幅度將會高於投資人情緒低落時。

This thesis focuses on the impact of revenue surprises on stock prices at the announcement date. Moreover, the relationship between the impact on stock prices and investor sentiment is also discussed.
First, the expected and real revenues from 2015 Q1 to 2019 are collected, and the revenue surprises that are higher than the 99th or lower than the 1st percentile are removed. The abnormal returns are computed by subtracting the returns of Taiwan Capitalization Weighted Stock Index (TAIEX) from the stock returns of companies at announcement date.
Next, this thesis selects share turnover, number of IPO, equity shares in new issue, institutional investor turnover, relative strength index, and consumer confidence index as proxies for investor sentiment. Furthermore, a composite sentiment index is constructed by the method of principal components analysis (PCA).
Finally, to verify whether the investors’ reactions to revenue surprises differ in the types of company (value and growth, or large and small), the data is classified into five groups by PB ratio (price-to-book ratio) or net worth.
The empirical results show that when real revenues are lower than expected revenues, the stock price at the announcement date will fall, especially the firms with low PB ratio or large net worth. Also, investor sentiment indeed affects the investors’ reactions to revenue surprises. When the real revenues are higher than expected revenues, the stock prices will rise more in high investor sentiment than in the low sentiment.

參考文獻
1. Chou, Chih, Chou, and Kung (2019). 周賓凰, 池祥萱, 周冠男, & 龔怡霖. (2019). 行為財務學: 文獻回顧與展望. 證券市場發展季刊: 行為財務學特別專刊, 1.
2. Chou, Chung, and Lin (2019). 周賓凰, 張宇志, & 林美珍. (2019). 投資人情緒與股票報酬互動關係. 證券市場發展季刊: 行為財務學特別專刊, 153.
3. Liu, Lin, and Chen (2017). 劉清標, 林筱鳳, & 陳宏榮. (2017). 股價報酬與投資人情緒之預測. 財金論文叢刊, (26), 1-18.

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