臺灣證券市場每月之營收宣告為投資人獲取公司營運狀況之重要管道，過去文獻發現投資人關注程度愈高的股票在財務宣告期間之股價報酬會呈現先升後降的走勢，故本文欲探討臺灣股票市場中投資人關注程度愈高的股票，在營收宣告期間是否會有特殊之異常報酬表現；本文使用過去期間的股票績效表現、市場周轉率與極端報酬變數做為衡量投資人注意力之代理變數，實證發現臺灣股市在營收宣告期間的累積異常報酬表現顯著為負，本文定義之營收宣告期間為營收宣告日前第四個交易日至營收宣告日後第五個交易日，而過去期間投資人關注程度愈高的股票在營收宣告期間之異常報酬表現最差，且不論是以過去期間股票績效、交易量及正向之極端股票報酬當作投資人注意力代理變數做為探討，或是進一步控制營收宣告結果之好壞，皆能發現相同之情形。

Sales Announcement is an essential way for investors to access the operating information about companies in the Taiwanese stock market. The past studies found that the winners in the market will go up before the announcement date and then get a reverse after the announcement date. In this paper, I used past stock return performance, trade volume, and extreme stock return as proxies for measuring investor attention. The most important result I found is that when stocks with great investor attention will suffer the worst abnormal return in the sales announcement period.

論文審定書 i
中文摘要 ii
英文摘要 iii
第一章 緒論 1
第二章 文獻回顧 3
2.1 投資人注意力 3
2.2 投資人注意力與股票報酬之關聯 4
2.3 財務宣告期間之股價報酬走勢 5
第三章 研究設計 7
3.1 研究架構 7
3.2 研究方法-事件研究法 7
3.3 資料來源與樣本選取 11
3.4 變數定義與樣本分群說明 11
第四章 實證結果 13
4.1 臺灣證券市場營收宣告期間異常報酬情形 13
4.2 過去股價表現與營收宣告期間異常報酬情形之關聯 15
4.3 其他投資人注意力因子之探討 21
4.4 穩健性測試 27
第五章 結論 30
參考文獻 31

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