本文將過去文獻提出的盈餘宣告溢酬與Bali et al. (2011)的樂透型股票MAX效應兩者相互結合，探討盈餘宣告期間之樂透型股票極端報酬與未來報酬的相關性。另外，為排除台灣市場因存在漲跌幅限制導致傳統使用報酬率極大值的方式可能受到低估的缺陷，本文使用Hung and Yang (2018)的漲跌幅限制觸及率LHR指標作為衡量極端報酬的變數。實證結果顯示，對於盈餘宣告期間而言，獲得極高報酬之天數比率與未來宣告前之異常報酬為正相關，宣告後為負相關，存在先漲後跌的趨勢。獲得極高(極低)報酬之比率與未來宣告前之異常報酬為正(負)相關，且高低報酬的影響幅度無顯著差異，不存在投資人反應的不對稱性。此外，對於每個月份而言，獲得極高報酬之天數與未來兩個月之異常報酬皆為負相關，第一個月下跌後，於次月繼續下跌且幅度較大，並且投資人對極高報酬的反應大於極低報酬，存在不對稱性。最後，獨特性波動度與未來報酬的負向關係可被樂透型股票之極高報酬對未來報酬的負向影響所解釋，反之獨特性波動度與同期股票報酬則呈現顯著的正向關係。總體而言，投資人在股票市場中的行為並非完全理性，其心理上的偏誤會導致股票報酬產生無效率的現象。

This paper aims to analyze the return patterns around earnings announcements in the context of Bali et al.’s (2011) MAX effect of lottery stocks. We focus on the relationship between past extreme returns and future returns around earnings announcements. To control for the fact that the maximum returns may be underestimated due to price limits in Taiwan stock market, we use the limit hitting rate (Hung and Yang, 2018) to measure extreme returns. Our results indicate that past extreme high return rate is positively correlated with the future abnormal returns prior to earnings announcements. In addition, past extreme low return rate is negatively correlated with the future abnormal returns before earnings announcements. Investors’ reactions with regard to past high extreme returns vs. past low extreme returns are symmetric. Furthermore, for monthly interval, the extreme high return rate is negatively correlated with abnormal returns over next two months. This return reversal over the second month is larger than that over the first month. The negative correlation between idiosyncratic volatilities and future returns can be offset by the negative correlation between extreme high returns and future returns. Over the same month, however, there exists a significant positive correlation between idiosyncratic volatilities and stock returns. Taken together, investors in the stock market are not perfectly rational, leading to inefficiency of stock returns.

目錄
第一章 緒論 1
1.1 研究背景 1
1.2 研究動機與目的 2
1.3 研究架構 4
第二章 文獻回顧 5
2.1 MAX效應 5
2.2 盈餘宣告溢酬 6
2.3 獨特性波動度效應 6
2.4 研究假說 7
第三章 資料與研究方法 10
3.1 資料來源 10
3.2 計算MAX、LHR、MIN指標 10
3.3 計算盈餘宣告異常報酬 11
3.4 計算獨特性波動度 12
3.5 其餘變數 15
3.6 研究方法 17
3.6.1 單變量投組分析 17
3.6.2 雙變量投組分析 20
3.6.3 回歸分析 21
第四章 實證結果 23
4.1 敘述統計 23
4.2 極端高報酬對未來盈餘宣告溢酬之影響 24
4.2.1 LHR投組之盈餘宣告溢酬 25
4.2.2 LHR指標與盈餘宣告溢酬之橫斷面回歸分析 29
4.3 盈餘宣告框架中投資人反應之不對稱性 34
4.3.1 DHR與UHR投組之盈餘宣告溢酬 34
4.3.2 DHR、UHR與盈餘宣告溢酬之橫斷面回歸分析 36
4.4 MAX效應與獨特性波動度效應之實證 38
4.4.1 MAX效應投組分析 38
4.4.2 MAX效應之橫斷面回歸分析 41
4.4.3 MAX效應之投資人反應不對稱性 43
4.4.4 MAX效應是否使股票報酬產生先漲後跌之情形 47
4.4.5 獨特性波動度對未來股票報酬之影響 50
第五章 結論 56
參考文獻 58

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