本文研究台灣股票市場上三大法人的交易行為在盈餘宣告期間是否擁有資訊優勢而出現異常交易量，以及盈餘宣告後的股價持續反應是否存在於我們的研究樣本期間，最後觀察盈餘宣告日前法人異常交易量與宣告後股票異常報酬的關係，來探討其交易行為對於市場的一般投資者來說是否具有資訊價值。本文研究2007至2011年間，透過證交所提供的台灣集中市場成交檔資料計算出三大法人的每日異常交易量，來觀察法人在盈餘宣告期間前後是否有出現異常的交易量及股票報酬。研究發現三大法人在盈餘宣告期間確實有根據盈餘消息好壞而出現同方向的交易行為，盈餘宣告日前外資及投信對於好消息會買進，自營商則是對於壞消息有顯著賣出，顯示三大法人之間的交易行為不同。在本文研究樣本期間，盈餘宣告後的股價持續反應的現象仍然顯著存在，且好消息的報酬率會比壞消息來得提早反應。最後若以法人的累積異常交易量做為交易決策依據，好消息可以參考外資的盈餘宣告前20日至前11日的累積法人異常交易量，壞消息則可以參考外資與自營商同樣時間的累積法人異常交易量。

This paper studies whether the trading behavior of the institutional investors in the Taiwan stock market has an information advantage around earnings announcement. Second, we want to examine whether there are still significant Post-Earnings Announcement Drift(PEAD) in our research period and the relationship between institutional abnormal trading volume and PEAD. In the end, we want to realize could individual investor earn excess return if we follow institutional investor trading volume.
We use the original institutional trading data from year 2007 to 2009 provided by Taiwan Stock Exchange to calculate the daily institutional net trading volume. Therefore, we can observe whether institutional investors have the abnormal trading volume and return around earnings announcement. We observe that institutional investors indeed have the same direction trading behavior following up the good(bad) earnings news. Foreign institution and investment trust are net buyers before the announcement when earnings are good news and dealer is net sellers before the announcement when earnings are bad news. We also observe significant Post-Earnings Announcement Drift in our research period, and the good news return react earlier than bad news. Last, if individual investor want to exploit institution trading volume as a trading signal, they can observe foreign institution cumulative abnormal net institutional trading from 20 days prior to the earnings announcement to 11 day prior to the announcement when earnings are good and observe that foreign institution and dealer cumulative abnormal net institutional trading over the same period when earnings are bad.

論文審定書 ........................................................... i
摘要 ................................................................ ii
Abstract .............................................................. iii
圖目錄 .............................................................. v
表目錄 .............................................................. vi
第一章 緒論 ......................................................... 1
第二章 文獻回顧 ..................................................... 4
2.1 交易量與盈餘宣告 ............................................................................................... 4
2.2 盈餘宣告後股價持續反應................................................................................... 6
第三章 樣本資料及研究方法 ........................................... 9
3.1 樣本資料 ................................................................................................................ 9
3.2 研究方法 .............................................................................................................. 10
1.異常交易量 .................................................................................................... 10
2.異常報酬率 .................................................................................................... 11
3.未預期盈餘 .................................................................................................... 12
第四章 實證結果 .................................................... 13
4.1 每日法人異常交易量 .......................................................................................... 13
4.2 累積法人異常交易量 .......................................................................................... 14
4.3 盈餘宣告後股價持續反應(PEAD) .................................................................... 16
4.4 法人異常交易量與盈餘宣告後股價持續反應 ................................................ 17
第五章 結論 ........................................................ 20
參考文獻 ........................................................... 22
附錄 ............................................................... 25

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