| Summary: | 碩士 === 元智大學 === 財務金融學系 === 94 === Our research investigate when the firms suffer unexpected earnings or revenue, the bias valuation would emerge in the announcement period. The sample period is from January, 2003 to December, 2004.The sample firms are listed in the NYSE and NASDAQ. The prior studies use the analyst forecast model and time series model to make a study of unexpected earnings and revenue effect. Our research adapts the information reported in news as the proxy variable of market expectation. We find the irrational reaction about unexpected earnings and revenue, and the Representativeness Bias exists. Investors often pricing irrationally when they face the quarterly unexpected earnings of firms earn negative earning. However, when firms earn positive earnings suffer bad news, the valuation would lower than firms earn negative earnings. The regression result shows that unexpected revenue has similar explanatory power on average cumulative abnormal returns for firms earn positive and negative earnings. But unexpected revenue has no explanatory power on average cumulative abnormal returns for firms earn negative earnings.
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