| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 103 === This study is to explore revenue momentum effect in Taiwan stock market, firm should announce revenue in last month at 10th every month, we examine whether revenue announcements have impacts on stock return. we use three different measure of revenue: YOY, MOM, HOH, to find out what those are more explanatory power, through the event study three kinds of the expected pattern: average adjustment mode, the market adjustment mode, the minimum square market model to explore the Taiwan stock market whether there is consistency of results.
The empirical results show revenue announcement of a preferred group, the short-term abnormal returns is obvious in next month, and revenue growth compared with the poor, there are significant abnormal returns, YOY and HOH results are more obvious, these two comparative based on the expected return of three event study modes can get relatively consistent results. Therefore, this study found that the Taiwan stock market's revenue announcement have revenue momentum effect.
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