Disposition Effect and Earnings Announcement in Taiwan Stock Market

• Main Authors: Cheng-Ying Chan, 詹承穎
• Other Authors: Chun-An Li
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/61295344735406620697

碩士 === 國立雲林科技大學 === 財務金融系 === 104 === In this study, we used disposition effect and earnings announcement of Taiwan stock market to refer the extent of the significant cumulative abnormal return. By observing the variation of these variables, what we discovered is summarized as follows: 1.Disposition effect indeed happened in Taiwan's stock market, and it was negatively correlated to cumulative abnormal return . 2.Earnings announcement also remained in Taiwan's stock market, and SUE was positively correlated with cumulative abnormal return. However, the significant extent faded as time went by. 3.In Taiwan stock market, the disposition effect on investment return was greater than earnings announcement. 4.Even if earnings announcement exceeded expectations, as long as the Stock holders had disposition effect, the company's share price would go down continuously; vice versa. Investors can build a portfolio, which is based on the extent and degree of sue and disposition effect. After earnings announcements, investors build the portfolio of the weakest degree disposition effect and the lowest degree of sue, buy and hold it for 40 to 60 days after the sale, expecting it get significantly better than the market's rate of return.