本論文旨在探討工商時報與經濟日報兩種財經專業性報紙所揭露的公司資訊，對於股票價格波動之影響。本研究採用事件研究法 (Event Study) 中的市場模型 (Market Model)，以平均異常報酬 (Abnormal Returns，簡稱AR) 及累計異常報酬 (Cumulative Abnormal Returns，簡稱CAR) 檢定媒體資訊揭露是否具有資訊內涵，以及股票市場對於媒體資訊是否過度反應。 實證研究發現，財經專業性報紙所揭露的個別公司訊息具有資訊內涵，亦即資訊確實對於股價造成影響。而投資人受短期資訊影響，而忽略長期基本資訊，使得股價有過度反應的現象。 實證結果亦顯示財經專業性報紙的正面訊息揭露具有資訊內涵；而市場的投資人對於該正面訊息不具過度反應的現象。媒體揭露的負面資訊具有提前外溢的現象，造成了股價於事件日之前即已提前反應該資訊，所以不具有資訊內涵；市場上的投資人對於股價的反應也不存在著過度反應現象。而對於不同產業的分類事件，發現並未顯著地具有資訊內涵，而投資人亦不明顯地存在過度反應現象。 This study investigates two hypotheses : the stock market investors in Taiwan overreact to information disclosed by economic business reports and the underlying information has contents. Abnormal stock returns of individual firm are calculated from a market model, based on which the statistical references are constructed through average abnormal returns (AR) and cumulative AR (CAR) to test the two hypotheses. It is concluded that the stock market investors overreact to overall information disclosed by economic business reports and the underlying information has contents. When the reports are divided into positive and negative information, the empirical results show that the stock market investors do not overreact to positive, nor negative, information, while positive information has contents but negative information does not. Mixed results are also found for the varying information in five categories of industry.
