早期資本市場研究大部份支持資本市場是具有效率性，然而最近的研究顯示資本市場是不具有效率性，亦即盈餘宣告後有持續反應的現象（Post-earnings announcement drift）。由於國內市場近年來機構投資人在市場上的比重愈來愈重，因此本研究探討我國機構投資人於季盈餘宣告後股價持續反應時是否可以利用投資策略獲得異常報酬為研究目的。本研究根據2000年第四季至2005年第三季之季盈餘宣告日，以台灣三大法人持有上市公司股票的未預期盈餘、未預期營收與三大法人持股比例變動為研究樣本，實證結果顯示季盈餘與季營業收入宣告對機構投資人有資訊內涵，且增加市場的效率性；當期盈餘資訊內涵優於當期營收資訊；機構投資人可依未預期盈餘(營收)資訊獲得異常報酬，且外資的獲利性優於投信與自營商，增加市場的效率性；機構投資人的持股比例變動與當期或前期的未預期盈餘、未預期營收的迴歸分析，大部分無法支持彼此間的關連性。 Most of the previous studies in early capital market reported the market is efficient, but the studies recently show that capital market is not efficient, which is also called Post-earnings announcement drift. Because institutional investors are increasing in the recent capital market, the purpose of this study is to investigate whether Taiwan’s institutional investors could earn abnormal return with zero investment strategy during the post-earnings announcement drift. We also examine the association between unexpected earnings, unexpected revenues, and Taiwan’s institutional investors’ ownership changes. The sample of the study is drawn from the forth quarter in 2000 to the third quarter in 2005 in Taiwan security market. This study finds evidences that there are the contents of information for institutional investors around quarterly earnings and revenues announcement. Current earnings have more information than current revenues. Institutional investors could earn abnormal return with unexpected earnings or revenues. The regression of institutional investors’ ownership change, unexpected earnings, and unexpected revenues is insignificant.
