本文探討投資人的關注效果是否可以解釋市場反應不足的問題。我提出一個新的指標來 衡量投資人對於訊息的關注程度，重新檢驗市場反應不足的假說。 最近有學者提出：投資人對公司訊息的關注程度，可以合理解釋市場反應不足的問題。 他們認為市場反應不足的原因是來自於投資人沒有注意到公司發佈的好訊息或壞訊息，導致 股價延遲反應訊息，進而使得短期股價有反應不足的現象，但長期卻又有異常報酬。 本文嘗試連接過去有關於企業總部(地理)位置的文獻，以企業總部設立於都會區或非都 會區，作為衡量投資人關注程度的指標。因為有文獻指出，企業總部設立位置會影響投資人 的投資行為，例如：因為資訊取得的便利性、或是具有熟悉感的緣故，投資人會傾向於喜歡 投資生活圈附近的股票。由於大部份的人口都聚集在都會區，因此合理的推論：企業總部設 在非都會區的公司，其股東成員將有很大比例是來自於都會區的投資者。受限於地理環境(或 距進)因素的限制，這群投資人將會很容易忽略公司發佈的訊息，成為關注效果較低的投資人。 綜合以上所述，我預期公司宣告盈餘之後，只有企業總設立在非都會區的公司，股價才 有延遲反應的現象；企業總部設立在都會區的公司則不會出現股價延遲反應的現象。 This paper examines whether limited attention among investors as a possible explanation for post-earnings announcement drift by using a firm’s location as a proxy for attention. The phenomenon of delayed price reaction to post-earnings announcement drift has a long debate in literature. Several studies suggest that the delayed reaction to earnings surprise is due to limited attention of investors. This paper uses a firm’s geographic location as an attention proxy. A firm’s location has been shown to affects investors’ bias toward nearby companies. Since majority of populations live in metropolitan areas rather than rural areas, it is easy to conjecture that rural firms will have larger investors base from the urban areas, and thus receive less attention from this subset of remote investors. By contrast, urban firms are owned by local investors who gather information easily and know more about their investments, and hence capture more attention from their investors. Our conjecture is consistent with previous literature that rural firms are located in the areas with few potential investors, are covered by fewer analysts, and are owned by fewer institutions than urban firms. Accordingly, we hypothesize that investors will underreat to earnings surprise announced by rural firms since rural firms are owned by some remotely investors who are more likely to neglect information contained in earnings surprise. We will expect that only rural firms have a post-earnings announcement drift and a lower trading volume response to earnings surprise. In sum, this paper tries to add to our understanding about how investors with limited attention affect asset pricing and extend the implication of geography on market underreaction.
