本研究以台灣上市及中華民國證券櫃檯買賣中心上櫃之普通股股票為研究對象，樣本期間為1996年第1季至2011年第3季，共計48季之盈餘、營收、費用宣告，探討投資人對市場反應之差異。 本研究主要使用兩種檢定方法，第一種使用估計出來的標準化未預期盈餘、標準化未預期營收與標準化未預期費用作為分類投資組合基礎，透過t檢定檢測訊息宣告前後累積平均異常報酬是否顯著異於零。第二種利用FM橫斷面迴歸模型，將估計出來的標準化未預期盈餘、標準化未預期營收與標準化未預期費用視為自變數，累積異常報酬視為應變數，一樣透過t檢定檢測自變數是否顯著影響應變數。 實證結果顯示，盈餘宣告較營收、費用宣告為重要參考指標，若再將盈餘分成營收與費用進行檢定，確實存在增額資訊內涵，故營收與費用宣告亦不可忽視。營收宣告與費用宣告對成長股影響程度大部分顯著優於價值股，但對價值股而言，費用宣告較營收宣告顯著具有影響力，故價值股廠商可以透過節省費用提高累積平均異常報酬；對成長股而言，營收宣告較費用宣告顯著具有影響力，故成長股廠商可以透過提高營收來提升累積平均異常報酬。結果顯示與Ertimur et al.(2003)文獻一致，本研究亦發現費用宣告對價值股影響程度顯著大於營收宣告對成長股影響程度。 This study investigates investor’s reactions to surprises and expense surprises around preliminary earnings announcement, on the Taiwan stock market from Q1/1996 –Q3/2011. The study uses two test methods, the first one is estimating standardized earnings surprises, standardized revenue surprises and standardized expenses surprises as a portfolio form basis classification investigating whether cumulative average abnormal returns significant different from zero by t test. The second one is the FM cross-sectional regression model that is standardized earnings surprises, standardized revenue surprises and standardized expenses surprises as independent variables, the cumulative abnormal returns as dependent variable. The empirical results show that earnings surprises is the most important reference index compared with revenue surprises and expense surprises. Then, earnings divide into revenue and expenses, which exists incremental information content, so revenues and expenses announcement should not be ignored. And revenue and expense announcement impact on growth stocks more significant than value stocks. Also, value stocks are impacted by revenues surprises more significant than expenses surprises. So value stocks can save costs to improve cumulative average abnormal returns; growth stocks are impacted by expenses surprises more significant than revenue surprises. So growth stocks can raise revenues to increase cumulative average abnormal returns. The results consistent with Ertimur et al. (2003), this study also found that expenses surprises significantly impact on the value stocks are greater than revenue surprises impact on growth stocks.
