在數位資訊時代，網路搜尋活動儼然成為投資者接收資訊作為投資判斷依據重要管道之一，過去Da, Engelberg, and Gao (2011)將Google網路搜尋量指數(SVI)作為衡量投資人關注度變數，衡量投資人關注度對金融市場影響。此外，自Beaver (1968)及Ball and Brown (1968)以來許多研究大多指出盈餘宣告具有資訊內涵，會影響股票市場交易活動。因此，本文主要目的為利用搜尋量指數(SVI)衡量投資人關注度，探討盈餘宣告期間投資人資訊需求對股票市場交易活動之影響。本文實證研究有以下四點結論：(1)投資人資訊需求在宣告當週至宣告後二週有顯著增加。(2)宣告當週至宣告後，當投資人關注增加，會反應在同期股價報酬及交易量上。反之，在宣告前，投資人資訊取得並不完全，對資訊看法分歧，因此，當投資人關注度越高，雖會反應於交易量增加，對同期股價報酬卻無顯著影響，亦無法預測未來股價報酬。(3)由於在宣告前，散戶投資人對盈餘宣告資訊取得不完全，此時即使本期增加搜尋量，但對資訊解讀看法不一，因此盈餘宣告資訊雖反應於本期及下期交易量上，卻無法因此增進價格發現機制。而在盈餘宣告當週至宣告後，投資人增加關注度，盈餘宣告資訊皆會反應於同期股價報酬與交易量。(4)當區分盈餘宣告之好、壞消息並進行實證分析，結果顯示在宣告好消息情況下，公司盈餘相關資訊可能有提前發佈之情形，故無論是在宣告前、宣告當週至宣告後，投資人增加網路搜尋取得資訊，對股價報酬及交易量皆有正向顯著影響，亦能預測下期股價報酬及交易量；宣告壞消息時，公司對盈餘資訊揭露時點則相對保守，只有在宣告當週至宣告後一週時，投資人關注度增加，對同期股價報酬有負向顯著影響且使得交易量增加。

In modern days, web search activity is regarded as an important channel through which investors can acquire information and thus influence stock market activity.Da, Engelberg, and Gao (2011) proposed Google Search Volume Index(SVI) measuring investor attention and indicated that it is positively associated with stock returns. Since Beaver (1968); Ball and Brown (1968) first investigated the relationship between earnings and the capital market response, financial accounting researchers have developed a large body of research about the information content of earnings announcement. Therefore, the objective of this study is to show the relationship between investor attention and stock market trading activity around earnings announcement. This study provides evidence using search frequency in Google and finds:(1) Abnormal Google search increases at the announcement and continues at high levels for two weeks after the announcement.(2) At the announcement and after the announcement, an increase in abnormal Google search is positively associated with stock returns and trading volume in the same period. However, due to the imperfect information received by investors prior to the announcement, individual investors have different perspectives of the upcoming earnings surprise. Thus, an increase in pre-announcement Google search causes an increase in stock trading volume, but it has no significant influence on stock returns and cannot predict the future stock prices.(3) Similarly, investors cannot acquire the sufficient information prior to the announcement, thus the higher pre-announcement search is associated with the higher trading volume, but it has no significant impact on both pre-announcement stock returns and post-announcement stock returns. Nevertheless, post-announcement returns and volume are more highly associated with the earnings surprise when post-announcement search is higher.(4) The empirical study also examines the relationship between investor attention and stock trading activity when earnings surprise is either good news or bad news. The results suggest that when companies report good news, they tend to be provide the good information in advance. Thus, the pre-announcement search is positively associated with the pre-announcement returns and trading volume, and can also predict the future returns and trading volume. In contrast, when they report bad news, the higher search are significantly associated with the returns and trading volume only at the announcement.

摘要 ii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 4
第二章 文獻探討 5
第一節 投資人關注度與股票交易活動相關探討 5
第二節 盈餘宣告與股票交易活動相關探討 7
第三章 研究方法 9
第一節 資料來源 9
第二節 變數衡量 9
第三節 模型建立 13
第四章 實證結果 20
第一節 敘述統計 20
第二節 影響投資人關注度因素 23
第三節 投資人關注度與同期股票市場交易活動 25
第四節 投資人關注度預測股票市場交易活動 28
第五節 盈餘宣告資訊與投資人關注度與同期股票市場交易活動 30
第六節 盈餘宣告資訊與投資人關注度預測股票市場交易活動 34
第七節 區分盈餘宣告消息下，投資人關注度與股票市場交易活動 36
第五章 結論與建議 43
第一節 結論 43
第二節 後續研究建議 44
參考文獻 45
附錄 49

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