本論文旨在探討投資人有限注意力、保守性與代表性偏誤，對台灣股票市場所造成之影響。由於過去文獻較少針對投資人的行為偏誤進行檢測，本文則提供有關投資人有限注意力的實證研究，並以行為財務理論模型裡，所描述的保守性與代表性偏誤進行實證測試。
首先，本研究檢測台灣的財務年報陸續公布時之市場反應，由於不同階段的注意力吸引，因而導致不同的市場反應。此外，有限注意力的投資人對於財務年報內涵有不完整的瞭解，致使不同年度呈現顯著正或負的交易量反應，研究結果支持有限注意力假說。
另外，假如人們太專注在訊息的強度卻忽略其權重，會呈現代表性偏誤。反之，當人們未注意到訊息的強度，傾向專注在訊息的權重，則會呈現保守性偏誤。本研究將行為偏誤區分成整體代表性偏誤與局部代表性偏誤。研究結果顯示，會計績效整體的代表性具有低強度但高權重之特性，致使投資人呈現保守性偏誤，而其他評價比率整體的代表性具有高強度但低權重之特性，導致投資人呈現代表性偏誤。然而，當本研究更進一步將整體績效次序分解成局部績效次序時，行為偏誤即告消失。本文亦檢測連續績效次數對投資人的影響，而實證結果顯示投資人對績效的趨勢會呈現賭徒謬誤的現象。

The key features of this dissertation pertain to limited investor attention and its indirect consequences of conservatism and representativeness biases that have impacts on the Taiwan Stock Market. Thus, this dissertation contributes to the empirical work on investors’ limited attention and heterogeneous beliefs to public information, as well as representativeness heuristics.
This study examines the market reaction of a sequential release of annual reports in Taiwan, in which different stages of attention-grabbing cause different market reactions. Moreover, investors with limited attention have an incomplete understanding about the content of the annual report, in which different years present significant positive or negative reactions of trading volume, and the evidence supports the hypothesis of limited attention.
If people focus primarily on the strength of the evidence, they tend to neglect its weight and manifest representativeness bias. On the other hand, when people are unimpressed by the strength of the evidence, they focus too much on its weight and exhibit conservatism bias. Thus, this study distinguishes the behavioral biases between global representativeness bias and local representativeness bias. The results suggest that accounting performances globally have low strength but high weight features, leading investors to show conservatism bias, and other valuation ratios globally have high strength but low weight features, leading investors to exhibit representativeness bias. However, when global sequence is further decomposed into a local sequence, those behavioral biases disappear. This study also sheds light on how investors are sensitive to the streak length of performance, and the empirical evidence indicates that investors exhibit the gambler’s fallacy to the trend of performance.

Chapter 1: Introduction ………………………………………………………….. 1
1.1 Motivation ………………………………………………………………… 1
1.2 Purposes …………………………………………………………………… 4
1.3 The Structure of the Dissertation ………………………………………….. 8
Chapter 2: Literature Review ……………………………………………………. 10
2.1 Market Reactions to Earnings Announcements ………………………… 10
2.2 Limited Attention ...……………………………………………………… 12
2.3 Representativeness and Conservatism Biases …………………………….. 14
2.4 Other Behavioral Biases …………………………………………………... 16
Chapter 3: Methodology …………………………………………………………. 17
3.1 A Basic Model of Investors’ Limited Attention …………………………… 17
3.2 Empirical Tests of Market Reaction ……………………………………… 20
3.2.1 Measurement of Variables …………………………………………… 20
3.2.2 Control Variables ……………………………………………………. 22
3.3 Psychological Evidence and Operational Definitions …………….. 25
3.4 Measurement of a Firm’s Performance …………………………………… 27
3.4.1 Accounting Performances, Tobin’s Q, and Stock Return ……………. 27
3.4.2 Additional Proxies of Performance ………………………………… 30
3.5 Returns’ Calculations ……………………………………………………… 31
3.6 Sentiment on the Length of Performance ………………………………… 32
Chapter 4: Investors’ Limited Attention ……………………………………… 35
4.1 Data and Sample ………………………………………………………….. 35
4.2 Empirical Results …………………………………………………………. 36
4.2.1 Descriptive Statistics ……………………………………………….. 36
4.2.2 The Market Reaction on the Release Periods of Annual Reports ….. 37
4.2.3 The Market Reaction on Different Release Timings of
Annual Reports ………………………………………………… 41
4.2.4 After Controlling for Firm Characteristics …………………………. 45
4.3 Summary ………………………………………………………………….. 47
Chapter 5: Firm Performances and Behavioral Biases ………………………….. 49
5.1 Data and Sample …………………………………………………………... 49
5.2 Empirical Results …………………………………………………………. 49
5.2.1 Descriptive Statistics …………………………………………………. 49
5.2.2 Global Representativeness Test ……………………………………… 52
5.2.3 Local Representativeness Test ………………………………………. 54
5.2.4 The Length of Firm Performance and the Behavioral Biases ……….. 57
5.3 Summary ………………………………………………………………….. 60
Chapter 6: Reexamination and Robustness Tests ……………………………….. 61
6.1 Data and Sample ………………………………………………………….. 61
6.2 Empirical Results …………………………………………………………. 61
6.2.1 Descriptive Statistics ………………………………………………... 61
6.2.2 Global Representativeness Test ……………………………………... 65
6.2.3 Local Representativeness Test ………………………………………. 68
6.2.4 Sentiment on the Length of Performance ……………………………. 70
6.3 Robustness Checks ……………………………………………………….. 74
6.3.1 Controlling for Magnitude Effects …………………………………… 74
6.3.2 Robustness to Other Measures of Performance ……………………… 74
6.4 Summary ………………………………………………………………….. 75
Chapter 7: Conclusions and Further Study ………………………………………. 77
7.1 Conclusions ……………………………………………………………….. 77
7.2 Further Study …………………………………………………… 80
Appendix ……………………………………………………………… 81
References ……………………………………………………………………… 83

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