針對台灣股票市場，本文的研究目的有三：第一、每月公司最近營收成長（標準化未預期營收成長，SURGE）是否能預測公司未來盈餘成長（標準化未預期盈餘成長，SUE）；第二、探討SURGE和SUE是否解釋股票橫截面報酬，再以不同頻率之SURGE和SUE，進行樣本外預測，形成投資策略，並分析投資策略之績效；第三、探討投資人是否會反應SURGE與SUE，特別是三大法人交易是否會在市場上做出正確反應。結果顯示SURGE可以顯著預測未來公司之SUE；SURGE和SUE可強烈解釋股票橫截面報酬，若以此二類變數與其樣本外預測形成投資組合時，可以顯著的提升投資績效；本文也發現投資人普遍反應不足，三大法人中只有投信會提早反應SURGE資訊，其餘法人都會有反應不足情形。

Focusing on the Taiwan stock market, the purpose of this study is threefold. First, we explore whether the recent revenue growth (standardized unexpected revenue growth, SURGE) of a stock can predict its future earnings growth (standardized unexpected earnings, SUE). Second, of interest is the explanatory power of SURGE and SUE in the cross-section of stock returns. Then, we conduct out-of-sample forecasts, form the associated investing strategies, and analyze their performances. Third, we investigate whether and how investors (particularly, institutions) respond to SURGE and SUE. Evidence shows that SURGE significantly predicts SUE. Applying SURGE and SUE effectively explaining stock returns, their out-of-sample forecasts can remarkably improve investing performance. Finally, investors generally underreact to SURGE and SUE. Among institutional investors, mutual funds react faster than others.

摘要 i
Abstract ii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究架構與本文架構 2
第二章 文獻探討 3
第三章 研究方法 7
第一節 資料來源 7
第二節 變數衡量 8
（一） 衡量SURGE 8
（二） 衡量SUE 9
第三節 研究程序 9
第四章 實證分析 11
第一節 未預期盈餘與營收對公司成長影響 11
第二節 未預期盈餘與營收對公司報酬影響 13
第三節 預測報酬能力分析 15
第四節 三大法人買賣超分析 18
第五節 穩健性檢驗 21
第五章 結論 25
參考文獻 27



圖表目錄
表 1　各項變數之敘述性統計 30
表 2　公司成長分析 31
表 3　股票報酬分析 32
表 4　投資組合分析 33
表 5　不同時間窗口預測報酬能力 34
表 6　三大法人買賣超與變數分析 36
表 7　三大法人買賣超與月未預期營收分析 37
表 8　穩健性測試:不同市場下股票報酬與變數之間關係 38
表 9　穩健性測試:非小型股股票報酬與變數之間關係 39
表 10　穩健性測試:不同經濟政策不確定狀態下股票報酬與變數之間關係 40

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