| Abstract: | 天氣影響股市報酬率已被眾多學者所探討，如Keef and Roush (2002)、 Goetzmann and Zhu(2005)與Chang, Nieh, Yang, and Yang(2006)等，且Dehaan, Madsen, and Piotroski(2017)的研究中更是納入天氣的考量，觀察天氣是否會影響分析師對於盈餘發布的預測，也研究了天氣對盈餘動能(earnings momentum)的影響，發現當天氣不舒適時，投資人對餘訊息的反應較慢。因此本研究將著重以台灣股市各家公司的盈餘宣告日為事件日，結合天氣因子，來觀察盈餘宣告日當天的天氣情況好壞是否會導致台灣股市的盈餘動能現象變得更加明顯或趨於緩和。本研究計算各股票之累積異常報酬(cumulative abnormal return, CAR)，並依標準化未預期盈餘(standardized unexpected earnings, SUE)將股票分成九組，並參入天氣變數來觀察天氣對各組股票立即反應(CAR[0,2])與延遲反應(CAR[3,75])的影響。樣本期間為2007 年1 月1 日至2016 年12 月31 日，研究對象為台灣上市上櫃之普通股，惟不含TDR 與外國公司，並排除有全額交割紀錄與暫停交易之公司，共860 家公司。藉由中位數迴歸，本研究結果顯示天氣對立即反應與延遲反應有顯著的影響。當天氣越好，立即反應的效果會被減緩，而延遲反應效果則會更加明顯。
Weather effect has been discussed by many scholars, for example, Keef and Roush (2002), Goetzmann and Zhu (2005), and Chang, Nieh, Yang, and Yang(2006). Moreover, Dehaan, Madsen, and Piotroski(2017) focuse on the weather-induced mood, contributing that unpleasant weather results in delayed responses to earnings announcement. Thus, this paper examines cumulative abnormal return (CAR) and adds weather effect to observe whether earnings momentum will be enhanced or be weakened.This research calculates CARs of each observed company and divides stocks into 9 groups by standardized unexpected earnings (SUE), looking into whether immediate-reaction (CAR[0,2]) and delayed-reaction(CAR[3,75]) will be influenced by weather or not. The observed companies are common stocks which are listed on the TSE and the OTC without full-cash delivery, while TDR and F shares are excluded. The estimate method is median regression. The results indicate that the immediate-reaction and the delayed-reaction are significantly influenced by weather. If the weather is good, the immediate reaction is going to be weakened, while the delayed-reaction will be enhanced. |
