本研究從連結資訊處理成本與資訊發布時機開始，強調了資訊發布時機對於衡量異常報酬的重要性。透過研究台灣股市因資產定價異常造成異常報酬的時間模式，希望提供一套時間模式的比較分析，為台灣股市的投資人提供有價值的參考。
本研究以資訊發布日期作為事件日，檢視六個市場異常因子，包含資產成長率、營收成長率、總資產週轉次數、營業毛利率、淨營運資金、營業利益率來分析異常報酬的時間模式。結果揭示異常報酬在事件日前已有顯著表現，且事件日後反應呈現延遲。這些時間特性源自於兩個重要因素：資訊外洩的持續存在，以及散戶投資者面臨的高資訊處理成本。此外，研究發現六月再平衡策略優於資訊再平衡策略。前者無意中捕捉到了資訊發布後四到八個月的異常回報。
研究結果建議投資者應密切關注短期資訊，並在與資訊相關的公告後約兩個月進行再平衡，以更有效地捕捉後續的異常報酬。未來研究可以納入高頻資料，例如月營收或重大資訊公告，以進一步辨識資訊外洩的時段。同時，探討機構投資人比例增加是否加速市場反應，也將提供具價值的洞見。

This study starts by linking the information processing cost to the timing of information release, highlighting the significance of timing in measuring abnormal returns. It investigates the time pattern of abnormal returns associated with asset pricing anomalies in Taiwan’s stock market. The aim is to provide a time pattern of comparative analysis, which will serve as a valuable reference for investors in Taiwan’s stock market.
Using the information release date as the event day, this study investigates six market anomalies, including asset growth, sales growth, asset turnover, gross profitability, net working capital, and profit margin, to examine the time pattern of abnormal returns. My results reveal a pre-event date manifestation of abnormal returns and a delayed reaction following the event date. These timing characteristics arise from two significant factors: the persistence of information leakage and the high information processing costs faced by retail investors. I also find that the June rebalancing strategy outperforms the information rebalancing strategy. The former inadvertently captured abnormal returns four to eight months after the information release date.
My findings suggest that investors should monitor short-term information and rebalance approximately two months following information-related announcements to more effectively seize subsequent abnormal returns. Future research could incorporate high-frequency data, such as monthly revenue or material information, to help further identify periods of information leakage. It would also be informative to examine whether the market reaction accelerates as the proportion of institutional investors increases.

Arif, S., Marshall, N. T., Schroeder, J. H., & Yohn, T. L. (2019). A growing disparity in earnings disclosure mechanisms: The rise of concurrently released earnings announcements and 10-Ks. Journal of Accounting and Economics, 68, 101221.
Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 6(2), 159–178.
Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. V. (2015). Deflating profitability. Journal of Financial Economics, 117(2), 225–248.
Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307–343.
Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. The Journal of Finance, 32(3), 663–682.
Blankespoor, E., de Haan, E., & Marinovic, I. (2020). Disclosure processing costs, investors’ information choice, and equity market outcomes: A review. Journal of Accounting and Economics 70, 101344.
Blankespoor, E., de Haan, E., & Zhu, C. (2018). Capital market effects of media synthesis and dissemination: Evidence from robo-journalism. Review of Accounting Studies 23, 1–36.
Bowles, B., Reed, A. V., Ringgenberg, M. C., & Thornock, J. R. (2024). Anomaly time. The Journal of Finance, 79(5), 3543–3581.
Chen, A. Y., & Zimmermann, T. (2020). Publication bias and the cross-section of stock returns. Review of Asset Pricing Studies, 10(2), 249–289.
Chen, J.-Y., Wang, J.-C., & Hung, S.-W. (2013). Does corporate governance reduce information leakage around merger and acquisition announcements? Journal of Management and Business Research, 30(3), 191–213.
Chen, P.-H., Chen, A.-S., & Wu, Y.-L. (2015). Order aggressiveness, price impact, and investment performance in a pure order-driven stock market. Asia-Pacific Journal of Financial Studies, 44(4), 635–660.
Chen, S.-W., & Wu, M.-B. (2018). The impact of criminal searches on stock performance: Evidences on TSE and OTC listed firms. Management Information Computing, 7(S1), 23–31.
Chordia, T., Subrahmanyam, A., & Tong, Q. (2014). Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? Journal of Accounting and Economics, 58(1), 41–58.
Cooper, M. J., Gulen, H., & Schill, M. J. (2008). Asset growth and the cross-section of stock returns. The Journal of Finance, 63(4), 1609–1651.
DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. The Journal of Finance, 64(2), 709–749.
Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56.
Hirshleifer, D., Hou, K., Teoh, S. H., & Zhang, Y. (2004). Do investors overvalue firms with bloated balance sheets? Journal of Accounting & Economics, 38(1–3), 297–331.
Hirshleifer, D., Lim, S. S., & Teoh, S. H. (2009). Driven to distraction: Extraneous events and underreaction to earnings news. The Journal of Finance, 64(5), 2289–2325.
Huang, P.-H., Lin, C.-W., & Yeh, Y.-H. (2023). Whose trades contribute more to price discovery? Evidence from the Taiwan Stock Exchange. Review of Quantitative Finance and Accounting, 61, 1–28.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91.
Jensen, M. C. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2–3), 95–101.
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541–1578.
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1):13–39.
McLean, R. D., & Pontiff, J. (2016). Does academic research destroy stock return predictability? The Journal of Finance, 71(1), 5–32.
Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1–28.
Ni, Y., Lee, C.-F., & Lin, Y.-H. (2006). Information leakage and price discovery in the Taiwan stock market. Pacific-Basin Finance Journal, 14(5), 501–520.
Ni, Y.-S., Chung, Y.-T., & Wang, W.-D. (2006). Is insider trading serious in Taiwan stock market? An example of the analysis of information contents for Taiwan Market Observation Post System. Chung Hua Journal of Management, 7(2), 89–100.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442.
Soliman, M. T. (2008). The use of DuPont analysis by market participants. The Accounting Review, 83(3), 823–853.
Tsai, S.-C. (2014). Individuals’ trading prior to earnings announcements. Journal of Business Finance & Accounting, 41(9-10), 1124–1156.
Wang, C.-H., Lin, C.-H., & Liu, Y.-J. (2013). Retail trading and information diffusion: Evidence from Taiwan. Emerging Markets Review, 16, 218-239.
Wang, Y.-H., Lin, C.-T., & Liu, S.-C. (2013). Stock recommendation and market reaction: The empirical analysis in Taiwan. Journal of Statistics and Management Systems, 11(1), 169–181.