每股盈餘、石油價格或是消費者信心指數，對於股票報酬率都有一定程度的關聯，但由於先前文章大多只有研究股票報酬率本身的星期效果，並沒有著重在其他變數的星期效果對股票報酬率之影響。因此本文欲以美國為研究對象，探討每股盈餘在宣告日當天、石油價格變動率，以及消費者信心指數分別對股票報酬率的影響，並加入星期效應之觀察。

本文首先對每股盈餘、石油價格和消費者信心指數的相關研究進行整理；接著透過對文獻研究方法與模型設定的回顧，借鑒參考基礎上提出本文的模型設定。使用Compustat資料庫取得美國各產業2000-2009年資料，分別對每股盈餘、石油價格變動率和消費者信心指數與股票報酬率的關係進行實證研究，最後對實證結果進行分析解釋。

本文實證結果顯示，每股盈餘之宣告日為星期一與星期五時，廠商每股盈餘對廠商的股票報酬率有非常顯著的正向關係，這表示廠商股票報酬率可能受到星期效果影響，且每股盈餘的上升對於廠商有提高股票報酬率。金融危機爆發前，石油價格變動率與股票報酬率並沒有太顯著的關係存在，而在金融危機爆發後，石油價格變動率對股票報酬率是有顯著的正向關係存在。另外，消費者信心指數的上升對於廠商有提高股票報酬率的效果。

This study mainly examined the relationship between earnings per share, the oil price change rate, consumer confidence index and stock returns, also adding the observation of the week effect.

We use the data of US industry from 2000-2009 to conduct empirical research.

The result shows that there is a positive relationship between earnings per share and stock returns on Monday and Friday. Before the financial crisis, there is no significant relationship between the oil price change rate and stock returns. However, after the financial crisis, there is a significant positive relationship between the oil price change rate and stock returns. Moreover, the increase of consumer confidence index will increase stock returns for the manufacturers.

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