本研究在探討盈餘宣告前後買賣價差以及價差組成份子中資訊不對稱成本之代理變數、存貨成本之代理變數的變化。研究範圍包括民國88年、89年、90年之盈餘宣告事件，研究對象為摩根台股指數其中之33之成分股，其盈餘公告之日期分布於民國89、90年、91年。經實證研究後發現了下列之結論：(1)交易時距在盈餘宣告後第一天開始顯著降低，交易時距縮短，表示市場上因新訊息的注入而對投資人的投資決策有所影響，市場上資訊不對稱的程度則因投資人頻繁交易所散發出的資訊而有所減少。(2)異常交易量在盈餘宣告當天已顯著減少，之後從盈餘宣告兩天後開始顯著減少，此亦表示資訊不對稱的程度從盈餘宣告後日益降低(3)在盈餘宣告當天及盈餘後一天價格波動性有升高的趨勢。(4)週轉率在盈餘宣告後有降低的現象，可能是因為此時資訊已經公開化，使得利用私有資訊交易而獲利的巨額投資人減少誘因在市場上交易的緣故。(5)價差行為在盈餘宣告前後有顯著不同的結果，可能是兩種價差組成份子作用互相抵銷的結果。

This study examines the spread, information cost, and inventory cost behavior around corporate earnings announcement dates. The samples are stocks in MSCI index from 1999-2001 and .Their earnings announcement of the year 1999, 2000, 2001 are laid from 2000-2002.
This study finds that (1) duration shortens significantly from the day after earnings announcement, and information will be released due to investors’ more frequent trading (2) excess volume lowers significantly from earnings announcement day and it means information asymmetry are eased after earnings announcement (3) there is a tendency that volatility will be higher on earnings announcement day and the day after earnings announcement (4) there is a tendency that turnover rate will be lower after earnings announcement (5) spread ‘s behavior doesn’t change significantly after earnings announcement.

一、英文部分
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2. Copeland , T.E and D . Galai ,1983,” Information Effects on the Bid-ask Spread “,Journal of Finance , Vol 38 No 5, 1457-69
3.Clara Vega. ”Private Information and the Stock Market’s Reaction to Earnings Announcements” .University of Pennsylvania econometric seminar.
4.Creedy,W.M.,1987,”Information value and investor wealth: The case of earnings announcements” Journal of Accounting Research 26(Spring):1-27.
5. Daniella Acker Mathew Stalker and Ian Tonks ,Social Science Research Dec 7,2000.European Finance Association August 2000 conference.
6. Easley, D. and M. O’Hara,1987 ,”Price Trade Size and Information in Securities Markets” Journal of Financial Economics, Vol 19,69-90
7.Easton,P.D. and T.S.Harris ,1991 ,Earnings as an explanatory variable for return, Journal of Accounting Research 29,19-36.
8.Handa, P., Schwartz,R.,Tiwari,A.,1998.Determinants of the bid-ask spread in an order driven market. Working paper, The University of Iowa.
9.Hebb,G.,(2000).Commercial Bank Involvement in Equity Underwritings, Saint Mary’s University Working Paper.
10.Ball,R.,1978,Anomalies in relationships between securities’ yields and yield surrogates, Journal of Financial Economics ,June-Sept., 103-126.
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16. Jason Lee and Chul W. Park. “Intraday Stock Price Reactions to Interim-Quarter versus Fourth-Quarter Earnings Announcement”, Journal of Business Finance & Accounting, 27(7)&(8),Sep/ Oct . 2000, 0306-686X
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二、中文部分
1.吳欽杉、劉玉珍”台灣股市進出價差的決定因子”,管理科學學報,民國七十八年六月。
2.劉維琪、黃鉦堤、劉玉珍,”台灣證券市場公司規模與盈餘宣告所含資訊內容之實證研究”,管理科學學報,民國七十九年五月。
3.簡明真,”季盈餘宣告對進出喊價價差的影響”,國立政治大學企業管理研究所未出版論文,民國七十九年六月
4.台灣證券交易所,”我國證券市場改革之研究-我國上市公司財務預測制度之探討”,民國89年9月。
5.陳曉嵐”交易時距與資訊反應之研究—以摩根台股指數期貨為例”,國立成功大學國際企業研究所未出版碩士論文,民國九十年六月。
6.李芸綺,”證券市場在買賣單不均衡下的效率與適存性”,國立中央大學財務管理研究所未出版碩士論文,民國九十年六月。
7.賴佩瑜,”股票股利對流動性影響之實證研究—以台灣市場為例”, 國立中央大學財務管理研究所未出版碩士論文,民國九十年六月。