本研究探討投資人在牛市與熊市期間對盈餘訊息之反應是否不同。依據Gervais and Odean (2001), Peng and Xiong (2006), Tverskyand Kahneman (1974) 及Thaler (1985) 之理論, 我們預期: 在牛市期間, 市場氣氛較為樂觀,投資人信心較強,對壞盈餘訊息之關注度
較低, 以及牛市期間投資績效較佳, 在混合利得及損失之心理帳戶中, 壞盈餘訊息所致之損失相對較小, 使得投資人對壞盈餘訊息之反應較慢。反之,在熊市期間,投資人對好盈餘訊息的反應較慢。我們運用1996至2009年期間台灣股市所有上市公司17,000筆盈餘資料進行實證, 結果與預期一致: 台灣股市在牛市期間股價對壞盈餘訊息之反應較慢,在熊市期間股價對好盈餘訊息之反應較慢。

This research aims to explore whether investors have different responses to earnings news in a bull market and a bear market. Based on the theories of Gervais andOdean (2001), Peng and Xiong (2006), Tversky and Kahneman (1974), and Thaler (1985), we anticipate that investors do respond differently.In the bull market, investors have a slower response to bad earning news because investors, having more confidence in the prosperous market,pay less attention to the bad earnings news, and also because in the bull market where the investors have better investment performance, the loss caused by the bad earning news is comparatively small in their mental account. In the bear market, however, the investors have slower responses to good earnings news. The findings of our research confirm our expectations: investors in Taiwan’s stock market respond more slowly to bad earnings news in a bull market; they respond more slowly to good earnings news in a bear market.