In Taiwan, firms are requested to announce earnings for the first and fourth quarters within one and four months, respectively, after the fiscal quarters' end. I therefore conjecture that prior to formal announcement, private earnings information have longer time to dissiminate for the fourth quarter than the first quarter, based on the gradual-diffusion-information model developed by Hong and Stein (1999). Furthermore, given the impact of earnings information on stock price, I hypothesize that returns after quarterly earnings announcement are higher for quarters having less time to disseminate private information before formal announcement than returns for quarters with more time. I uncover a pronounced seasonal pattern for post-announcement cumulative returns for hedge portfolios buying stocks having positive earnings surprises and selling stocks with negative earnings surprises, in accordance with the hypothesis. Specifically, cumulative returns for these hedge portfolios are significantly larger following the first quarter than the fourth quarter during the six to 12 months after the earnings announcement. The evidence is robust to risk adjustment. Moreover, this seasonality can be attributed more to the differential performance of stocks having positive earnings surprises than that of stocks having negative surprises. However, the seasonal results need to be explained with caution because the corresponding third quarter stock returns post-announcement are not as strong as those for the first quarters, despite the third quarter announcement also being made within one month after the fiscal quarter's end.

A prior research finds a significant seasonal momentum in the Taiwanese stock market. While intending to explore rationales for the seasonal momentum, this study use a relatively large dataset to verify whether strength of the momentum is different across independent and group firms. Empirical evidence do not report significant differential momentum effect between the two types of firms, inconsistent with prior findings, which reveal more pronounced momentum on independent firms.

The overconfidence and self-attribution model developed by Daniel, Hirshleifer and Subrahmanyam (1998) forecasts a stronger price continuation for low book-to-market stocks. Besides, Hong and Stein's (1999) sluggish information spreading model predicts a higher price continuation for small firms. This study provides evidence that neither predictions can hold in the Taiwanese stock market, inconsistent with the strong confirmation of US evidence. The discrepancy of results in the two markets implies that existence of price continuation might be a global phenomenon, yet the underlying sources may be market specific.

A prior research detects significant seasonal Taiwanese momentum. In this follow-up analysis, I report the seasonal momentum can neither be interpreted by the industy effect suggested by Moskowitz and Grinblatt (1999), nor the market state effect proxy for either overreaction suggested by Daniel et al. (1998) or gradual dessenmination of informationby by Hong and Stein (1999). Note, however, that the industry effect does explain about 40% of the profitability of the Taiwaneses momentum.