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    题名: 內部人出脫持股方式不同對股價影響之實證分析
    An empirical analysis of stock price’s response to different disclosures of insider’s stock sales
    作者: 陳韋仲
    贡献者: 張元晨
    陳韋仲
    关键词: 申報轉讓
    延遲揭露
    事件研究法
    日期: 2017
    上传时间: 2017-07-31 10:57:56 (UTC+8)
    摘要: 本研究將台灣上市上櫃公司內部人出脫持股的方式分為事前申報轉讓以及事前未申報而出脫持股兩種情形，以事件研究法來檢定這兩種出脫持股的作法是否會對公司股價造成不同的影響，實證資料期間涵蓋1991至2008年。實證結果發現，事前申報轉讓消息公告後，事後呈現正的顯著累積異常報酬。事前CAR平均值與事後CAR平均值相比存在正的顯著差異，顯示事前申報轉讓對股價產生顯著較低的正報酬反應。按照實際執行率和申報轉讓原因將事前申報轉讓做分組檢定事後CAR差異，發現非贈與組的事後報酬高於贈與組，且在(0,10)事件期間達到顯著水準，而低執行率的事後報酬顯著低於高執行率組，另一方面，事前未申報出脫持股的消息公告後，事後呈現負的顯著累積異常報酬，事前CAR平均值與事後CAR平均值相比存在正的顯著差異，顯示內部人事前未申報賣股造成股價顯著負的報酬反應。比較推算事前未申報賣股和事前申報轉讓的事後報酬發現，推算事前未申報賣股的CAR與事前申報轉讓的CAR相比存在負的顯著差異，投資人未來選股應避免投資這類型的公司。
    This thesis examines the impacts on stock prices by different disclosures of insider’s stock sales using event study method. Insider sales data are categorized into two disclosure groups: insider transfer trading and insider stealth trading. Empirical data are from 1991 to 2008 and empirical results are shown as follows: Insider transfer trading has positive and significant post-CAR. Pre-CAR of insider transfer trading is positively and significantly different from post-CAR. Classifying insider transfer trading sample by bequest and implemented ratio, results show that non-bequest group has significantly higher post-CAR than bequest group in (0,10) event period and low implemented ratio group has significantly lower post-CAR than high implemented ratio group. Furthermore, insider stealth trading has negative and significant post-CAR. Pre-CAR of insider stealth trading is positively and significantly different from post-CAR. Compared with the stock price impact of both disclosures, insider stealth trading poses a higher negative impact on stock price. Investors should avoid investing this kind of company.
    參考文獻: 林修葳(1999)。市場對內部人申報轉讓持股反應行為之結構性變化，行政院國家科學委員會專題研究計畫成果報告。
    林景春、杜祖實(1996)。關係人轉讓持股異常報酬決定因素之研究，基層金融，(33)，73-90。
    邵允平(2007)。內部人申報持股轉讓對公司股價之影響，國立成功大學會計學研究所碩士論文。
    馬黛、陳建中(1990)。從內部人交易之設限看台灣股市內部關係人交易之利潤，管理科學學報，7(2)，87-102。
    羅庚辛、蔡文賢、許明峰與簡瑞廷(2005)。國內上市公司內部人交易與經營績效及影響交易因素之關係研究，會計評論，(41)，33-51。
    Anand, A., Brown, P., Watson, I., 2002. Directors’ Trades as Signals of Their Firm’s Future Financial Performance: Evidence from the Australian Stock Market. Working paper. University of Western Australia.
    Betzer, A., Gider, J., Metzger, D., Theissen, E., 2011. Strategic Trading and Trade Reporting by Corporate Insiders. Schumpeter Discussion Paper. University of Wuppertal.
    Chang, M., Watson, I., 2013. Unreported Insider Trades: Indicators of Future Earnings and Analyst Forecast Error. Available at SSRN 2196954.
    Chang, M., Watson, I., 2015. Delayed Disclosure of Insider Trades: Incentives for and Indicators of Future Performance?. Pacific-Basin Finance Journal 35, 182-197
    Cheng, S., Nagar, V., Rajan M., 2007. Insider Trades and Private Information: The Special Case of Delayed-disclosure Trades. Review of Financial Studies 20(6), 1833-1864
    Etebari, A., Tourani-Rad, A., Gilbert, A., 2004. Disclosure Regulation and the Profitability of Insider Trading: Evidence from New Zealand. Pacific-Basin Finance Journal 12(5), 479-502
    Finnerty, J. E., 1976b. Insiders and Market Efficiency. The Journal of Finance 31(4), 1141-1148
    Givoly, D., Palmon, D., 1985. Insider Trading and the Exploitation of Insider Information. Journal of Business 58(1), 69-87
    Hamill, P., McIlkenny, P., Opong, K., 2002. Directors’ Share Dealings and Company Financial Performance. Journal of Management and Governance 6, 215-234
    Jaffe, J. F., 1974. Special Information and Insider Trading. Journal of Business 47(3), 410-428
    Lakonishok, J., Lee, I., 2001. Are Insider Trades Informative?. Review of Financial Studies 14(1), 79-111
    Piotroski, J.D., Roulstone, D.T., 2005. Do Insider Trades Reflect Both Contrarian Beliefs and Superior Knowledge About Future Cash Flow Realizations?. Journal of Accounting & Economics 39(1), 55-81
    Scott, J., Peter, Xu., 2004. Some Insider Sales Are Positive Signals. Financial Analysts Journal 60(3), 44-51
    Seyhun, H.N., 1986. Insiders’ Profits, Costs of Trading and Market Efficiency. Journal of Financial Economics 16(2), 189-212
    描述: 碩士
    國立政治大學
    財務管理研究所
    104357008
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104357008
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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