政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30025

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30025

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/30025

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/30025

题名:	Insider Stockholdings: New Light on Rational Expectation Theory
作者:	胡翔棻
贡献者:	林修葳胡聯國胡翔棻
关键词:	內部人持股理性預期理論訊號資訊不對稱 Insider Stockholdings Rational expectation theory Signal Information asymmetry
日期:	2003
上传时间:	2009-09-11 17:05:12 (UTC+8)
摘要:	We investigate the trading strategy of the insider and propose two models to describe the insider’s behavior. Comparing with previous studies, we add insider stockholdings as a variable to the extension of information asymmetry. In our setting with information asymmetry between outside investors and the insiders, the insiders could obtain more inside information via increasing their stockholdings. When the insider with large stockholdings purchases more shares, outside investors would take this as a positive signal that the insiders regard the performance of the company in the future as optimistic. On the other hand, when the insider stockholdings is large, outsiders would worry that inside trading may become more. The insider would deliberate upon the quantities traded at period one and two, which have different impact in stock price. If the insider buys more stocks at period one, he could improve his information precision. However, if the insider buys large stocks, the market makers would take into account the insider’s function of information precision and thus the insider may impact on the stock price. Therefore the insider would evaluate market makers’ pricing rule. Since increasing stockholdings enhances precision information, intuitively, earlier stage the insider submits a large order. Nonetheless, our study shows that when the insider stockholding is extremely large, then the increasing of information precision is limited because the information precision is increasing with insider stockholding at a decreasing rate. Besides, when the insider stockholdings is large enough at period one, he would place a small order at period two.
參考文獻:	[1] Kyle, “Continuous auctions and insider trading,” Econometrica, November, 1985, 1315-1335. [2] Grossman and Stiglitz, “On the impossibility of informationally efficient markets,” America Economic Review, June 1980, 393-408. [3] Leland and Pyle, “Informational asymmetries, financial structure, and financial intermediation,” Journal of Finance, 32, 371-388. [4] Shleifer and Vishny, “Large shareholders and Corporate control,” Journal of Political Economy, 1986, 94, 461-488.
描述:	碩士國立政治大學國際經營與貿易研究所 91351025 92
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0091351025
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

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