國內上市公司內部人交易與經營績效及影響交易因素關係之研究

Abstract

本研究以民國82年1月1日至91年12月31日間，台灣上市公司的內部人交易資料為樣本，探討內部人交易與交易復股票異常報酬，交易後公司的經營績效及影響內部人交易型態之因素。研究結果發現內部人買入交易後，在短期三個月內具有正的股票異常報酬，而內部人賣出交易在長期下具有負的股票異常報酬。在內部人交易復公司經營績效表現，則買入組表現較賣出組為佳。此外。當大規模公司面臨過去的經營績效不佳及成長機會低的情況下，若市場景氣呈現多頭趨勢時，則內部人買進交易復公司的經營績效會轉好。最後，有關內部人交易型態的影響因素方面，本文發現當公司過去的經營績效較好、空頭景氣、股價相對低點、傳統產業、規模愈大及前一年度股價負異常報酬愈顯著時，內部人較傾向於買進交易。

This paper investigates the relationship between insider trading and abnormal stock returns and post-trading operating performance, and explores factors associated with the types of insider trading. We find that, following insiders buying, abnormal stocks returns are positive and last for three months, while insiders selling results in negative abnormal returns in the long run. As for post-trading operating performance, companies with insiders buying tend to out-perform those with insiders selling. Following insiders buying in the initial stage of bull markets, companies tend to have better subsequent operating performance when large companies having poor previous operating performance and less growth opportunities. Finally, insiders tend to practice insiders buying for companies having good previous operating performance, large sizes, relative low stock prices, and negative abnormal stock returns in previous one year. We also find companies of traditional industries and during bear markets are more likely to have insider buying trading.