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題名 公司治理差異與內部人出脫持股方式對股價影響之實證分析
An Empirical Analysis of Stock Price’s Response to the Disclosures of Insider’s Stock Sales under Different Types of Corporate Governance作者 龍楷文
Lung, Kai-Wen貢獻者 張元晨
Chang, Yuan-Chen
龍楷文
Lung, Kai-Wen關鍵詞 事件研究法
內部人交易
申報轉讓
延遲揭露交易
Event study
Insider trading
Declaration of transfer
Delayed disclosure日期 2018 上傳時間 12-Jul-2018 13:36:57 (UTC+8) 摘要 本研究以事件研究法檢定台灣股市中內部人出脫持股行為對股價累積異常報酬（以下簡稱CAR）之影響，將內部人出脫持股方式分為事前申報轉讓以及事前未申報而出脫持股兩類，樣本期間為1991年1月至2017年5月。實證結果發現，在事前申報轉讓事件中，轉讓方式對CAR之影響有顯著差別，若將事前申報分為贈與類與非贈與類，可以發現贈與類的事前CAR皆不顯著異於0；非贈與類的事前CAR為顯著正值。且投資人對不同類型的申報轉讓事件有不同反應，其對於贈與類多解讀為未來股價正面的訊號；但非贈與類則抱持未來股價負面的看法。另一方面，事前未申報而出脫持股事件前後的CAR皆為顯著負值且事件日前後之CAR短時間內未有顯著差異，顯示此類型的事件隱含股價表現較差的訊號以及投資人並未因為事前未申報出脫持股事件而調整對於股價的預期。若再進一步依減少股數的多寡分類檢定後，可以發現即使是少量的未申報出脫持股，其CAR表現仍為顯著負值，顯示投資人不能因為減少股數少而忽視其對股價的影響性。最後，透過不同公司治理類型，將樣本公司依照股權控制型態分類，可以發現單一家族主導及專業經理人治理類型的公司內部人，在有事前未申報而出脫持股的行為時，其隱含股價負面的訊號比起其他類型公司更為強烈，因此投資人應特別關注這兩類控制型態公司是否有事前未申報而出脫持股的行為。
This study investigates the effects of insider trading on stock returns in Taiwan’s stock market. We separated our insider trading sample into disclosure and non-disclosure groups. Using data from Taiwan’s stock market between 1991/01/01 and 2017/05/31, our empirical results are as follows: We find different reasons of insider reported trading lead to different stock market reactions. We separate insider trading into dona-tion-between-individual versus non-donation-between-individual types and find that there are significant positive pre-CAR for donation-related trading and insignificant pre-CAR for non-donation-related trading. Furthermore, investors also take different reactions between donation-related trading and non-donation-related trading. They believe donation-related trading implied stock price will increase in the future, but will decrease if insider makes non-donation-related trading. We classify unreported trading under large or small shares decreased group by the number of shares changes. In both groups, we find there are significant negative pre-CAR and post-CAR and in-significant different between pre and post-CARs. Therefore, investors should be on alert of the impact on stock price even if the number of shares sold is small. Finally, we divide insider trading events into four categories with respect to different control types. The results show that the impact on stock price is most negative when fami-ly-own or professional manager governance enterprises’ insiders make unreported trading. Hence, investors should pay more attention to unreported tradings by fami-ly-own or professional manager governance enterprises.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。 陳韋仲（2017）。內部人出脫持股方式不同對股價影響之實證分析，國立政治大學財務管理研究所碩士論文。 陳獻儀（1992）。台灣股市內部人交易與內部消息關係之實證研究，國立台灣 大學財務金融研究所碩士論文。 張燕翎 （2001）。內部人交易策略與股票價量之關係研究，國立政治大學國際經營與貿易研究所碩士論文。 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. Carol, A.M. and W. Christinei(1998),"Voluntary Disclosure, Information Asymmetry and Insider Selling through Secondary Equity Offerings", Contemporary Accounting Research 15, 505-537 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 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
財務管理學系
105357023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357023 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan-Chen en_US dc.contributor.author (Authors) 龍楷文 zh_TW dc.contributor.author (Authors) Lung, Kai-Wen en_US dc.creator (作者) 龍楷文 zh_TW dc.creator (作者) Lung, Kai-Wen en_US dc.date (日期) 2018 en_US dc.date.accessioned 12-Jul-2018 13:36:57 (UTC+8) - dc.date.available 12-Jul-2018 13:36:57 (UTC+8) - dc.date.issued (上傳時間) 12-Jul-2018 13:36:57 (UTC+8) - dc.identifier (Other Identifiers) G0105357023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118605 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357023 zh_TW dc.description.abstract (摘要) 本研究以事件研究法檢定台灣股市中內部人出脫持股行為對股價累積異常報酬（以下簡稱CAR）之影響，將內部人出脫持股方式分為事前申報轉讓以及事前未申報而出脫持股兩類，樣本期間為1991年1月至2017年5月。實證結果發現，在事前申報轉讓事件中，轉讓方式對CAR之影響有顯著差別，若將事前申報分為贈與類與非贈與類，可以發現贈與類的事前CAR皆不顯著異於0；非贈與類的事前CAR為顯著正值。且投資人對不同類型的申報轉讓事件有不同反應，其對於贈與類多解讀為未來股價正面的訊號；但非贈與類則抱持未來股價負面的看法。另一方面，事前未申報而出脫持股事件前後的CAR皆為顯著負值且事件日前後之CAR短時間內未有顯著差異，顯示此類型的事件隱含股價表現較差的訊號以及投資人並未因為事前未申報出脫持股事件而調整對於股價的預期。若再進一步依減少股數的多寡分類檢定後，可以發現即使是少量的未申報出脫持股，其CAR表現仍為顯著負值，顯示投資人不能因為減少股數少而忽視其對股價的影響性。最後，透過不同公司治理類型，將樣本公司依照股權控制型態分類，可以發現單一家族主導及專業經理人治理類型的公司內部人，在有事前未申報而出脫持股的行為時，其隱含股價負面的訊號比起其他類型公司更為強烈，因此投資人應特別關注這兩類控制型態公司是否有事前未申報而出脫持股的行為。 zh_TW dc.description.abstract (摘要) This study investigates the effects of insider trading on stock returns in Taiwan’s stock market. We separated our insider trading sample into disclosure and non-disclosure groups. Using data from Taiwan’s stock market between 1991/01/01 and 2017/05/31, our empirical results are as follows: We find different reasons of insider reported trading lead to different stock market reactions. We separate insider trading into dona-tion-between-individual versus non-donation-between-individual types and find that there are significant positive pre-CAR for donation-related trading and insignificant pre-CAR for non-donation-related trading. Furthermore, investors also take different reactions between donation-related trading and non-donation-related trading. They believe donation-related trading implied stock price will increase in the future, but will decrease if insider makes non-donation-related trading. We classify unreported trading under large or small shares decreased group by the number of shares changes. In both groups, we find there are significant negative pre-CAR and post-CAR and in-significant different between pre and post-CARs. Therefore, investors should be on alert of the impact on stock price even if the number of shares sold is small. Finally, we divide insider trading events into four categories with respect to different control types. The results show that the impact on stock price is most negative when fami-ly-own or professional manager governance enterprises’ insiders make unreported trading. Hence, investors should pay more attention to unreported tradings by fami-ly-own or professional manager governance enterprises. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景 1 第二節 研究架構 4 第二章 文獻回顧 5 第一節 內部人定義與相關法條規定 5 第二節 內部人交易對股價異常報酬研究 5 第三節 申報轉讓對股價異常報酬研究 7 第四節 延遲揭露交易對股價異常報酬研究 7 第五節 研究假說 9 第三章 研究方法 11 第一節 資料來源 11 第二節 樣本選取 11 第三節 模型設定 13 第四章 實證結果 17 第一節 樣本數分布 17 第二節 內部人申報轉讓對累積異常報酬變化 18 第三節 內部人未申報而出脫持股對累積異常報酬變化 21 第四節 檢定不同控制型態下累積異常報酬變化 25 第五章 結論 31 第一節 研究總結 31 第二節 後續建議 32 參考文獻 34 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357023 en_US dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) 內部人交易 zh_TW dc.subject (關鍵詞) 申報轉讓 zh_TW dc.subject (關鍵詞) 延遲揭露交易 zh_TW dc.subject (關鍵詞) Event study en_US dc.subject (關鍵詞) Insider trading en_US dc.subject (關鍵詞) Declaration of transfer en_US dc.subject (關鍵詞) Delayed disclosure en_US dc.title (題名) 公司治理差異與內部人出脫持股方式對股價影響之實證分析 zh_TW dc.title (題名) An Empirical Analysis of Stock Price’s Response to the Disclosures of Insider’s Stock Sales under Different Types of Corporate Governance en_US dc.type (資料類型) thesis en_US dc.relation.reference (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。 陳韋仲（2017）。內部人出脫持股方式不同對股價影響之實證分析，國立政治大學財務管理研究所碩士論文。 陳獻儀（1992）。台灣股市內部人交易與內部消息關係之實證研究，國立台灣 大學財務金融研究所碩士論文。 張燕翎 （2001）。內部人交易策略與股票價量之關係研究，國立政治大學國際經營與貿易研究所碩士論文。 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. Carol, A.M. and W. Christinei(1998),"Voluntary Disclosure, Information Asymmetry and Insider Selling through Secondary Equity Offerings", Contemporary Accounting Research 15, 505-537 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 Seyhun, H.N., 1986. Insiders’ Profits, Costs of Trading and Market Efficiency. Journal of Financial Economics 16(2), 189-212 zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.016.2018.F07 -
