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題名 SEC的執法強度對於內線交易的影響—基於不同性質公司的角度
The Effect of SEC Enforcement Intensity on Illegal Insider Trading—Based on different characteristics of firm作者 李炯亮
Li, Jiong-Liang貢獻者 陳聖賢<br>周冠男
Chen, Sheng-Syan<br>Chou, Robin K
李炯亮
Li, Jiong-Liang關鍵詞 內線交易
SEC執法強度
公司宣告
選擇權
Insider trading
SEC enforcement
Announcement
Options日期 2018 上傳時間 1-Oct-2018 12:06:12 (UTC+8) 摘要 本文以美國內線交易的案例為基礎，對2010-2017年由美國證監會所判決的訴訟書中的資料進行了分析，試圖延伸Guercio (2013)做的執法強度對於內部交易的影響。如預期所料，發現在宣告日當天的超額報酬會超過內線交易日的報酬。站在公司性質的角度，在執法強度與內線交易量或價格的呈現負相關的條件下，未計劃（併購）的公司宣告會比有計劃（盈餘）的公司宣告使這個效果更加強烈。此外，對於同等條件下的沒有選擇權交易的股票會比有選擇權交易的股票使這個效果突出。換句話說，內線交易者可以通過選擇有選擇權交易的公司去進行內線交易的活動，從而避開SEC的執法與監督。
Our study makes an analysis of the litigation adjudged by Securities and Exchange Commission (SEC) between 2010 and 2017 on the basis of American insider trading cases, which aims to extend the idea of Guercio (2013) regarding the impact of SEC’s level of enforcement on insider trading. As is expected, the study finds that the abnormal return on the announcement day would outweigh its insider trading day counterpart. With reference to the characteristic of the company and under the circumstance that SEC’s level of enforcement has a negative relationship with either the insider trading volume or the stock price, this relationship would seem stronger in unscheduled（M&A）announcement that that in scheduled (financial report)announcement. Besides, empirical results indicate that this relationship would be stronger for stock without trading stocks than stock that traded with options. In other words, insider traders can avoid SEC enforcement and supervision by buying stocks with traded options to conduct insider trading activities.參考文獻 1.Ausubel, (1990). Insider Trading in a Rational Expectations Economy. The American Economic Review, vol.80(5), 1022-1041.2.Back, (1993). Asymmetric information and options, Review of Financial Studies, vol.6, 435-472.3.Bhattacharya and Matthew Spiegel, (1991). Insiders, Outsiders, and Market Breakdowns. The Review of Financial Studies, vol.4(2), 255-282.4.Black, F, (1975). Facts and Fantasy in the Use of Options. Financial Analysis Journal, vol.31(4), 36-41.5.Chae, (2005). Trading Volume, Information Asymmetry, and Timing Information. The Journal of Finance, vol.60(1), 413-442.6.Chakravarty, Huseyin Gulen and Stewart Mayhew, (2004). Informed Trading in Stock and Option Markets. The Journal of Finance, vol.59(3), 1235-1257.7.Chang, Pei-Fang Hsieh and Yaw-Huei Wang, (2010). Information content of options trading volume for future volatility: Evidence from the Taiwan options market. Journal of Banking & Finance, vol.34(1), 174-183.8.Cherian and Robert A. Jarrow, (1998). Options market, self-fulfilling prophecies, and implied volatilities. Review of Derivatives Research, vol.2(1), 5-37.9.Chern, Kishore Tandon and Susana Yu and Gwendolyn Webb, (2008). The information content of stock split announcements: Do options matter?. Journal of Banking & Finance, vol.32(6), 930-946.10.Easley, Maureen O’Hara and P.S. Srinivas, (1998). Option Volume and Stock Prices: Evidence on Where Informed Traders trade, vol.53(2), 431-465.11.Easterbrook, (1981). Insider Trading, Secret Agents, Evidentiary Privileges, and the Production of Information. The Supreme Court Review, vol. 1981, 309-365.12.Foster and S. Viswanathan, (1993). Variations in Trading Volume, Return Volatility and Trading Costs: Evidence on Recent Price Formation Models. The Journal of Finance, vol.48(1), 187-211.13. Guercio, Elizabeth R. Odders-White & Mark J. Ready, (2013). The Effect of SEC Enforcement Intensity on Illegal Insider Trading. University of Oregon, Working paper.14.Guercio, Elizabeth R. OddersWhite, and Mark J. Ready, (2017). The Deterrent Effect of the Securities and Exchange Commission’s Enforcement Intensity on Illegal Insider Trading: Evidence from Runup before News Events, The Journal of Law and Economics, vol. 60(2), 269-307.15.Hagerty, (1992). Insider Trading and the Efficiency of Stock Prices. The RAND Journal of Economics, vol.23(1), 106-122.16.John, Apoorva Koticha and Marti. G. Subrahmanyam and Ranga Narayanan, (2003). Margin Rules, Informed Trading in Derivatives, and Price Dynamics. EFA 2003 Annual Conference Paper, vol.508, 1-33.17.Kumar, Atulya Sarin and Kuldeep Shastri, (1995). The impact of index options on the underlying stocks: The evidence from the listing of Nikkei Stock Average options. Pacific-Basin Finance Journal, vol.3(2-3), 303-317.18.Kyle, (1985). Continuous Auctions and Insider Trading. Econometrica, vol.53(6), 1315-1335.19.Lee and Cheong H. Yi (2001). Trade Size and Information-Motivated Trading in the Options and Stock Markets. Journal of Financial and Quantitative Analysis, vol.36(4), 485-501.20.Macey, (2010). The distorting incentives facing the U.S. Securities and Exchange Commission. Harvard Journal of Law & Public Policy. Expanded Academic ASAP (assessed August 21, 2018).21.Manove, (1989). The Harm from Insider Trading and Informed Speculation. The Quarterly Journal of Economics, vol.104(4), 823-845.22. Mayhew, (1995). Implied Volatility. Financial Analysts Journal, vol.51(4), 8-20.23.Meulbroek, (1992). An Empirical Analysis of Insider Trading. The Journal of Finance, vol.47(5), 1661-1699.24.Ni, Jun Pan and Allen M. Poteshman, (2008). Volatility Information Trading in the Option Market. The Journal of Finance, vol.63(3), 1059-1091.25.Shin, (1991). Optimal Betting Odds Against Insider Traders. The Economic Journal, vol.101(408), 1179-1185. 描述 碩士
國立政治大學
財務管理學系
1053570371資料來源 http://thesis.lib.nccu.edu.tw/record/#G1053570371 資料類型 thesis dc.contributor.advisor 陳聖賢<br>周冠男 zh_TW dc.contributor.advisor Chen, Sheng-Syan<br>Chou, Robin K en_US dc.contributor.author (Authors) 李炯亮 zh_TW dc.contributor.author (Authors) Li, Jiong-Liang en_US dc.creator (作者) 李炯亮 zh_TW dc.creator (作者) Li, Jiong-Liang en_US dc.date (日期) 2018 en_US dc.date.accessioned 1-Oct-2018 12:06:12 (UTC+8) - dc.date.available 1-Oct-2018 12:06:12 (UTC+8) - dc.date.issued (上傳時間) 1-Oct-2018 12:06:12 (UTC+8) - dc.identifier (Other Identifiers) G1053570371 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/120232 - 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) 1053570371 zh_TW dc.description.abstract (摘要) 本文以美國內線交易的案例為基礎，對2010-2017年由美國證監會所判決的訴訟書中的資料進行了分析，試圖延伸Guercio (2013)做的執法強度對於內部交易的影響。如預期所料，發現在宣告日當天的超額報酬會超過內線交易日的報酬。站在公司性質的角度，在執法強度與內線交易量或價格的呈現負相關的條件下，未計劃（併購）的公司宣告會比有計劃（盈餘）的公司宣告使這個效果更加強烈。此外，對於同等條件下的沒有選擇權交易的股票會比有選擇權交易的股票使這個效果突出。換句話說，內線交易者可以通過選擇有選擇權交易的公司去進行內線交易的活動，從而避開SEC的執法與監督。 zh_TW dc.description.abstract (摘要) Our study makes an analysis of the litigation adjudged by Securities and Exchange Commission (SEC) between 2010 and 2017 on the basis of American insider trading cases, which aims to extend the idea of Guercio (2013) regarding the impact of SEC’s level of enforcement on insider trading. As is expected, the study finds that the abnormal return on the announcement day would outweigh its insider trading day counterpart. With reference to the characteristic of the company and under the circumstance that SEC’s level of enforcement has a negative relationship with either the insider trading volume or the stock price, this relationship would seem stronger in unscheduled（M&A）announcement that that in scheduled (financial report)announcement. Besides, empirical results indicate that this relationship would be stronger for stock without trading stocks than stock that traded with options. In other words, insider traders can avoid SEC enforcement and supervision by buying stocks with traded options to conduct insider trading activities. en_US dc.description.tableofcontents 第一章 緒論 11. 研究背景與動機 12. 研究目的 23.研究架構與流程 3第二章 文獻回顧與探討 41.內線交易的定義和特點 42.內線交易對資訊效率的影響 53.選擇權對內線交易的影響 64.宣告的種類對內部交易的影響 75.文獻總結與假說建立 8第三章 研究方法 101.樣本來源與研究區間 102.模型建立 113.參數的衡量與定義 134. 參數定義表 16第四章 實證結果分析 171.敘述統計量 172.回歸結果分析 21第五章 研究結論與未來建議 251.研究結論 252.研究限制與未來建議 26第六章 參考文獻 27 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1053570371 en_US dc.subject (關鍵詞) 內線交易 zh_TW dc.subject (關鍵詞) SEC執法強度 zh_TW dc.subject (關鍵詞) 公司宣告 zh_TW dc.subject (關鍵詞) 選擇權 zh_TW dc.subject (關鍵詞) Insider trading en_US dc.subject (關鍵詞) SEC enforcement en_US dc.subject (關鍵詞) Announcement en_US dc.subject (關鍵詞) Options en_US dc.title (題名) SEC的執法強度對於內線交易的影響—基於不同性質公司的角度 zh_TW dc.title (題名) The Effect of SEC Enforcement Intensity on Illegal Insider Trading—Based on different characteristics of firm en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.Ausubel, (1990). Insider Trading in a Rational Expectations Economy. The American Economic Review, vol.80(5), 1022-1041.2.Back, (1993). Asymmetric information and options, Review of Financial Studies, vol.6, 435-472.3.Bhattacharya and Matthew Spiegel, (1991). Insiders, Outsiders, and Market Breakdowns. The Review of Financial Studies, vol.4(2), 255-282.4.Black, F, (1975). Facts and Fantasy in the Use of Options. Financial Analysis Journal, vol.31(4), 36-41.5.Chae, (2005). Trading Volume, Information Asymmetry, and Timing Information. The Journal of Finance, vol.60(1), 413-442.6.Chakravarty, Huseyin Gulen and Stewart Mayhew, (2004). Informed Trading in Stock and Option Markets. The Journal of Finance, vol.59(3), 1235-1257.7.Chang, Pei-Fang Hsieh and Yaw-Huei Wang, (2010). Information content of options trading volume for future volatility: Evidence from the Taiwan options market. Journal of Banking & Finance, vol.34(1), 174-183.8.Cherian and Robert A. Jarrow, (1998). Options market, self-fulfilling prophecies, and implied volatilities. Review of Derivatives Research, vol.2(1), 5-37.9.Chern, Kishore Tandon and Susana Yu and Gwendolyn Webb, (2008). The information content of stock split announcements: Do options matter?. Journal of Banking & Finance, vol.32(6), 930-946.10.Easley, Maureen O’Hara and P.S. Srinivas, (1998). Option Volume and Stock Prices: Evidence on Where Informed Traders trade, vol.53(2), 431-465.11.Easterbrook, (1981). Insider Trading, Secret Agents, Evidentiary Privileges, and the Production of Information. The Supreme Court Review, vol. 1981, 309-365.12.Foster and S. Viswanathan, (1993). Variations in Trading Volume, Return Volatility and Trading Costs: Evidence on Recent Price Formation Models. The Journal of Finance, vol.48(1), 187-211.13. Guercio, Elizabeth R. Odders-White & Mark J. Ready, (2013). The Effect of SEC Enforcement Intensity on Illegal Insider Trading. University of Oregon, Working paper.14.Guercio, Elizabeth R. OddersWhite, and Mark J. Ready, (2017). The Deterrent Effect of the Securities and Exchange Commission’s Enforcement Intensity on Illegal Insider Trading: Evidence from Runup before News Events, The Journal of Law and Economics, vol. 60(2), 269-307.15.Hagerty, (1992). Insider Trading and the Efficiency of Stock Prices. The RAND Journal of Economics, vol.23(1), 106-122.16.John, Apoorva Koticha and Marti. G. Subrahmanyam and Ranga Narayanan, (2003). Margin Rules, Informed Trading in Derivatives, and Price Dynamics. EFA 2003 Annual Conference Paper, vol.508, 1-33.17.Kumar, Atulya Sarin and Kuldeep Shastri, (1995). The impact of index options on the underlying stocks: The evidence from the listing of Nikkei Stock Average options. Pacific-Basin Finance Journal, vol.3(2-3), 303-317.18.Kyle, (1985). Continuous Auctions and Insider Trading. Econometrica, vol.53(6), 1315-1335.19.Lee and Cheong H. Yi (2001). Trade Size and Information-Motivated Trading in the Options and Stock Markets. Journal of Financial and Quantitative Analysis, vol.36(4), 485-501.20.Macey, (2010). The distorting incentives facing the U.S. Securities and Exchange Commission. Harvard Journal of Law & Public Policy. Expanded Academic ASAP (assessed August 21, 2018).21.Manove, (1989). The Harm from Insider Trading and Informed Speculation. The Quarterly Journal of Economics, vol.104(4), 823-845.22. Mayhew, (1995). Implied Volatility. Financial Analysts Journal, vol.51(4), 8-20.23.Meulbroek, (1992). An Empirical Analysis of Insider Trading. The Journal of Finance, vol.47(5), 1661-1699.24.Ni, Jun Pan and Allen M. Poteshman, (2008). Volatility Information Trading in the Option Market. The Journal of Finance, vol.63(3), 1059-1091.25.Shin, (1991). Optimal Betting Odds Against Insider Traders. The Economic Journal, vol.101(408), 1179-1185. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.025.2018.F07 en_US
