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題名 機會主義與非機會主義內部人交易和投資者關注
Decoding opportunistic and non-opportunistic insider trades with investor attention作者 傅冠詠
Fu, Guan-Yong貢獻者 林靖庭
Lin, Ching-Ting
傅冠詠
Fu, Guan-Yong關鍵詞 內部人交易
投資人有限注意力
投機交易者
常規交易者
事件研究法
insider trades
limit attention
opportunists
regular trades
event study日期 2021 上傳時間 1-Jul-2021 17:51:07 (UTC+8) 摘要 本文分析不同交易動機的內部人在不同市場關注程度公司裡進行股票買賣的獲利表現。內部人交易在未來一年可帶來正報酬。當所處的公司為市場低關注者，內部人買進後三天超額報酬為1.73%，一年後達到16.69%，顯著高於受市場高關注的公司。本文進一步依照內部人交易動機，將內部人分成機會交易者與非機會交易者。結果顯示，機會交易者在關注低公司買進股票後三天超額報酬為1.79%，一年後的超額報酬則達到17.75%。機會主義的內部人在關注低的公司中，更有空間獲取更多內部資訊，並藉由內部交易來獲取更高的報酬。
We analyze the profitability of insider trade in the low-attention and high-attention firms. Insider buy trade can make positive profits and the profits last for one year. In the low-attention firms, the insider buy trades receive 1.73% in the 3-day period and 16.69% excess return for one year. The profits are significantly higher than insider buys in the high-attention firms. We further distinguish insiders into opportunists or non-opportunists by their trading incentives. The results show that opportunistic insiders in the low-attention firms make 1.79% in the 3-day period and 17.75% excess return for one year. We provide an insight for the authority and the investors. Opportunistic traders in the low-attention firms where allow them to have more space to do the opportunistic trades obtain higher levels of inside information from the companies and return from the trades.參考文獻 Alia, U., and Hirshleifer, D.,2017, Opportunism as a Firm and Managerial Trait: Predicting Insider Trading Profits and Misconduct. Journal of financial economics 126, 490–515.Alldredge, D., and Cicero, D., 2015, Attentive Insider Trading. Journal of Financial Economics 115, 84–101.Barber, B., and Odean, T., 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21, 785–818.Bettis, C., Vickery, D., and Donn W. Vickery, 1997, Mimickers of corporate insiders who make large-volume trades. Financial Analysts Journal 53, 57–66.Biggerstaff, L., Cicero, D., and Wintoki, M.B., 2020, Insider trading patterns. Journal of Corporate Finance 64.Clarke, J., Dunbar, C., and Kahl, K., 2001. Long-run performance and insider trading in completed and canceled seasoned equity offerings. Journal of Financial and Quantitative Analysis 36, 415–430.Cohen, L., and Frazzini, A., 2008. Economic links and predictable returns. Journal of Finance 63,1977–2011.Cohen, L., and Lou, D., 2012. Complicated firms. Journal of Financial Economics 104, 383–400.Cohen, L., Malloy, C., and Pomorski, L., 2012, Decoding Inside Information. The Journal of finance (New York) 67, 1009–1043.Da, Z., Gurun, U.G., and Warachka, M., 2014, Frog in the Pan: Continuous Information and Momentum. The Review of financial studies 27, 2171–2218.Da, Z., J. Engelberg, J., and Gao, P., 2011. In search of attention. Journal of Finance 66, 1461–1499.Dai, L., Fu, R., Kang, JK. and Lee, I., 2016, Corporate governance and the profitability of insider trading. Journal of Corporate Finance 40, 235-253.Daniel, A., and Hasler, M., 2015, Investor Attention and Stock Market Volatility. The Review of Financial Studies 28, 33–72.Dechow PM., Lawrence, A., and Ryans, J.P, 2016, SEC Comment Letters and Insider Sales. Accounting Review 91(2), 401-439.DellaVigna, S., and Pollet, J. M., 2009. Investor inattention and Friday earnings announcements. Journal of Finance 64, 709–749.Elliott, J., Morse, D., Richardson, G., 1984. The association between insider trading and information announcements. RAND Journal of Economics 15, 521–536.Fidrmuc, J., Goergen, M., Renneboog, L., 2006. Insider trading, news releases, and ownership concentration. Journal of Finance 61, 2931–2973.Hirshleifer, D., and Teoh, S. H., 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 36, 337–86.Hirshleifer, D., Lim, S., and Teoh, S. H., 2009. Driven to distraction Extraneous events and underreaction to earnings news. Journal of Finance 63, 2287–2323.Hirshleifer, D., Lim, S., and Teoh, S. H., 2011. Limited investor attention and stock market misreactions to accounting information. Review of Asset Pricing Studies 1, 35–73.Huberman, G., and Regev, R., 2001. Contagious speculation and a cure for cancer. Journal of Finance 56, 387–396.Jaffe, J., 1974. Special information and insider trading. Journal of Business 47, 410–428.Jagolinzer, A., 2009. SEC rule 10b5-1 and insiders strategic trade. Management Science 65, 224–239.Jeng, L., Metrick, A., Zeckhauser, R., 2003. Estimating the returns to insider trading: a performance-evaluation perspective. Review of Economics and Statistics 85, 453–471.Jenter, D., 2005. Market timing and managerial portfolio decisions. Journal of Finance 60, 1903–1949.Kahle, K., 20 0 0. Insider trading and the long-run performance of new security issues. Journal of Corporate Finance 6, 25–53.Ke, B., Huddart, S., Petroni, K., 2003. What insiders know about future earnings and how they use it: evidence from insider trades. Journal of Accounting and Economics 35, 315–346.Kelly, P., 2018, The Information Content of Realized Losses, The Review of Financial Studies 31, 2468–2498.Klibanoff, P., Lamont, O., and Wizman, T. A., 1998. Investor reaction to salient news in closed-end country funds. The Journal of finance 53, 673–699.Lakonishok, J., Lee, I., 2001. Are insiders’ trades informative? Review of Financial Studies 14, 79–111.Lin, J., Howe, J., 1990. Insider trading in the OTC market. Journal of Finance 45, 1273–1284.Lorie, J., Niederhoffer, V., 1968. Predictive and statistical properties of insider trading. Journal of Law and Economics 11, 35–54.Marin, J., Olivier, J., 2008. The dog that did not bark: insider trading and crashes. Journal of Finance 63, 2429–2476.Niessner, M., 2015. Strategic disclosure timing and insider trading. Yale University, New Haven, CT Unpublished working paper.Peng, L., and Xiong, W., 2006. Investor attention, overconfidence and category learning. Journal of Financial Economics 80, 563–602.Piotroski, J., Roulstone, D., 2005. Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realizations? Journal of Accounting and Economics 39, 55–81.Scott, J., Xu, P., 2004. Some insider sales are positive signals. Financial Analysts Journal 60, 44–51.Seyhun, H., 1986. Insiders’ profits, costs of trading, and market efficiency. Journal of Financial Economics 61, 189–212.Seyhun, H., 1998. Investment Intelligence from Insider Trading. MIT Press, Cambridge, MA.Tirapat, S., and Visaltanachoti, N., 2013, Opportunistic insider trading, Pacific-Basin Finance Journal 21, 1046-1061.Wu, W., 2016. Information asymmetry and insider trading. University of Chicago, Chicago, IL Unpublished working paper. 描述 碩士
國立政治大學
金融學系
108352004資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352004 資料類型 thesis dc.contributor.advisor 林靖庭 zh_TW dc.contributor.advisor Lin, Ching-Ting en_US dc.contributor.author (Authors) 傅冠詠 zh_TW dc.contributor.author (Authors) Fu, Guan-Yong en_US dc.creator (作者) 傅冠詠 zh_TW dc.creator (作者) Fu, Guan-Yong en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-Jul-2021 17:51:07 (UTC+8) - dc.date.available 1-Jul-2021 17:51:07 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2021 17:51:07 (UTC+8) - dc.identifier (Other Identifiers) G0108352004 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135937 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 108352004 zh_TW dc.description.abstract (摘要) 本文分析不同交易動機的內部人在不同市場關注程度公司裡進行股票買賣的獲利表現。內部人交易在未來一年可帶來正報酬。當所處的公司為市場低關注者，內部人買進後三天超額報酬為1.73%，一年後達到16.69%，顯著高於受市場高關注的公司。本文進一步依照內部人交易動機，將內部人分成機會交易者與非機會交易者。結果顯示，機會交易者在關注低公司買進股票後三天超額報酬為1.79%，一年後的超額報酬則達到17.75%。機會主義的內部人在關注低的公司中，更有空間獲取更多內部資訊，並藉由內部交易來獲取更高的報酬。 zh_TW dc.description.abstract (摘要) We analyze the profitability of insider trade in the low-attention and high-attention firms. Insider buy trade can make positive profits and the profits last for one year. In the low-attention firms, the insider buy trades receive 1.73% in the 3-day period and 16.69% excess return for one year. The profits are significantly higher than insider buys in the high-attention firms. We further distinguish insiders into opportunists or non-opportunists by their trading incentives. The results show that opportunistic insiders in the low-attention firms make 1.79% in the 3-day period and 17.75% excess return for one year. We provide an insight for the authority and the investors. Opportunistic traders in the low-attention firms where allow them to have more space to do the opportunistic trades obtain higher levels of inside information from the companies and return from the trades. en_US dc.description.tableofcontents Table of contents 6Figure of contents 7Appendix table of contents 71. Introduction 81.1 Background 81.2 Expectation and result 102. Data and Methodology 152.1 Opportunistic or Non-opportunistic insiders-trading behavior 152.2 Opportunistic or Non-opportunistic insiders-corporate event 162.3 Proxy for information discreteness (ID) in firms 183. Research Design and Result 193.1 Research Design 193.2 The return of insider trades 203.3 Insider trades and ID 213.4 Different insider trading behavior and ID 243.5 Corporate event studies in insider trades and ID 263.6 Regression Analysis 274.Robutstness test 294.1 Other investors attention factors 294.2 Firms size effect 315. Conclusion 32Reference 34Appendix 62 zh_TW dc.format.extent 2086565 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352004 en_US dc.subject (關鍵詞) 內部人交易 zh_TW dc.subject (關鍵詞) 投資人有限注意力 zh_TW dc.subject (關鍵詞) 投機交易者 zh_TW dc.subject (關鍵詞) 常規交易者 zh_TW dc.subject (關鍵詞) 事件研究法 zh_TW dc.subject (關鍵詞) insider trades en_US dc.subject (關鍵詞) limit attention en_US dc.subject (關鍵詞) opportunists en_US dc.subject (關鍵詞) regular trades en_US dc.subject (關鍵詞) event study en_US dc.title (題名) 機會主義與非機會主義內部人交易和投資者關注 zh_TW dc.title (題名) Decoding opportunistic and non-opportunistic insider trades with investor attention en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alia, U., and Hirshleifer, D.,2017, Opportunism as a Firm and Managerial Trait: Predicting Insider Trading Profits and Misconduct. Journal of financial economics 126, 490–515.Alldredge, D., and Cicero, D., 2015, Attentive Insider Trading. Journal of Financial Economics 115, 84–101.Barber, B., and Odean, T., 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21, 785–818.Bettis, C., Vickery, D., and Donn W. Vickery, 1997, Mimickers of corporate insiders who make large-volume trades. Financial Analysts Journal 53, 57–66.Biggerstaff, L., Cicero, D., and Wintoki, M.B., 2020, Insider trading patterns. Journal of Corporate Finance 64.Clarke, J., Dunbar, C., and Kahl, K., 2001. Long-run performance and insider trading in completed and canceled seasoned equity offerings. Journal of Financial and Quantitative Analysis 36, 415–430.Cohen, L., and Frazzini, A., 2008. Economic links and predictable returns. Journal of Finance 63,1977–2011.Cohen, L., and Lou, D., 2012. Complicated firms. Journal of Financial Economics 104, 383–400.Cohen, L., Malloy, C., and Pomorski, L., 2012, Decoding Inside Information. The Journal of finance (New York) 67, 1009–1043.Da, Z., Gurun, U.G., and Warachka, M., 2014, Frog in the Pan: Continuous Information and Momentum. The Review of financial studies 27, 2171–2218.Da, Z., J. Engelberg, J., and Gao, P., 2011. In search of attention. Journal of Finance 66, 1461–1499.Dai, L., Fu, R., Kang, JK. and Lee, I., 2016, Corporate governance and the profitability of insider trading. Journal of Corporate Finance 40, 235-253.Daniel, A., and Hasler, M., 2015, Investor Attention and Stock Market Volatility. The Review of Financial Studies 28, 33–72.Dechow PM., Lawrence, A., and Ryans, J.P, 2016, SEC Comment Letters and Insider Sales. Accounting Review 91(2), 401-439.DellaVigna, S., and Pollet, J. M., 2009. Investor inattention and Friday earnings announcements. Journal of Finance 64, 709–749.Elliott, J., Morse, D., Richardson, G., 1984. The association between insider trading and information announcements. RAND Journal of Economics 15, 521–536.Fidrmuc, J., Goergen, M., Renneboog, L., 2006. Insider trading, news releases, and ownership concentration. Journal of Finance 61, 2931–2973.Hirshleifer, D., and Teoh, S. H., 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 36, 337–86.Hirshleifer, D., Lim, S., and Teoh, S. H., 2009. Driven to distraction Extraneous events and underreaction to earnings news. Journal of Finance 63, 2287–2323.Hirshleifer, D., Lim, S., and Teoh, S. H., 2011. Limited investor attention and stock market misreactions to accounting information. Review of Asset Pricing Studies 1, 35–73.Huberman, G., and Regev, R., 2001. Contagious speculation and a cure for cancer. Journal of Finance 56, 387–396.Jaffe, J., 1974. Special information and insider trading. Journal of Business 47, 410–428.Jagolinzer, A., 2009. SEC rule 10b5-1 and insiders strategic trade. Management Science 65, 224–239.Jeng, L., Metrick, A., Zeckhauser, R., 2003. Estimating the returns to insider trading: a performance-evaluation perspective. Review of Economics and Statistics 85, 453–471.Jenter, D., 2005. Market timing and managerial portfolio decisions. Journal of Finance 60, 1903–1949.Kahle, K., 20 0 0. Insider trading and the long-run performance of new security issues. Journal of Corporate Finance 6, 25–53.Ke, B., Huddart, S., Petroni, K., 2003. What insiders know about future earnings and how they use it: evidence from insider trades. Journal of Accounting and Economics 35, 315–346.Kelly, P., 2018, The Information Content of Realized Losses, The Review of Financial Studies 31, 2468–2498.Klibanoff, P., Lamont, O., and Wizman, T. A., 1998. Investor reaction to salient news in closed-end country funds. The Journal of finance 53, 673–699.Lakonishok, J., Lee, I., 2001. Are insiders’ trades informative? Review of Financial Studies 14, 79–111.Lin, J., Howe, J., 1990. Insider trading in the OTC market. Journal of Finance 45, 1273–1284.Lorie, J., Niederhoffer, V., 1968. Predictive and statistical properties of insider trading. Journal of Law and Economics 11, 35–54.Marin, J., Olivier, J., 2008. The dog that did not bark: insider trading and crashes. Journal of Finance 63, 2429–2476.Niessner, M., 2015. Strategic disclosure timing and insider trading. Yale University, New Haven, CT Unpublished working paper.Peng, L., and Xiong, W., 2006. Investor attention, overconfidence and category learning. Journal of Financial Economics 80, 563–602.Piotroski, J., Roulstone, D., 2005. Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realizations? Journal of Accounting and Economics 39, 55–81.Scott, J., Xu, P., 2004. Some insider sales are positive signals. Financial Analysts Journal 60, 44–51.Seyhun, H., 1986. Insiders’ profits, costs of trading, and market efficiency. Journal of Financial Economics 61, 189–212.Seyhun, H., 1998. Investment Intelligence from Insider Trading. MIT Press, Cambridge, MA.Tirapat, S., and Visaltanachoti, N., 2013, Opportunistic insider trading, Pacific-Basin Finance Journal 21, 1046-1061.Wu, W., 2016. Information asymmetry and insider trading. University of Chicago, Chicago, IL Unpublished working paper. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100582 en_US
