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題名 投資人對公司治理之認知：停止交易與下單策略之分析
Investors’ perception of corporate governance: cessation of trading and order strategies around Taiwan corporate scandals作者 范惠美
Fan, Whei May貢獻者 李志宏
Lee, Jie Haun
范惠美
Fan, Whei May關鍵詞 公司治理
交易行為
停止交易
下單積極性
Corporate Governance
Trading Behavior
Cessation of Trading
Order Aggressiveness日期 2007 上傳時間 14-九月-2009 09:05:53 (UTC+8) 摘要 Despite being the twelfth largest financial market in the world, approximately 90 per cent of the entire trading volume in the Taiwan stock market is accounted for by only a small, but widely dispersed, group of local investors actively participating in the local market during the 1995-1999 period (Barber, Lee, Liu and Odean, 2007); it is, however, also the case that these investors suffer from low levels of investor protection (La Porta, Lopez-de-Silances, Shleifer and Vishny, 1998). The discovery of a series of corporate scandals in Taiwan, between 16 June and 15 September 2004 (the event period), offers a unique opportunity to investigate the perceptions of investors on the value of corporate governance. The main line of reasoning in this study is that at times when news of scandals flows into the market, the perceptions of certain types of investors, particularly uniformed outsiders, will lead to a systematic change in their trading habits; thus, they may avoid trading in certain firms altogether, or their incentives to place aggressive orders may be considerably weakened, particularly where there is a likelihood of expropriation by controlling insiders. This dissertation undertakes a comprehensive analysis of trade and quote (TAQ) data for all investors on a sample of 94 firms listed on the Taiwan Stock Exchange (TSE), and provides evidence of extreme variations in the investment behavior of different types of investors. It is clear that during the event period, a substantial proportion of investors did cease trading altogether, with such cessation of trading even affecting their original non-scandal portfolios. This response was particularly discernible amongst small and medium-sized individual investors, who may often incur losses in firms with high cash-flow rights leverage. It seems that even the better-performed small-sized individual investors, who had previously enjoyed larger positive excess returns, tended to discard their previous trading strategy involving firms with no clear deviation between control rights and cash-flow rights. An examination of this deviation in trading behavior shows that most investors, with the exceptions of foreign institutions and large-sized individual investors, began to enter the market more passively during the event period, particularly in firms in which the ultimate controllers had separate control and cash-flow ownership. However, throughout the event period, the trading strategies of foreign institutions and large-sized individual investors involved more aggressive submission of orders for stocks in firms with strong cash-flow rights leverage. Finally, a direct test of the informativeness of aggressive orders placed by each category of investors, under different ownership structure portfolios, regardless of any order strategy, reveals that small-sized individual investors invariably performed badly during both the pre-event and event periods examined in this dissertation. Each line of our analysis shows that only foreign institutions and large-sized individual investors maintained acceptable returns; in comparative terms, these two groups of investors performed relatively well in portfolios with higher cash-flow rights leverage. 參考文獻 References
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Shleifer, Andrei, and Vishny, Robert W., 1997, “A Survey of Corporate Governance”, Journal of Finance 52, 737-783.描述 博士
國立政治大學
財務管理研究所
92357502
96資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923575021 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.advisor Lee, Jie Haun en_US dc.contributor.author (作者) 范惠美 zh_TW dc.contributor.author (作者) Fan, Whei May en_US dc.creator (作者) 范惠美 zh_TW dc.creator (作者) Fan, Whei May en_US dc.date (日期) 2007 en_US dc.date.accessioned 14-九月-2009 09:05:53 (UTC+8) - dc.date.available 14-九月-2009 09:05:53 (UTC+8) - dc.date.issued (上傳時間) 14-九月-2009 09:05:53 (UTC+8) - dc.identifier (其他 識別碼) G0923575021 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31031 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 92357502 zh_TW dc.description (描述) 96 zh_TW dc.description.abstract (摘要) Despite being the twelfth largest financial market in the world, approximately 90 per cent of the entire trading volume in the Taiwan stock market is accounted for by only a small, but widely dispersed, group of local investors actively participating in the local market during the 1995-1999 period (Barber, Lee, Liu and Odean, 2007); it is, however, also the case that these investors suffer from low levels of investor protection (La Porta, Lopez-de-Silances, Shleifer and Vishny, 1998). The discovery of a series of corporate scandals in Taiwan, between 16 June and 15 September 2004 (the event period), offers a unique opportunity to investigate the perceptions of investors on the value of corporate governance. The main line of reasoning in this study is that at times when news of scandals flows into the market, the perceptions of certain types of investors, particularly uniformed outsiders, will lead to a systematic change in their trading habits; thus, they may avoid trading in certain firms altogether, or their incentives to place aggressive orders may be considerably weakened, particularly where there is a likelihood of expropriation by controlling insiders. This dissertation undertakes a comprehensive analysis of trade and quote (TAQ) data for all investors on a sample of 94 firms listed on the Taiwan Stock Exchange (TSE), and provides evidence of extreme variations in the investment behavior of different types of investors. It is clear that during the event period, a substantial proportion of investors did cease trading altogether, with such cessation of trading even affecting their original non-scandal portfolios. This response was particularly discernible amongst small and medium-sized individual investors, who may often incur losses in firms with high cash-flow rights leverage. It seems that even the better-performed small-sized individual investors, who had previously enjoyed larger positive excess returns, tended to discard their previous trading strategy involving firms with no clear deviation between control rights and cash-flow rights. An examination of this deviation in trading behavior shows that most investors, with the exceptions of foreign institutions and large-sized individual investors, began to enter the market more passively during the event period, particularly in firms in which the ultimate controllers had separate control and cash-flow ownership. However, throughout the event period, the trading strategies of foreign institutions and large-sized individual investors involved more aggressive submission of orders for stocks in firms with strong cash-flow rights leverage. Finally, a direct test of the informativeness of aggressive orders placed by each category of investors, under different ownership structure portfolios, regardless of any order strategy, reveals that small-sized individual investors invariably performed badly during both the pre-event and event periods examined in this dissertation. Each line of our analysis shows that only foreign institutions and large-sized individual investors maintained acceptable returns; in comparative terms, these two groups of investors performed relatively well in portfolios with higher cash-flow rights leverage. en_US dc.description.tableofcontents Contents ii List of Figures iv List of Tables v Abstract v 1 Introduction 5 2 Cessation of Trading in Light of Financial Scandals 5 2.1 Introduction 5 2.2 Hypotheses 5 2.3 Market Trading Rules 5 2.4 Data Description 5 2.5 Empirical Findings 5 2.5.1 Trading activities of investors 5 2.5.2 Do individual investors systematically leave with information? 5 2.6 Conclusions 5 3 Ordering Strategies for Various Types of Traders in Light of Local Corporate Scandals 5 3.1 Introduction 5 3.2 Order Aggressiveness Strategy 5 3.3 Empirical Methodology 5 3.4 Empirical Analysis 5 3.4.1 Univariate statistics on ownership structure and order aggressiveness 5 3.4.2 Multivariate analysis of ownership structure and order submission strategies 5 3.4.3 Informativeness of classified orders submitted by investors 5 3.5 Conclusions 5 4 Summary and Conclusions 5 References 5 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923575021 en_US dc.subject (關鍵詞) 公司治理 zh_TW dc.subject (關鍵詞) 交易行為 zh_TW dc.subject (關鍵詞) 停止交易 zh_TW dc.subject (關鍵詞) 下單積極性 zh_TW dc.subject (關鍵詞) Corporate Governance en_US dc.subject (關鍵詞) Trading Behavior en_US dc.subject (關鍵詞) Cessation of Trading en_US dc.subject (關鍵詞) Order Aggressiveness en_US dc.title (題名) 投資人對公司治理之認知：停止交易與下單策略之分析 zh_TW dc.title (題名) Investors’ perception of corporate governance: cessation of trading and order strategies around Taiwan corporate scandals en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) References zh_TW dc.relation.reference (參考文獻) Ahn, Hee-Joon, Kee-Hong Bae, and Kalok Chan, 2001, Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong”, Journal of Finance 56, 767-788. zh_TW dc.relation.reference (參考文獻) Ailey, Warren, Chan, Kalok, and Chung, Peter Y., 2000, “Depositary Receipts, Country funds, and the Peso Crash: The Intraday Evidence”, Journal of Finance 55, 2693-2717. zh_TW dc.relation.reference (參考文獻) Amy Dittmar and Jan Mahrt-Smith, 2007, “Corporate Governance and the Value of Cash Holdings,” Journal of Financial Economics 83, 599–634. zh_TW dc.relation.reference (參考文獻) Amy K. Edwards, Lawrence E. Harris, Michael S. 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