臺灣博碩士論文加值系統

本文主要研究內部人交易對公司宣告新產品之股價異常報酬的影響。本文所使用之觀察 樣本為日期介於西元 2005 年一月至 2016 年十二月間台灣的上市公司的新產品宣告，研究發 現內部人交易行為與新產品宣告之累積異常報酬有正向顯著的關係。研究結果顯示出內部人 因為事先得知了內部資訊，因此能藉由自身對於此資訊及公司未來之看法進行股票的交易， 進而造成了股價的波動。 研究同時指出公司規模、公司的研發強度、以及產業競爭力與新產 品宣告之累積異常報酬有顯著的關聯性。其中，公司規模及產業競爭力與累積異常報酬呈現 負向顯著的關係，原因為投資人較傾向於關注大公司的一舉一動，因此較不易被公司的舉動 所影響；而研發強度與累積異常報酬呈現正向顯著之關係，原因為公司的研發可視為公司投 入新產品的資源多寡之緣故。

The primary objective in this study is to examine the impact of insider trading prior to the new product announcement on cumulative abnormal return. By using a sample of new product announcements of listed company at stock exchange market in Taiwan from January 2005 to December 2016, I find significantly positive relationship between cumulated abnormal return and insider trading activity. The result indicates that insiders know the inside information in advance and do stock transaction based on their perspective of the products, thus influence the stock return. I also find that firm size, R＆D intensity and industry competitiveness have significant correlation with abnormal stock reaction. Firm size and industry competitiveness show the negative outcome with CAR because large companies tend to be regarded as lower possibility on unexpected event by investors, while R＆D intensity reports the positive correlation with CAR since R＆D can be seen as the sources put into developing the new product.

Chapter I Introduction 01
Chapter II Literature Review 04
i. Insider Trading 04
ii. Insider Trading and Predictive ability 07
iii. New Product Introduction 09
iv. Hypothesis 11
Chapter III Sample ＆ Methodology 13
i. Sample 13
ii. Measurement of Dependent Variable 13
iii. Measurement of Independent Variable 14
iv. Measurement of Control Variables 15
v. Model Testing 17
Chapter IV Empirical Result 19
i. Sample Description 19
ii. Empirical Results of Abnormal Analysis 23
Chapter V Conclusion 27
i. Discussion and Conclusion 27
ii. Managerial Implication 27
iii. Limitation and Suggestions for Future Research 28
References 29

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