臺灣博碩士論文加值系統

本研究主要檢驗大股東(以下內文統稱為三類內部人)買賣持股交易量變動之時機選擇，與其對前後六個月異常報酬率之影響。研究期間西元2004年1月至2012年12月底之所有台灣上市公司內部人持股轉讓事件，檢驗三類內部人買賣是否獲得長期異常報酬率，進而判斷內部人相對於一般投資人是否具有資訊優勢。本研究假設因公司之內部人因是掌管企業運作之主要人物，因此內部人往往較一般投資人有資訊優勢，也可能藉此優勢獲取異常報酬率。

研究結果顯示，內部人淨賣出持股前皆呈現正異常報酬率，淨賣出持股後則為負異常報酬率，其中，董監事和經理人賣出持股後有較大之異常報酬率並達到顯著水準，然而百分之十以上大股東可能因較少處理公司內部事務，報酬不如前兩者來得顯著，意即董監事與經理人有較佳的擇時能力，能準確切入賣出之時間點，較一般投資人更有資訊優勢。相對地，內部人在買入比率部分實證結果較不如預期，導致此結果之可能因素很多，本研究推測內部人買入比率較高者，可能有除了獲取利益外之動機，如因發生財務危機而護盤、過度樂觀或誤導市場等種種因素。本研究實證結果可做為投資人股票投資之參考，投資人可跟隨內部人出脫或放空股票，以規避未來長期投資之資本損失。

This study focuses on the impact of insider trading six months before and after insider transactions, as well as analyzing insiders’ abnormal returns. Insiders’ transactions occur over the period of 2004 to 2012 are included in our sample. In addition, this study examines the insiders’ profitability by directors, manages and blocks holders. Since information asymmetry exists in the securities markets, it has long been thought that insiders could get superior information due to their positions or privilege. This study presumes that insiders may take advantage of superior information to profit by stocks transactions.

Our empirical results show that insiders’ selling are preceded by positive long-term abnormal returns and followed by negative abnormal returns. Directors and managers profit significantly from selling the stocks at the highest price, which supports the conjecture that insiders possess superior information that general investors. However, similar evidence is not found when insiders buy stocks. We conjecture that insiders may buy for some motivations other than earing capital gains. The profitability earned by block holders who hold ten percent or less of outstanding shares is not as much as that earned by directors or managers. This may result from the block holders have fewer opportunities to take part in firms’ operation and own less private information.

By comparison, the empirical results do not show that insiders’ buying are preceded by negative or followed by positive abnormal returns. This study conjectures that insiders may increase ownership for various reasons, such us stabilizing share prices, over- optimism, or temporarily misleading the market.

Overall, the implication of this study suggests that insiders’ selling is an useful indicator for outside investors. Investors who follow insiders’ selling could avoid long-term loss or profit from short selling. However, insiders’ buying is not found to convey information about future stock price.

目錄

摘要 I
Abstract II
目錄 IV
表目錄 VI
圖目錄 VII

第一章 緒論
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 3
第四節 論文結構 4

第二章 文獻探討
第一節 大股東(內部人)範圍 5
第二節 內部人交易與資訊不對稱 6
第三節 內部人交易與股價變化 7



第三章 研究方法與假說建立
第一節 資料來源及樣本選取 9
第二節 敘述性統計分析 10
第三節 研究方法 12
第四節 假說建立 14

第四章 實證分析與結果
第一節 董監事買賣持股前後六個月之財富效果 16
第二節 經理人買賣持股前後六個月之財富效果 19
第三節 百分之十以上大股東買賣持股前後六個月之財富效果 21

第五章 結論
第一節 結論與建議 23

參考文獻 25

一、中文部分

1.俞海琴、周本鄂(1994)，臺灣地區上市公司董監事，關係人持股比率和公司托賓 Q 關係之研究，管理評論，第13卷第1期，頁79-98。
2.郭敏華、洪舒雯(2003)，內部人持股變動與庫藏股宣告效果，台灣金融財務季刊，第4卷第2期，頁81-102。
3.羅庚辛、蔡文賢、許明峰、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關係之研究，會計評論，第41期，頁33-51。

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