臺灣博碩士論文加值系統

由於現今資訊傳遞更有效率，投資人更能及時取得市場上的資訊且不需成本，市場效率也較以往大幅提升。故本論文與之前的研究不同，著重於更精準的市場反應結果。我們使用了美國三大交易所的日內的交易與報價資料以及準確的宣告時間點〈精確到分〉檢驗公司股價對新產品宣告的日內反應。
根據我們的實證結果，我們發現新產品宣告是具有資訊內涵的，且市場是具有效率性的。股價在事件宣告時的一分鐘內便會有正的反應，交易強度增加2-3倍，同時買單顯著增加。若有投資人可以在新產品宣告前先得到資訊並先買進該公司股票，則可以獲得小卻顯著的報酬。
新產品宣告也改變了資訊不對稱的程度，進而使得流動性提供者改變買賣價差與深度來避免可能遭受的損失，但買賣價差與深度很快便會恢復成原先的水準。

Nowadays the speed of information transmission is quicker. Traders in the market can immediately get the information with low cost, so the market is more efficient. In this thesis, we focus on more accurate time point and the impact of market. We use intraday trade and quote data in NYSE, AMEX and NASDAQ and the exact announcement time to examine the within-day pattern of the market reactions surrounding new products announcements.
According to our empirical result, we find that the new products announcement samples have informational content, and the market is efficient. The prices respond to new products announcements within ten minute of initial releases. There is a significant increase (about two or three times of original level) in trading intensity in event period, and an increase in buyer-initiated trades following event announcing. Traders who execute before the initial release make small but significant profit by trading during the new products announcements.
The new products announcements also change the level of information asymmetry, and the specialists, and other suppliers of liquidity will increase spreads and decrease depths to avoid possible loss. But we find that the change of spreads and depths recover to original level very quickly.

Contents
1. Introduction............................................................1
2. Data and sample selection...............................................7
3. Methodology.............................................................9
3.1 The impact of new products announcements on price and trading..........9
3.2 The impact of new products announcements on liquidity.................11
4. The impact of new products announcements on price and trading..........15
4.1 Magnitude of price response...........................................15
4.2 Speed of price response...............................................16
4.3 Cross-sectional determinants of price impact..........................17
4.4 Trading profitability.................................................21
4.5 Trading activity......................................................22
5. The impact of new products announcements on liquidity..................24
5.1 Univariate test results...............................................24
5.2 Multivariate test results.............................................26
6. Conclusion.............................................................30
Reference .................................................................32

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