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研究生:黃柏凱
研究生(外文):Bo-Kai Huang
論文名稱:公開訊息是否就不具價值?證券異常報酬與公開訊息及私有資訊間之關係
論文名稱(外文):Is Information Risk a Determinant of Asset Returns in Taiwan Stock Market?
指導教授:李忠榮李忠榮引用關係盧陽正盧陽正引用關係
指導教授(外文):Chung-Jung Lee(李忠榮)Yang-Cheng Lu(盧陽正)
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:43
中文關鍵詞:訊息衝擊資訊交易公開訊息傳媒宣告
外文關鍵詞:SUR.Information-based tradingMEDIAPublic information
相關次數:
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市場微結構之研究指出,價格波動的推動者主要為私有資訊或優勢資訊之交易者(informed trader)(Barclay and Warner, 1993),這是否代表推動價格波動的訊息事件即為私有或是優勢訊息?本研究延伸Vega(2006)之結論剖析證券異常報酬係由公開訊息或是私有訊息所推動,進一步驗證公開訊息與私有資訊之應用價值。本研究首先參考Vega(2006)之研究將訊息區分為私有資訊及公開資訊,並以盈餘宣告日為事件,探討宣告日前私有資訊和公開資訊對於宣告日後累積異常報酬之影響。本研究援用Easley, Hvidkjaer and O’Hara (2002)提出的優勢資訊交易機率(Probability of Informed Trading, PIN)作為私有資訊之代理變數,公開資訊之代理變數則參考Vega(2006),依據盈餘宣告日前之公開新聞構建傳媒宣告(MEDIA)與訊息衝擊(SUR)兩個變數。實證結果發現,訊息衝擊變數雖來自於傳媒宣告,其經異常報酬之篩選證實亦包含優勢資訊內涵。在盈餘宣告日前擁有較高優勢資訊內涵之公司其宣告日後的累積異常報酬較高,反之,盈餘宣告日前擁有較多雜訊之公司,其宣告日後的累積異常報酬較低。本研究亦將公司規模區分為大公司與小公司進行穩健性檢測,發現小規模公司其優勢資訊交易者參與的比例較大規模公司高,在宣告日後亦擁有較高的累積異常報酬,此結論與Fama & French (1992)與Vega(2006)提出的小規模效應一致。
Barclay and Warner’s study of market’s microstructure (1993) indicated that the fluctuation of stock price is mainly influenced by the traders of private or informed information. Dose it imply the event that influences the stock price fluctuation is due to private or informed information? This study continues the research of Vega (2006), which analyzed the abnormal return is affected by public or private information, to verify the value of public information. Based on the Vega’s research, this study separates the information into public and private, and takes the day of profit declaration as an event to analysis the effect of the private and public information on the cumulative abnormal return before earning announcement day. This study refers the probability of informed trading as private information’s proxy variable from Easley, Hvidkjaer and O’Hara (2002). Moreover, this study also refers the MEDIA and SUR as public information’s proxy variable before earning announcement day from Vega (2006). The result of empirical test shows that even though SUR comes from MEDIA, it also includes the connotation of informed information. The higher information content a company owns ahead of earning announcement day, the higher cumulative abnormal return after earning announcement day, vice versa. This study also considers the size effects by grouping small, middle and large size. It shows that probability informed trader of small company is higher than that of large one on average. It also agrees with the “small size effect” from Fama & French (1992). This study confirms not only the results of Vega’s research (2006) in Taiwan, but also the relationship among abnormal return, public information, and private information. It also provides the reason to pay to interpreting the public information.
目錄
第壹章 緒論 1
一、 研究背景與動機 1
二、 研究流程圖 3
第貳章 文獻探討 4
一、資訊不對稱相關文獻 4
(一) 國外文獻 4
(二) 國內文獻 6
二、盈餘宣告相關文獻 8
(一) 國外文獻 8
(二) 國內文獻 9
第參章 研究方法 11
一、研究設計 11
二、資料來源與處理 11
(一) 資料說明 11
(二) 樣本選取與處理 11
三、訊息衡量指標 12
(一) 優勢資訊交易機率之估計 13
(二) 公開訊息揭露程度的估計 16
四、 相關驗證 20
(一) 橫斷面結果 20
第肆章 實證結果 21
一、優勢資訊交易機率模型之實證分析 21
二、公開訊息之實證分析 23
三、優勢資訊交易機率與公開訊息相關驗證 25
第伍章 結論與建議 32
一、結論 32
二、建議 32
參考文獻 33
一、中文部分 33
二、英文部分 35

表目錄
表 3-1 資訊訊息、訊息種類結構交錯表 12
表 3-2 鴻友新聞語料 17
表3-3 鴻友MEDIA、SUR計算範例 18
表3-4 鴻友MEDIA、SURTW計算範例 19
表4-1 優勢資訊交易機率統計量 21
表4-2 各年度MEDIA統計量 23
表4-3 各年度SURTW統計量 24
表4-4 各變數的相關係數 27
表4-5 各變數橫斷面迴歸(VEGA提出之SUR) 28
表4-6 各變數橫斷面迴歸(本研究提出之SUR) 29
表4-7 各變數依SIZE分類橫斷面迴歸 30
表4-8 二維累積異常報酬表 31


圖目錄
圖1-1研究流程圖 3
圖3-1交易程序樹狀圖 14
圖4-1優勢資訊交易機率因子分配圖 22
參考文獻
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