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研究生:曾立名
研究生(外文):Tseng-Li Ming
論文名稱:公開與私有資訊對台灣證券市場報酬之影響--台灣電子產業之實證
論文名稱(外文):The Correlation between Informed Trading and Market Performance:a Study of Taiwan Electron Stock Market
指導教授:盧陽正盧陽正引用關係李忠榮李忠榮引用關係
指導教授(外文):Lu-Yang ChengLee-Chung Jung
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士在職專班
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:42
中文關鍵詞:資訊交易私有訊息傳媒宣告訊息衝擊公開訊息
外文關鍵詞:PINearning announcementmediaPrivate informationPublic information
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本研究是針對臺灣證券市場2001年1月1日至2006年12月31日之上市電子業公司為樣本,探討價格波動的推動者主要為公開資訊抑或私有資訊之交易者(informed trader)(Barclay and Warner, 1993)。
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日,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),將盈餘宣告日前之公開新聞構建傳媒(MEDIA)與訊息衝擊(SUR)兩個變數作為替代變數。
實證結果發現,臺灣電子業PIN值平均為0.21,此與Easley, Hvidkjaer and O’Hara (2002)使用美國紐約交易所(NYSE)之資料所做之估計結果(0.191)相似。在盈餘宣告日前擁有較高攸關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 (1992,1993,1995,1996)與Vega(2006)所提出的小規模效應一致。
This paper is trying to understand the fluctuation of stock price is mainly influenced by the traders of private or informed information. (Barclay and Warner, 1993) using the sample of listed companies from January 1, 2001 to December 31, 2006 on the Taiwan Electron Stock market (TSE)
This study extends 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 empirical evidence shows that the PIN is around 0.21 on Taiwan electronics industry '' s average, It is similar with Easley, Hvidkjaer and O '' Hara (2002) uses the American New
York exchange (NYSE) the data to make the estimate result (0.191). 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 (1992.1993.1995.1996). 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、 研究目的與問題 3
三、 研究流程圖 3
第貳章 文獻探討 5
一、 資訊交易相關文獻 5
二、 盈餘宣告相關文獻 8
第參章 研究方法 11
一、 資料來源與處理 11
(一) 資料來源 11
(二) 樣本選取與處理 11
二、 訊息衡量指標 12
(一) 攸關資訊交易機率之估計 12
(二) 公開訊息揭露程度的估計 15
三、 相關驗證 19
第肆章 實證結果 21
一、 攸關資訊交易機率模型之實證分析 21
二、 公開訊息之實證分析 22
三、 攸關資訊交易機率與公開訊息相關驗證 24
第伍章 結論與建議 30
一、結論 30
二、建議 31
參考文獻 32

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 攸關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SUR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 28
表4-6 各變數依SIZE分類橫斷面迴歸 29


圖目錄
圖1-1 研究流程圖 4
圖4-1 攸關資訊交易機率因子分配圖 22
一、中文部分
1.王佑民 (1995),“年度盈餘資訊內容之研究:以台灣股票上市公司為實證”,國立中山大學企業管理研究所未出版碩士論文。
2.李釗芹 (2000),“臺灣上市公司自行宣告盈餘資訊內涵之研究”,私立東海大學研究所碩士論文。
3.洪榮耀 (2005),“資訊交易機率模型及其應用”國立中山大學財務管理研究所博士論文。
4.郭維裕、胡桂華 (2003),“台灣股市資訊交易之實證研究”,證券市場發展季刊,第14卷第4期,pp39-72。
5.郭政麟 (2004),,“資訊交易機率測度,資產定價及資產管理策略”,私立銘傳大學財務金融研究所碩士論文。
6.黃俊傑 (2003),“私有資訊提前反應與風險性資產報酬-臺灣證券市場之實證”,私立銘傳大學財務金融研究所碩士論文。
7.陳建宏 (2000),“資訊交易機率對股市績效的影響”,國立中山大學財務管理研究所碩士論文。
8.張鴻基 (1983),探討季盈餘之時間數列特性及未預期季盈餘變動方向與股價變動方向是否一致,國立臺灣大學商學研究所碩士論文。
9.喬慧雯 (1995),上市公司季盈餘宣告資訊內涵之實證研究,國立政治大學 會計學研究所碩士論文。
10.趙偉翔 (2006),“優勢資訊交易估計、行為探勘及其在投資組合策略建構上之運用”,私立銘傳大學資訊管理研究所未出版碩士論文。
11.劉家榮 (2007),“資訊風險是否為台灣證券市場之資產定價因子”,私立銘傳大學財務金融研究所未出版碩士論文。
12.謝銘偉 (2000) ,“概估盈餘與公告盈餘不一致對股價影響之研究”,國立台灣大學會計學研究所碩士論文。


二、英文部分
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3.Bagehot,W.(1971),“The Only Game in Town,” Financial Analysts Journal, Vol.27, No 2, pp. 12-14.
4.Ball, R., and Brown, P. (1968),“An Empirical Evalution of Accounting Income Numbers,” Journal of Accounting Research, Vol .6, No 2, pp.159-178.
5.Barclay, M. J. and J. B. Warner (1993), “Stealth Trading and Volatility: Which Trades Move Prices?” Journal of Financial Economic, Vol 34, No.3, pp.281-305.
6.Basak, Suleyman and Domenico Cuoco (1998),“An Equilibrium Model with Restricted Stock Market Participation,” Review of Financial Studies ,Vol 11, pp. 309-341.
7.Beaver, W.,(1998), “Financial Reporting:An Accounting Revolution, ”3rd edition ,Prentice Hall.
8.Benston,G.,and Hagerman,R. (1974),“Determinants of Bid-Ask Spreads in the Over-The-Counter Markets,” Journal of Financial Economics , Vol 1, No 4, pp. 356-364.
9.Bernard, V.,and Thomas,J. (1990),“Evendence that Stock Price Do Not Fully Reflect the Implications of Current Earnings for Future Earnings, ” Journal of Accounting and Economics, Vol 13, pp. 305-340.
10.Brav, and Heaton, J,B. (2002) ,“Competing theories of financial anomalies” Review of Financial Studies , Vol 15, pp. 575-606.
11.Brennan M.J.and A Subrahmanyam (1996),“Market Microstructure and Asset Pricing:On the Compensation for illiquidity in Stock Returns,” Journal of Financial Economics ,Vol 41, No 3, pp. 441-464.
12.Brennan, Michael J., Tarun Chordia and Avanidhar Subrahmanyam (1998),“Alternative Factor Specifications, Security Characteristics and the Cross-Section of Expected Stock Returns,” Journal of Financial Economics ,Vol 49, pp. 345-373.
13.Campbell, Grossman and Wang ,(1993) ,“Trading Volume and Serial Correlation Instock Return”, Journal of Finance, Vol 34, pp. 905-939.
14.Chen Nai-fu F. and Kan R. ,(1996) ,“Expected Return and the Bid-Ask Spread, in K.S.S. Saitou and K. Kubota, eds.: Modern Portfolio Theory and Applications,” Gakujutsu Shuppan Center, Osaka, Japan.
15.Chan. W.S.,(2003) “Stock Price reaction to news and no-news: drift and reversal after headlines” Review of Financial Economic ,Vol 70, pp.223-260.
16.Charlmers, John, M. and Gregory B. Kadlec,(1998),“An Empirical Examination of the Amortized Spread ,” Journal of Financial Economics, Vol 48, pp. 159-188.
17.Daniel, K.D., Hirshleifer, D., Subrahmanyam, A., (1998), “Investor psychology and security market under- and over-reaction,”Journal of Finance (53).
18.Easley, David Nicholas M. Kiefer, Maureen O’Hara and Joseph Paperman , (1996) ,“Liquidity, Information, and Infrequently Traded Stocks,” Journal of Finance Vol 51, pp. 1405-1436.
19.Easley, David, Soeren Hvidkjaer, and Maureen O’Hara ,(2002) ,“Is Information Risk a Determinant of Asset Returns?” Journal of Finance, Vol.157, pp. 2185-2221.
20.Eleswarapu, V. R. and Marc.R.Reinganum,(1993), “The Seasonal Behavior of Liquidity Premium Rules:Evidence from NASDAQ,” Journal of Finance and Quantitatives Analysis, Vol 34, pp. 25-51.
21.Ellis, Katrina, Roni Michaely and Maureen O’Hara (2000), “The Accuracy of Trade Classification Rules: Evidence from NASDAQ,” Journal of Finance and Quantitative Analysis Vol 35, pp. 25-51.
22.Fama, E. F. (1991). “Efficient Capital Markets: II. ” Journal of Finance, Vol 46, No 5, pp. 1575-1617.
23.Fama, E. F. (1998). “Market efficiency, long-term returns, and behavioral finance. ” Journal of Financial Economics, Vol 49, No 9 , pp. 238-306.
24.Fama,Eugene F.,and James D MacBeth,(1973),“Risk, Return and Equilibrium:Empirical Tests,” Journal of Political Economy, Vol 81, pp. 607-636.
25.Fama, E. and K. R.,French, (1992),“The cross-section of expected stock returns," Journal of Finance, Vol 47, pp.427-65.
26.Fama, E. and K. R.,French, (1993), “Common risk factors in the returns on stocks and bonds," Journal of Financial Economics , Vol 33,pp.3-56.
27.Fama, E. and K.R.,French, (1995),“Size and book-to-market factors in earnings and return," Journal of Finance, Vol 50,pp.131-155.
28.Fama, E. and K. R.,French, (1996), “Multifactor explanations of asset-pricing anomalies, "Journal of Finance, Vol 51,pp.55-84.
29.Fama, Eugene F., and Kenneth R. French, (1998), Value versus Growth: The International Evidence, Journal of Finance, Vol 53, 1975-1999.
30.Glosen, L.,and Harris, L.,(1988),“Estimating the Components of the Bid-Ask Spread,” Journal of Financial Economics, Vol 21, No 1, pp. 123-142.
31.Hansen, Lars Peter and Robert J. Hodrick ,(1980), “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,” Journal of Political Economy ,Vol 88, pp. 829-853.
32.Huang, R.D. and H.R. Stoll (1997),“The Components of the Bid-Ask Spread:A General Approach ,” Review of Financial Studies, Vol 10, No 4, pp.995-1034.
33.Jaffe, J.,and Winkler, R.(1976),“Optimal Speculation Against An Efficient Market , ” Journal of Finance ,Vol 31, No 1, pp.49-91.
34.Joel Hasbrouck,(1991b),“The Summary Informative of Stock Trade:An Econometric Analysis,” Review of Financial Studies, Vol 4, No 3, pp.571-595.
35.Joel Hasbrouck,(1991a),“Measuring the Information Content of Stocks Trades,” Journal of Finance, Vol 3, No 1 , pp. 179-207.
36.Lee, C. M., B. Mucklow, and M. J. Ready (1993), “Spreads, depths, and the impact of earnings information: an intraday analysis,” Review of Financial Studies, Vol 6, No 2 , pp.345-374.
37.Merton and Robert C.(1987),“A Simple Model of Capital marjet Equilibrium with Incomplete Information,” Journal of Finance , Vol 42, pp. 483-510.
38.Suleyman B. and Cuoco D.(1998),“An equilibrium model with restricted stock market participation,” Review of Financial Studies ,Vol 11, pp. 309-341.
39.Stoll, R.,(1978)“The Pricing of Security Dealer Services:An Empirical Study of NASDAQ Stocks,”Journal of Finance, Vol 33, No 4 ,pp. 1153-1172.
40.Yakov A., Memdelson H. and Lauterbach B.(1997), “Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange,” Journal of Financial Economics ,Vol 45, pp. 365-390.
41.Vega, C.(2006), “Stock Price Reaction to Public and Private Information,” Journal of Financial Economics, Vol 82, No 1 ,pp.103-133.
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