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研究生:黃虹儒
研究生(外文):Hung-ju Huang
論文名稱:SEC內線交易宣告對公司股價之影響
論文名稱(外文):SEC Insider Trading Announcement: Analysis of Announcement Effects on Firm’s Stock Price
指導教授:張紹基張紹基引用關係
指導教授(外文):Shao-Chi Chang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:企業管理學系碩博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:43
中文關鍵詞:內線交易事件研究法SEC訴訟
外文關鍵詞:insider tradingSEC litigation releaseevent study
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過去的文獻當中,關於內線交易的研究主要著重於兩方面,其一是探討內線交易能否幫助股票市場加速反應股票的真實價格,其二是探討內線交易者自身之獲利能力。然而,就我們所知僅有一篇文獻著重於研究內線交易宣告與公司股價之關連性。因此,本研究利用不同內線交易變數延伸探討SEC內線交易宣告對公司股價之影響。
本研究有兩個主要假設,假設一是探討內線交易者之管理層級、起訴人數、罰款金額與訴訟案件偵結與否等四項變數與SEC內線交易宣告公司股價變動之關聯性。假設二是以假設一為基礎,進一步將樣本依內線消息類型分成盈餘宣告、併購與財務報表造假三類,分別探討不同內線消息類型對公司股價之影響。樣本涵蓋1995年至2005年159家因內線交易遭SEC起訴之上市公司,並以事件研究法來探討SEC內線交易宣告後公司股價的波動反應。
實證結果發現,當內線交易者的管理層級越高、審理中的內線交易案及利用財務報表造假所為之內線交易,股票市場皆有顯著的負面反應。亦即,外界投資人普遍認為(1)越高層級之內線交易者揭露公司治理制度上的不健全且違反股東利益最大化原則;(2)尚未偵查終結的內線交易案隱含之未實現訴訟成本恐影響公司未來現金流量;(3)利用造假財務報表獲利之內線交易訴訟宣告通常伴隨著負面訊息的揭露,例如:盈餘高估、費用低估。
Insider trading has invoked great concerns among academicians for past decades. Previous literatures about insider trading usually focus on two major fields, one is to testify whether insider trading could facilitate rapid price discovery the other one is to examine the profitability of insiders’ trading. As we know, there is the only one study examines the effect of SEC’s insider trading enforcements on target firm’s stock value. Therefore, our research continues to explore what kind of insider trading indicators has greater negative effect on announcing firm’s stock value
In this research, two hypotheses are tested: (1) the relationship exists between announcement effects of SEC’s insider trading announcement on firm’s stock price and four indicators: insider’s management level, the number of people charged, penalty amount relative to firm size and whether a insider trading is facing ongoing investigation or final judgment; (2) based on hypothesis 1, further examine whether different insider trading events (earnings announcement, mergers and acquisitions and financial reporting fraud) have different announcement effects on firm’s stock price. We collect data from SEC’ litigation releases in 159 public-traded sample firms which have charged by SEC and the sample period is from 1995 to 2005.
Our finding suggests that greater negative market reaction to SEC’s insider trading announcement is associated with higher management level, ongoing investigation and financial reporting fraud. In other words, investors will perceive (1) insiders with higher management positions represent severe improprieties in corporate governance; (2) future litigation costs of ongoing investigation will have negative impact on firms’ future cash flows; (3) a larger negative magnitude to the manipulation of accounting report.
Chapter 1 Introduction 1
Chapter 2 Literature Review 4
2.1 Definition of Insider Trading 4
2.2 Insider Trading Regulations 4
2.3 A Summary of Prior Studies 6
2.4 Hypotheses Development 9
Chapter 3 Methodology 13
3.1 Data Source and Sample Selection 13
3.2 Dependent Variable 16
3.3 Independent Variables 20
3.4 Control Variables 21
3.5 Cross-sectional Regression Analysis 22
Chapter 4 Empirical Results 25
4.1 Empirical Results of Abnormal Return 25
4.1 Empirical Results of Regression Model 28
Chapter 5 Conclusion 37
5.1 Conclusion 37
5.2 Contributions and Research Limitations 38
Reference 40
Appendix 42
Aboody and Lev (2000) “Information asymmetry, R&D, and insider gains.” The Journal of Finance, Vol. 55, No. 6, 2747-2766.
Bris Autro (2005) “Do insider trading laws work? ” European Financial Management, Vol. 11, No. 3, 267-312.
Baesel and Stein (1979) “The value of information: Inferences from the profitability of insider trading.” The Journal of Finance and Quantitative Analysis, Vol. 14, No. 3, 553-571.
Brudney (1979) “Insiders, outsiders and information advantages under the federal securities laws.” Harvard Law Review 93, 322-376.
Carlton and Fischel (1983) “The regulation of insider trading.” Stanford Law Review, Vol. 35, No. 5, 857-895.
Chakravarty and McConell (1999) “Does insider trading really move stock prices?” The Journal of Finance and Quantitative Analysis, Vol. 34, No. 2, 191-209.
Cornel and Sirri (1992) “The reaction of investors and stock prices to insider trading.” The Journal of Finance, Vol. 47, No. 3, 1031-1059.
Elliot, Morse and Richardson (1984) “The association between insider trading and information announcement.” The RAND Journal of Economics, Vol. 15, No. 4, 521-536.
Fama and Laffer (1971) “Information and capital markets.” Journal of Business, Vol.44, 289-98.
Finnerty (1976) "Insiders' activity and insider information: A Multivariate Analysis." Journal of Financial and Quantitative Analysis, Vol. 11, No. 2, 205-215. "Insiders and Market Efficiency." Journal of Finance 4, 1141- 1148.
Griffin, Grundfest and Perino (2004) ”Stock price response to news of securities fraud litigation: an analysis of sequential and conditional information. ” ABACUS, Vol. 40, No.1, 21-48.
Howe and Schlarbaum (1986) “SEC trading suspensions: Empirical evidence.” The Journal of Finance and Quantitative Analysis, Vol. 21, No. 3, 323-333.
Jaffe F. Jeffery (1974) “Special information and insider trading.” The Journal of Business, Vol. 47, No. 3, 410-428.
John and Lang (1991) “Insider trading around dividend announcements: Theory and Evidence.” The Journal of Finance, Vol. 46, No. 4, 1361-1389.
Lin and Howe (1990) “Insider trading in the OTC market.” The Journal of Finance, Vol. 45, No. 4, 1273-1284.
Meulbroek K. Lisa (1992) “An empirical analysis of illegal insider trading.” The Journal of Finance, Vol. 47, No. 5, 1661-1699.
Patell M. James (1976) “Corporate forecasts of earnings per share and stock price behavior: Empirical test.” Journal of Accounting Research, Vol. 14, No. 2, 246-276.
Penman H. Stephen (1982) “Insider trading and the dissemination of firm’s forecast information.” The Journal of Business, Vol. 55, No. 4, 479-503.
Persons S. Obeua (1997) “SEC’s Insider trading enforcements and target firms stock values.” Journal of Business Research, Vol. 39, No. 3, 187-194.
Seyhun and Nejat (1986) “Insiders' profits, costs of trading, and market efficiency.“ Journal of Financial Economics 16, 189-212.
Seyhun and Bradley (1997) “Corporate bankruptcy and insider trading.” Journal of Business, Vol. 70, No. 2, 189-216.
O’Hara Anthony Phillip (2001) “Insider trading in financial markets: legality, ethics, efficiency. ” International Journal of Social Economics, Vol. 28, No. 10/11/12, 1046-1062.
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