在過去的文獻當中,經理人的薪資結構主要都是在解決代理問題,使得經理人和股東的利益一致,而內線交易的問題則多半在探討價格的效率性、市場流動性或是交易量等相關問題。在這篇論文中,我們主要就是藉由經理人的薪資結構和內線交易來探討關於公司經理人如何選擇在一週的某一天宣告公司的重大資訊,並且如何影響到外部投機者取得資訊的意願進而影響證券的價格和交易量。由於公司經理人的報酬來源有兩個:一、經營公司所獲得的薪資結構,其中薪資結構的報酬正比於股票的價格波動度。二、存在進行內線交易的機會,獲取額外的報酬。所以經理人選擇揭露公司資訊的時間點是為了能夠極大化透過證券市場交易和薪資結構所獲得的期望報酬。公司經理人在大部分的情形下,比較願意在星期三到星期六宣布公司的相關資訊,只有少部份的情形下會在星期二公開資訊。在經理人已經事先決定公司資訊揭露的日子時,由於資訊可能會事先洩漏,因此在經理人公開資訊的前一天時,證券市場的價格和交易量會反映部分資訊。給定在公開資訊都是在重大資訊宣告日的前一天抵達市場,在比較小的資訊搜尋成本和未平倉懲罰下,重大資訊宣告日的前一日是星期一時,資訊效率性會比較高、價格波動性比較小、期望交易量比較大;而在比較大的資訊搜尋成本或是未平倉懲罰時,重大資訊宣告日的前一日是星期二到星期五的其中一天,資訊效率性會比較高、價格波動性比較大和期望交易量比較小。

英文摘要 In the previous literatures, the main function of executive compensation package is to address the agency problem exists between managers and shareholders and to align the benefits between these two parties. In addition, most of the previous researches about inside trading focus on the issues of efficiency, liquidity, and trading volume. In this paper, we try to discuss the relations among managerial compensation package, inside trading, and the timing choice of corporate disclosure, and how to affect the information acquisition willingness of outside speculators to influence the stock volatility and trading volume. There exist two different kinds of sources of executive compensation package. First of all, the compensation managers can get from running the business, which is positively correlated with the stock price volatility. Secondly, the existences of the opportunity of inside trading, which can let managers get extra profit. As a result, while deciding the disclosure of firm''s information, managers will also consider maximizing profit then choosing the disclosure date. In most cases, managers will prefer announce firm''s information from Wednesday to Saturday. Only a few of them will choose to disclose information on Tuesday. Due to information leakage before pre-determined corpotare disclosure date T, the security price and trading volume at time T-1 reflects a part of information. Given all the public information will arrive at time T-1, under lower information searching cost and punishment for open interest, we find out information efficiency and trading volume is higher and price volatility is lower when the day before corporate disclosure is Monday; under higher information searching cost or punishment for open interest, we find out information efficiency and price volatility is higher and trading volume is lower when the day before corporate disclosure is among Tuseday to Friday.

1 緒論 7
2 文獻回顧 12
2.1 公司經理人的薪資結構 12
2.2 內部人交易 16
2.3 股市交易量的型態 19
3 模型設定和均衡結果 22
3.1 報價驅動市場機制下的模型設定 22
3.2 均衡求解 25
3.2.1證券市場在時間T-2和T-1都關閉26
3.2.2證券市場在時間T-2開放，T-1關閉26
3.2.3證券市場在時間T-2關閉，T-1開放27
3.2.4證券市場在時間T-2和T-1都開放38
3.3 公司經理人選擇重大資訊宣告日 49
3.3.1重大資訊宣告日T是在星期天和星期一49
3.3.2重大資訊宣告日T是在星期二50
3.3.3重大資訊宣告日T二星期三、四、五和六50
4 延伸探討 54
4.1不同交易機制54
4.2不同資訊結構56
4.3公司重大資訊宣告日、選擇權生效日和到期日57
5 結論 59
參考文獻 60
附錄 67

Admati, A.R. and Pfleiderer, P. (1988),"A theory of intraday patterns: Volume and price variability", Review of Financial Studies, 1(1):3-40,

Admati, A.R. and P. Pfleiderer, (2000), "Forcing firms to talk: Financial disclosure regulation and externalities", Review of Financial Studies, 13(3):479-519


Ausubel, L.M. (1990), "Insider trading in a rational expectations economy", American Economic Review, 80(5):1022-1041,


Back, K. and H. Pedersen, (1998), "Long-lived information and intraday patterns", Journal of Financial Markets, 1:385-402,


Bagnoli, M. and N. Khanna, (1992), "Insider trading in financial signaling models", Journal of Finance, 47(5):1905-1934,


Banerjee, A. and E.W. Eckard, (2001), "Why regulate insider trading? Evidence from the first great merger wave :1897-1903", American Economic Review, 91(5):1329-1349,


Basak, S., A. Pavlova, and A. Shapiro, (2007), "Optimal asset allocation and risk shifting in money management", Review of Financial Studies, 20(5):1583-1621,


Bernhardt, D., and B. Hollifield and E. Hughson, (1995), "Investment and insider trading", Review of Financial Studies, 8(2):501-543,


Bhattacharya, S. and G. Nicodano, (2001), "Insider trading, investment, and liquidity: A welfare analysis", Journal of Finance, 56(3):1141-1156,


Bhattacharya, U. and H. Daouk, (2002), "The world price of insider trading", Journal of Finance, 57(1):75-108,


Bliss, R.T. and R.J. Rosen, (2001), "CEO compensation and bank mergers", Journal of Financial Economics, 61(1):107-138,
Brisley, N. (2006), "Executive stock options: Early exercise provisions and risk-taking incentives", The Journal of Finance, 61(5):2487-2509


Brock, W.A. and A.W. Kleidon, (1992), "Periodic market closure and trading volume: A model of intraday bids and asks", Journal of Economic Dynamics and Control, 16:451-489,


Bushman, R.M., J.D. Piotroski, and A.J. Smith, (2005), "Insider trading restrictions and analysts'' incentives to follow firms", Journal of Finance, 60(1):35-66,


Cadenillas, A., J. Cvitani, and F. Zapatero, (2004), "Leverage decision and manager compensation with choice of effort and volatility", Journal of Financial Economics, 73(1):71-92,


Cao, C., L.C. Field, and G. Hanka, (2004), "Does insider trading impair market liquidity? Evidence from IPO lockup expirations", Journal of Financial and Quantitative Analysis, 39(1):25-46,


Carpenter, J.N. (2000), "Does option compensation increase managerial risk appetite?", Journal of Finance, 55(5):2311-2331,


Chakravarty, S. and J.J. McConnell, (1999), "Does insider trading really move stock prices?", Journal of Financial and Quantitative Analysis, 34(2):191-209,


Chan, K.C., W.G. Christie, and P.H. Schultz, (1995), "Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities", Journal of Business, 68(1):35-60,


Chan, K., Y.P. Chung, and H. Johnson, (1995), "The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options", Journal of Financial and Quantitative Analysis, 30(3):329-346,


Chang, E.C., J.M. Pinegar, and B. Schachter, (1997), "Interday variations in volume, variance and participation of large speculators", Journal of Banking and Finance, 21(6):797-810,


Cheng, Q. and K. Lo, (2006), "Insider trading and voluntary disclosures", Journal of Accounting Research, 44(5):815-848


Chung, K.H. and R.A. Van Ness, (2001), "Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks", Journal of Financial Markets, 4(2):143-161,


Coles, J.L., N.D. Daniel, and L. Naveen, (2006), "Managerial incentives and risk-taking", Journal of Financial Economics, 79(2):431-468,


Cornell, B. and E.R. Sirri, (1992), "The reaction of investors and stock prices to insider trading", Journal of Finance, 47(3):1031-1059,


Crocker, K.J. and J. Slemrod, (2007), "The economics of earnings manipulation and managerial compensation", Rand Journal of Economics, 38(3):698-713,


Datta, S., M. Iskandar-Datta, and K. Raman, (2005), "Executive Compensation Structure and Corporate Equity Financing Decisions", Journal of Business, 78(5):1859-1889,


Datta, S., M. Iskandar-Datta, and K. Raman, (2001), "Executive compensation and corporate acquisition decisions", Journal of Finance, 56(6):2299-2336,


DellaVigna, S. and J.M. Pollet, (2009), "Investor inattention, firm reaction, and Friday earnings announcement", Journal of Finance, 64(2):709:748


DeMarzo, P.M., M.J. Fishman, and K.M. Hagerty, (1998), "The optimal enforcement of insider trading regulations", Journal of Political Economy, 106(3):602-632,


Dittmann, I. and E.G. Maug, (2007), "Lower salaries and no options? On the optimal structure of executive pay", Journal of Finance, 62(1):303-343


Dow, J. and C.C. Raposo, (2005), "CEO compensation, change, and corporate strategy", Journal of Finance, 60(6):2701-2727,


Dutta, S. (2003), "Capital budgeting and managerial compensation: Incentive and retention effects", Accounting review, 78(1):71-93,


Dye, R.A. (1984), "Inside trading and incentives", Journal of Business, 57(3):295-313,


Elliott, J., D. Morse, and G. Richardson, (1984), "The association between insider trading and information announcements", Rand Journal of Economics, 15(4):521-536,


Fenn, G.W. and N. Liang, (2001), "Corporate payout policy and managerial stock incentives", Journal of Financial Economics, 60(1):45-72,


Ferguson, M.F. and S.C. Mann, (2001), "Execution Costs and Their Intraday Variation in Futures Markets", Journal of Business, 74(1):125-160,


Fernandes, N. and M.A. Ferreira, (2009), "Insider trading laws and stock price informativeness", Review of Financial Studies, 22(5):1845-1887,


Fischer, P.E. (1992), "Optimal contracting and insider trading restrictions",
Journal of Finance, 47(2):673-694,


Fishman, M.J. and K.M. Hagerty, (1995), "The mandatory disclosure of trades and market liquidity", Review of Financial Studies, 8(3):637-676,


Fishman, M.J. and K.M. Hagerty, (1992), "Insider trading and the efficiency of stock prices", RAND Journal of Economics, 23(1):106-122,


Foster, F.D. and S. Viswanathan, (1990), "A theory of the interday variations in volume, variance, and trading costs in securities markets", Review of Financial Studies, 3(4):593-624,


Foster, F.D. and S. Viswanathan, (1993), "Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models", Journal of Finance, 48(1):187-211,


Garfinkel, J.A. and M. Nimalendran, (2003), "Market structure and trader anonymity: an analysis of insider trading", Journal of Financial and Quantitative Analysis, 38(3):591-610,


Garvey, R. and F. Wu, (2009), "Intraday time and order execution quality dimensions", Journal of Financial Markets, 12(2):203-228,


Gerety, M.S. and J.H. Mulherin, (1994), "Price formation on stock exchanges: The evolution of trading within the day", Review of Financial Studies, 7(3):609-629,


Giammarino, R., R. Heinkel, and B. Hollifield, (1994), "Corporate financing decisions and anonymous trading", Journal of Financial and Quantitative Analysis, 29(3):351-377,


Givoly, D. and D. Palmon, (1985), "Insider trading and the exploitation of inside information: Some empirical evidence", Journal of Business, 58(1):69-87,


Glosten, L.R. and P.R. Milgrom (1985), "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders", Journal of financial economics, 14(1):71-100,


Glosten, L.R. (1989), "Insider trading, liquidity, and the role of the monopolist specialist", Journal of Business, 62(2):211-235,


Graham, J.R., M.H. Lang, and D.A. Shackelford, (2004), "Employee stock options, corporate taxes, and debt policy", Journal of Finance, 59(4):1585-1618,


Gu, F. and J.Q. Li, (2007), "The credibility of voluntary disclosure and insider stock transactions", Journal of Accounting Research,
45(4):771-810,


Habib, M.A. and A. Ljungqvist, (2005), "Firm Value and Managerial Incentives: A Stochastic Frontier Approach", Journal of Business, 78(6):2053-2093,


Han, L.M. and R. MacMinn, (2006), "Stock Options and the Corporate Demand for Insurance", Journal of risk and insurance,
73(2):231-260,


Huddart, S., J.S. Hughes, and C.B. Levine, (2001), "Public disclosure and dissimulation of insider trades", Econometrica, 69(3):665-681,


Hupperets, E.C.J. and A.J. Menkveld, (2002), "Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York", Journal of Financial Markets, 5(1):57-82,


Jensen, M.C. and W.H. Meckling, (1976), Theory of the firm: Managerial behavior, agency costs and ownership structure, Journal of financial economics, 3(4):305-360,


Jin, L. (2002), "CEO compensation, diversification, and incentives",
Journal of Financial Economics, 66(1):29-63,


John, K. and R. Narayanan, (1997), "Market Manipulation and the Role of Insider Trading Regulations", Journal of Business, 70(2):217-247,


John, T.A. and K. John, (1993), "Top-management compensation and capital structure", Journal of Finance, 48(3):949-974,


Kadan, O. and J.M. Swinkels, (2008), "Stocks or options? Moral hazard, firm viability, and the design of compensation contracts", Review of Financial Studies, 21(1):451-482,


Khanna, N., S.L. Slezak, and M. Bradley, (1994), "Insider trading, outside search, and resource allocation: Why firms and society may disagree on insider trading restrictions", Review of Financial Studies, 7(3):575-608,


Kim, O. and R.E. Verrecchia, (2001), "The relation among disclosure, returns, and trading volume information", Accounting Review, 76(4):633-654,


Knopf, J.D., J. Nam, and J.H. Thornton Jr, (2002), "The volatility and price sensitivities of managerial stock option portfolios and corporate hedging", Journal of Finance, 57(2):801-813,


Kyle, A.S. (1985), "Continuous auctions and insider trading", Econometrica, 53(6):1315-1335,


Laffont, J.J. and E.S. Maskin, (1990), "The efficient market hypothesis and insider trading on the stock market", Journal of Political Economy, 98(1):70-93,


Leland, H.E. (1992), "Insider trading: Should it be prohibited?",
Journal of Political Economy, 100(4):859-887,


Madhavan, A., M. Richardson, and M. Roomans, (1997), "Why do security prices change? A transaction-level analysis of NYSE stocks", Review of Financial Studies, 10(4):1035-1064,


Manove, M. (1989),
"The harm from insider trading and informed speculation",
Quarterly Journal of Economics, 104(4):823-845,


McInish, T.H. and R.A. Wood, (1992), "An analysis of intraday patterns in bid/ask spreads for NYSE stocks", Journal of Finance,
47(2):753-764,


Mendelson, H. and T.I. Tunca, (2004), "Strategic trading, liquidity, and information acquisition", Review of Financial Studies, 17(2):295-337,


Meulbroek, L.K. (1992), "An empirical analysis of illegal insider trading",
Journal of Finance, 47(5):1661-1699,


O''Connor, M.L. and M. Rafferty, (2010), "Incentive effects of executive compensation and the valuation of firm assets", Journal of Corporate Finance, Ross, S.A. (2004),
"Compensation, incentives, and the duality of risk aversion and riskiness",
Journal of Finance, 59(1):207-225,


Roulstone, D.T. (2001), "The relation between insider-trading restrictions and executive compensation", Journal of Accounting Research,
41(3):525-551,


Rozeff, M.S. and M.A. Zaman, (1988), "Market efficiency and insider trading: New evidence", Journal of Business, 61(1):25-44,


Seyhun, H.N. (1986), "Insiders'' profits, costs of trading, and market efficiency", Journal of Financial Economics, 16(2):189-212,


Vives, X., (1995), "Short-term investment and the informational efficiency of the market", Review of Financial Studies, 8(1):125-160,


Werner, I.M. and A.W. Kleidon, (1996), "UK and US trading of British cross-listed stocks: An intraday analysis of market integration", Review of Financial Studies, 9(2):619-664,