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研究生:謝竣宇
研究生(外文):HSIEH, CHUN-YU
論文名稱:內部人交易對未來股票績效之影響
論文名稱(外文):The Impact of Insider Trading on Future Stock Performance
指導教授:王祝三王祝三引用關係
指導教授(外文):WANG, CHU-SAN
口試委員:陳若暉林美珍
口試委員(外文):Jo-Hui ChenLin, Mei-Chen
口試日期:2012-06-15
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:企業管理學系
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:2012
畢業學年度:100
語文別:英文
論文頁數:34
中文關鍵詞:內部人交易股票報酬
外文關鍵詞:Insider tradingStock return
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本文以美國三大證券交易所(NYSE/AMEX/Nasdaq)之內部人持股金額變動月資料為研究樣本,探討各項交易動機對內部人交易行為之影響及其對未來股票績效之預測能力。實證結果發現,當市場對公司股價錯估的程度越大,內部人越會藉由本身的資訊優勢來買賣公司股票並可獲致長期正向之股票異常報酬。再者,內部人也會基於多角化、投資組合再平衡等非資訊交易動機出售手中持股。而基於非資訊交易動機所買賣的股票,其所獲致之未來股票報酬是不顯著的。
相較於過去文獻使用淨值市值比此含有雜訊之指標,也未區分與控制資訊與非資訊交易動機之作法,本文透過控制重要之相關變數,並採用定價偏離指標作為股價錯估程度之代理變數,所得之實證結果對於過去文獻對內部人交易是否具有資訊內涵,迄今尚無定論之現象,提供了一個較為客觀可信之參考依據。
This study explores the factors associated with multiple motives of insider trading and investigates the relationship between insider trading resulted from corresponding trading motives and subsequent stock performance. According to the empirical evidences, we find that insiders can profit from trading behaviors when the stock misvaluation occurs in the market. In addition, insiders tend to sell for non-information motives like diversification and re-balancing objectives, however, the following subsequent stock returns based on non-information motives do not appear statistically significance.
Compared with the past methodology, this study not only first measures the stock valuation errors by using the pricing deviation proxy, but also distinguishes and controls for information and non-information trading motives of insiders’ trading behaviors. We infer that the positive stock performance caused by information-based trading maybe offset by the negative stock performance caused by non-information-based trading, which possibly leads to the inconclusive conclusion of informativeness of insiders’ trading in the extant literature so far.
論文提要 ................................................................................................................ I
ABSTRACT ......................................................................................................... II
CONTENTS ........................................................................................................ III
TABLE ................................................................................................................ IV
1. Introduction ........................................................................................... 1
2. Literature Review .................................................................................. 5
2.1 The determinants of insider trading ...................................................... 5
2.2 Insider trading and future stock performance ....................................... 7
3. Data and Methodology .......................................................................... 9
3.1 Data ....................................................................................................... 9
3.2 Hypothesis ........................................................................................... 10
3.3 Model specifications ........................................................................... 11
3.4 Variable definition ............................................................................... 13
3.5 Expected empirical results .................................................................. 16
4. Preliminary Statistics and Empirical Analysis .................................... 21
4.1 Preliminary data analysis .................................................................... 21
4.2 Empirical analysis ............................................................................... 22
5. Summary and Conclusions ................................................................. 31
References ........................................................................................................... 33
Chan, K., Ikenberry, D., & Lee, I. (2007). Do managers time the market? Evidence from open-market share repurchases. Journal of Banking and Finance, 31(9), 2673-2694.
Finnerty, J. E. (1976). Insiders and market efficiency. Journal of Finance, 31(4), 1141-1148.
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Jeng, L., Metrick, A., & Zeckhauser, R. (2003). Estimating the returns to insider trading: A performance-evaluation perspective. Review of Economics and Statistics, 85(2), 453-471.
Jenter, D. (2005). Market time and managerial portfolio decisions. Journal of Finance, 60(4), 1903-1949.
Jiang, X., & Zaman, M. A. (2010). Aggregate insider trading: Contrarian beliefs or superior information? Journal of Banking and Finance, 34(6), 1225-1236.
Kallunki, J., Nilsson, H., & Hellstrom, J. (2009). Why do insiders trade? Evidence based on unique data on Swedish insiders. Journal of Accounting and Economics, 48(1), 37-53.
Ke, B., Huddart, S., & Petroni, K. (2003). What insiders know about future earnings and how they use it: Evidence from insider trades.Journal of Accounting and Economics, 35(3), 315-346.
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Lin, J., & Howe, J. (1990). Insider trading in the OTC market. Journal of Finance, 45(4), 1273-1284.
Piotroski, J. D., & Roulstone, D. T. (2005). Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realization? Journal of Accounting and Economics, 39(1), 55-81.
Rhodes-Kropf, M., Robinson, D. T., & Viswanathan, S. (2005). Valuation waves and merger activity: The empirical evidence. Journal of Financial Economics, 77(3), 561-603.
Rozeff, M. S., & Zaman, M. A. (1988). Market efficiency and insider trading: New evidence. Journal of Business, 61(1), 25-44.
Rozeff, M., & Zaman, M. (1998). Overreaction and insider trading: Evidence from growth and value portfolios. Journal of Finance, 53(2), 701-716.
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