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研究生:林彥邦
研究生(外文):Lin, Yanbang
論文名稱:臺灣上市公司財務宣告資訊外露與其信用交易之關聯性
論文名稱(外文):Correlations Between Information Leaking Of Financial Announcements For Listed Companies And Credit Transactions Of These Stocks In The Taiwan Stock Mmarket
指導教授:劉曦敏劉曦敏引用關係
指導教授(外文):Liu, Shimiin
口試委員:陳孝琪鄭漢亮
口試委員(外文):Chen, HsiaochiCheng, Hanliang
口試日期:2012-06-22
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:58
中文關鍵詞:財務報告宣告資訊外露信用交易融資融券
外文關鍵詞:financial announcementinformation leakingcredit transactionmarginshort-selling
相關次數:
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本研究利用我國2011年第三季的資料,探討上市公司在其財務報告宣告前資訊是否已外露,以致出現異常的信用交易量,投資人待宣告後可獲取利潤或減少損失。篩選樣本後,本研究依營收成長率及稅後淨利成長率將公司區分為經營績效較佳者及經營績效較差者二類。其次,將財務報告宣告前時段區分為宣告日前一交易日至前二交易日、前三交易日及前四交易日三種,以驗證距離宣告日長短與資訊外露的相關程度。

實證結果發現:
(1)資訊外露
經營績效較差的公司在財務報告宣告前異常融券賣出量會增加,且隨距離宣告日愈近資訊外露的程度愈高。
(2)含權證與不含權證
不含權證交易的經營績效較差的公司,在財務報告宣告前異常融券賣出量會高於含權證交易的公司。
(3)投資人的融券交易策略
在財務報告宣告前,投資人會針對股價較低且經營績效較差的公司增加融券賣出量。
在財務報告宣告前,投資人會針對市值較低且經營績效較差的公司增加融券賣出量。
在財務報告宣告前,投資人對經營績效較差的公司不會其依股價淨值比大小調整融券交易的策略。
(4)週五效應
若財務報告預計於週五宣告,則在財務報告宣告前異常融資買進與融券賣出量都會增加。

This paper uses data of the third season in 2011 to examine whether information leaks prior to companies’ financial report announcements in Taiwan. The abnormal credit transactions may appear if information about the announcement does leak, so investors can take advantage of it. After carefully selecting the sample data, companies are divided into two groups: superior and inferior, based on their growth rates of sales and growth rates of net income. Moreover, to inspect the relationships between lengths of the pre-announcement period and the degree of information leaking, we consider one-to-two, one-to-three, and one-to-four trading days prior to the financial report announcements.
Our major findings are as follow.
(1)Information Leaking
Abnormal short-selling increase for inferior companies prior to their financial report announcements, and the degree of information leaking increases as closer to the announcement date.
(2)With or Without Warrant Trading
Abnormal short-selling volumes are larger for inferior companies without warrant trading than those with warrant trading.
(3)Short-selling Strategies of Investors
Investors will target inferior companies with low stock prices to execute short-selling prior to their financial report announcements.
Investors will choose inferior companies with low market values to perform short-selling prior to their financial report announcements.
Price-book ratios are not criterion used by investors to take advantage of pre-announcement information leaking for inferior companies by short-selling their stocks.
(4)The Friday effect
If companies’ financial reports are planned to be announced on Friday, then abnormal margin and short-selling transactions increase significantly.
目錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第二章 文獻回顧 5
第一節 投資人增加融券交易的原因 5
第二節 融券交易的策略 7
第三節 以美國Nasdaq為例說明財務報告宣告前異常融券增加的情形 8
第三章 樣本篩選及研究方法 9
第一節 樣本選定及篩選 9
第二節 樣本分析 13
第三節 模型定義 18
第四章 實證結果分析 26
第一節 經營績效較佳公司 27
第二節 經營績效較差公司 32
第三節 含與不含權證經營績效較差公司 38
第四節 經營績效較差公司融券賣出策略 41
第五節 週五效果 45
第五章 結論與建議 50
第一節 結綸 50
第二節 建議與未來研究方向 51
參考文獻 52
附錄 53

參考文獻
Aitken, M. J., Frino, A., McCorry, M. S., & Swan, P. L. (1998). Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange. The Journal of Finance, 53(6), 2205-2223.
Christophe, S. E., Ferri, M. G., & Angel, J. J. (2004). Short-Selling Prior to Earnings Announcements. The Journal of Finance, 59(4), 1845-1876.
Dechow, P. M., Hutton, A. P., Meulbroek, L., & Sloan, R. G. (2001). Short-sellers, fundamental analysis, and stock returns. Journal of Financial Economics, 61(1), 77-106.
Desai, H., Ramesh, K., Thiagarajan, S. R., & Balachandran, B. V. (2002). An Investigation of the Informational Role of Short Interest in the Nasdaq Market. The Journal of Finance, 57(5), 2263-2287.
Diamond, D. W., & Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
Geczy, C. C., Musto, D. K., & Reed, A. V. (2002). Stocks are special too: an analysis of the equity lending market. Journal of Financial Economics, 66, 241-269.
Senchack, A. J., & Starks, L. T. (1993). Short-Sale Restrictions and Market Reaction to Short-Interest Announcements. Journal of Financial and Quantitative Analysis, 28(02), 177-194.

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