臺灣博碩士論文加值系統

此論文在探討公司家族持股與內部人交易之間的關係，而內部人交易則以盈餘較預期盈餘負差異前之異常融券放空做評估。分析指出家族持股較高的公司，在盈餘(盈餘和預期盈餘有負差異)宣告前有較多的異常融券放空。若家族持股超過23.5%，則該公司盈餘(盈餘和預期盈餘有負差異)宣告前之異常融券放空較盈餘宣告後多。除此之外，分析也指出國內法人持股較高的公司和外資持股較高的公司，在盈餘(盈餘和預期盈餘有負差異)宣告前都有較多的異常融券放空。若國內法人股超過23%，則該公司盈餘(盈餘和預期盈餘有負差異)宣告前之異常融券放空較盈餘宣告後多。

We investigate relationship between family ownership of company and informed trading. We focus on family ownership in companies, and we measure informed trading on abnormal short sales before negative earnings surprises. Our analysis indicates that high family ownership companies experience more abnormal short sales before negative earnings surprises. There are more abnormal short sales pre-announcement than post-announcement when family ownership larger than 23.5 percent. This analysis provides the evidence that informed trading is existed in companies with high family ownership, especially higher than 23.5 percent. Further analysis suggests that the firms with either high local company ownership or high foreign ownership, firms experience more abnormal short sales before negative earnings surprises. There are more abnormal short sales pre-announcement than post-announcement when local company ownership larger than 23 percent. This analysis provides the evidence that informed trading is existed in companies with either high local company ownership or high foreign ownership as well.

Ⅰ. Introduction ………………………………………………… 01
Ⅱ. Literature Review…………………………………………… 04
1. Literature Review on Family Firms………………………… 04
2. Literature Review on Short Sales……………………… 08
Ⅲ. Data and Methodology……………………………………… 09
1. Data………………………………………………………… 09
2. Methodology………………………………………………… 11
Ⅳ. Empirical Results and Analysis…………………………… 16
1. Family Firm in Taiwan……………………………………… 16
2. Summary Statistic…………………………………………… 18
3. Multivariate Tests……………………………………… 19
Ⅴ. Conclusion…………………………………………………… 25
Reference………………………………………………………… 27

Ali, Ashiq, Tai-Yuan Chen, and Suresh Radhakrishnan, 2007, Corporate disclosures by family firms, Journal of Accounting and Economics 44, 238-286.
Anderson, Ronald C., Sattar Mansi, and David M. Reeb, 2003, Founding family ownership and the agency cost of debt, Journal of Financial Economics 68, 263-285.
Andersen, Ronald, David Reeb, and Wanli Zhao, 2012, Family controlled firms and informed trading: evidence from short sales, Journal of Finance, 351-385
Asquith, Paul, Parag A. Pathak, and Jay R. Ritter, 2005, Short interest, institutional ownership, and stock returns, Journal of Financial Economics 78, 243-276.
Bohl, Martin T., Badye Essid, and Pierre L. Siklos, 2011, Do short selling restrictions destabilize stock markets? Lessons from Taiwan, HKIMR Working Paper 11
Chan, Lilian H., Tai-Yuan Chen, and Gilles Hilary, 2010, Insider trading and family firms, working paper, University of Hong Kong.
Christophe, Stephen E., Michael G. Ferri, and James J. Angel, 2004, Short-selling prior to earnings announcements, Journal of Finance 59, 1845-1875.
Chuang, Wen-I and Hsiu-Chuan Lee, 2010, The impact of short-sales constraints on liquidity and the liquidity–return relations, Pacific-Basin Finance Journal 18, 521–535
Chu, Wenyi, 2011, Family ownership and firm performance: influence of family management, family control, and firm size, Asia Pacific Journal of Management 28, 833–851
Diether, Karl B., Kuan-Hui Lee, and Ingrid M. Werner, 2009, Short-sale strategies and return predictability, Review of Financial Studies 22, 575-607.
Hu, Ou, Zhaodan Huang, and Bih-shuang Liao, 2009, Short sale and stock returns: evidence from the Taiwan Stock Exchange, The Quarterly Review of Economics and Finance 49, 1146–1158
Huang, Hsu-Huei and Shr-Ru Ding, 2005, The Impacts of the CPA's Opinion, Institutional Ownership and Information Asymmetry on Stock Return in Bull Market, Fu Jen Management Review 12, 99-125
Lee, Yung-Chuan and Tai Ma, 2006, The study of the cost of debt financing of Taiwan's family firms, Management Review 25, 69-91
Liao, Hsiu-Mei, Jan-Zan Lee, and Shyang-Hua Wu , 2006, The relationships between board structure and firm performance-and the influence of family control in Taiwan listed company, Soochow Journal of Economics and Business 54, 117-160
Lin, Chan-Jane and Che-Chia Chang, 2009, Abnormal change of board members, family firms and fraud, International Journal of Accounting Studies 48, 1-33
Lopez de Silanes, Florencio, Rafael LaPorta, and Andrei Shleifer, 1999, Corporate ownership around the world, Journal of Finance 54, 471-517
Mok, Henry M.K., Kin Lam, and Iris Cheung, 1992, Family control and return covariation in Hong Kong common stocks, Journal of Business Finance &; Accounting 19, 277–293
Ni, Yen-Sen and Jung-Tsen Liao, 2006,The cost of debt and dividend policies of family firms: empirical evidence in companies listed in TSE, Journal of Management and Systems 13, 153-179
Peng, Chien-Hao, 2012, Herdin Behavior in Taiwan Stock Exchange-A Comparison of Institutional and Individual Investors, Graduate Institute of International Business College of Management National Taiwan University
Perez-Gonzalez, Francisco, 2006, Inherited control and firm performance, American Economic Review 96, 1559-1588.
Redding, S. Gordon, 1990, The spirit of Chinese capitalism, Berlin, Germany: Walter de Gruyter
Shleifer, Andrei and Robert W. Vishny, 1997, The limits of arbitrage, Journal of Finance 52, 35-55.
Shyu, Jonchi, 2011, Family ownership and firm performance: evidence from Taiwanese firms, International Journal of Managerial Finance 7, 397-411
Sue, Shu-Hui, Chien-Ju Lu, and Chen-Lung Chin, 2007, The association between family firms and earnings quality: ownership, Management and Control, National Taiwan University Management Review19, S2, 35-70
Taiwan Stock Exchange, http://www.twse.com.tw/ch/trading/margin/margin_law.php
Tang, Li-Fen, 2010, Family-controlled firms characteristics and earnings quality, Journal of Contemporary Accounting 11, 371-410
Villalonga, Belen and Raphael Amit, 2006, How do family ownership, control and management affect firm value? Journal of Financial Economics 80, 385-417.
Yeh, Yin-Hua,1999, Family groupings, core business and return interaction: Taiwan and Hong Kong stock markets, Management Review 18, 59-86
Young, Chaur-Shiuh and Liu-Ching Tsai , 2003, CEO Turnover and relative performance evaluation, Journal of Human Resource 3, 63 -80