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研究生:陳妍希
研究生(外文):Chen,Yen-Hsi
論文名稱:股票購回與內部人交易之關聯性探討
論文名稱(外文):Association of Share Repurchase and Insider Trading
指導教授:吳桂燕吳桂燕引用關係
指導教授(外文):Wu, Kuei-Yen
口試委員:吳桂燕林容如黃彥聖
口試委員(外文):Wu, Kuei-YenLin, Jung-JuHuang, Yen-Sheng
口試日期:2011-07-01
學位類別:碩士
校院名稱:輔仁大學
系所名稱:企業管理學系管理學碩士班
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:2013
畢業學年度:101
語文別:中文
論文頁數:56
中文關鍵詞:股票購回內部人交易
外文關鍵詞:share repurchaseinsider trading
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以2001年1月1日至2010年9月30日止台灣證券市場宣告股票購回之上市上櫃公司為研究對象,以股票購回前後內部人持股變化探討內部人在股票購回事件前後是否存在異常交易行為,研究內部人是否利用資訊優勢,在股票購回宣告釋放隱含正向訊息之際掌握買賣操作時機。此外,本研究亦探討內部人持股變化與股票購回宣告後公司財務績效之相關性,觀察在預期利多空消息下,內部人的交易行為是否存在顯著差異性,探討內部人是否依據私人訊息進行股票之買賣。
  本研究實證結果如下:1.全體樣本短期內部人呈現執行前淨賣出而執行後淨買入之現象;董監事呈現執行前淨賣出而執行後仍持續呈現淨賣出,經理人與十大股東均未達統計顯著,短期不支持內部人掌握賣出時機假說。獨立樣本均未達統計顯著。2.短中期(三個月內)全體樣本與獨立宣告樣本之結論一致,內部人與十大股東在執行前呈現淨賣出執行後呈現淨買入;董監事在執行前呈現淨賣出執行後持續呈現淨賣出;經理人未達統計顯著,短中期亦不支持內部人掌握賣出時機假說。3.預期盈餘績效之研究,短中期顯示內部人無論預期盈餘之表現理想與否均會在股票購回執行後顯著買進增加持股,不支持內部人掌握賣出時機假說。4.預期盈餘迴歸模式顯示短期無論利多或利空盈餘資訊宣告,全體內部人與十大股東在購回活動執行後均減少持股,董監事與經理人未達統計顯著。
  This study examines companies listed in the GreTai Securities Market (GTSM) and the Taiwan Stock Exchange (TWSE) that announced share repurchase programs between January 1, 2001, and September 30, 2010, to find out, based on insider ownership changes before and after the share buybacks, if company insiders demonstrated abnormal trading behaviors. Whether insiders would use their information advantages to buy or sell stocks when the company announced the buyback, which is implicitly a positive message, is studied. In addition, this study also explores the relationship between insider ownership changes and company financial performance after the announcement of the repurchase plans. By observing whether the trading behaviors of insiders had any significant difference given the expected bullish and bearish news, the study explores whether insiders would trade stocks according to information only private to them.
  The empirical results of this study are as follows. First, in the short term, all insider samples posted net share sales before the repurchases and net purchases after the buybacks. Board members posted net share sales both before and after the repurchases while stock trading by managers and top 10 shareholders was not statistically significant. Evidence does not support the hypothesis that insiders have a better chance to grasp the opportunity to sell. Results for independent samples were not statistically significant. Second, in the short and medium term (3 months), the results for all samples and independent samples are the same. Insiders and top 10 shareholders posted net sales before the repurchases and net purchases after the buybacks. Board members posted net sales before and after the repurchases. Stock trading by managers was not statistically significant and evidence does not support the hypothesis that insiders have a better chance to grasp the opportunity to sell. Third, an examination of expected earnings performance shows that insiders would increase their shares after the share buybacks regardless of the expected earnings performance and therefore does not support the hypothesis that insiders have a better chance to grasp the opportunity to sell. Fourth, the regression of expected earnings indicates that regardless of positive or negative announcements on earnings, all insiders and top 10 shareholders reduced their shares after the buybacks and stock trading by board members and managers was not statistically significant.
目 錄

第 壹 章 緒論1
第 一 節 研究動機 1
第 二 節 研究目的 3

第 貳 章 文獻探討 4
第 一 節 股票購回宣告4
第 二 節 內部人交易5

第 參 章 研究方法 14
第 一 節 研究假說 14
第 二 節 研究期間與樣本15
第 三 節 變數定義與衡量16
第 四 節 實證分析方法22

第 肆 章 實證結果分析25
第 一 節 財務與股價報酬之績效統計25
第 二 節 股票購回執行前後內部人持股變動情況26
第 三 節 內部人持股率變化量與公司經營績效關聯之實證結果34
第 四 節 內部人持股百分比變化量與公司未來績效關聯之實證結果42

第 伍 章 結論與建議49
第 一 節 結論49
第 二 節 未來研究的建議50

參考文獻52

表目錄

表 2-2-1 本研究之文獻探討整理7
表 4-1-1 宣告股票購回公司之財務特性與內部人持股率之敘述性統計25
表 4-1-2 異常報酬敘述性統計26
表 4-2-1 股票購回執行前後內部人持股百分比之淨變動量 (全樣本)29
表 4-2-2 股票購回執行前後內部人持股百分比之淨變動量 (獨立樣本)30
表 4-2-3 庫藏股執行前後一個月內部人持股率變化量之差異檢定32
表 4-2-4 庫藏股執行前後三個月內部人持股率變化量之差異檢定34
表 4-3-1 以盈餘績效區分內部人持股率在股票購回執行前後一個月之變動(全樣本)36
表 4-3-2 以盈餘績效區分內部人持股率在股票購回執行前後一個月之變動(獨立樣本)37
表 4-3-3 以盈餘績效區分內部人持股率在股票購回執行前後三個月之變動(全樣本)40
表 4-3-4 以盈餘績效區分內部人持股率在股票購回執行前後三個月之變動(獨立樣本)41
表 4-4-1 股票購回執行完畢後一個月內部人持股率變化量與公司經營績效之關聯性─以EPS為指標
(全樣本)44
表 4-4-2 股票購回執行完畢後一個月內部人持股率變化量與公司經營績效之關聯性─以EPS為指標
(獨立宣告樣本)45
表 4-4-3 股票購回執行完畢後三個月內部人持股率變化量與公司經營績效之關聯性─以EPS為指標
(全樣本)47
表 4-4-4 股票購回執行完畢後三個月內部人持股率變化量與公司經營績效之關聯性─以EPS為指標
(獨立宣告樣本)48

圖目錄

圖 3-3-2 股票購回不含跨月時間軸17
圖 3-3-3 以股票購回宣告日為事件日之異常報酬衡量時間期 19
圖 3-3-4 以股票購回執行完畢日為事件日之異常報酬衡量時間期19

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10.莊澄祥(2003)。庫藏股與公司股價、員工分紅配股及投資支出關聯性之研究-以台灣上市公司為例。中原大學企業管理所未出版之碩士論文,桃園縣。
11.溫育芳、陳隆麒、劉玉珍(2005)。「內部人與非內部人鉅額交易之價格反應比較」。貨幣觀測與信用評等,2005年1月,11-25。
12.羅庚辛、蔡文賢、許明峰、簡瑞廷(2005)。「國內上市公司內部人交易與經營績效及影響交易因素關係之研究」。會計評論,41,33-51。

英文部份
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