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研究生:吳清池
研究生(外文):Ching-Chih Wu
論文名稱:內部人交易與機構投資人持股對公司長期績效之影響~以現金增資及併購為例
論文名稱(外文):The Impacts of Insider Trading and Institutional Ownership on the Long-run Corporate Performance: Evidence from SEOs and M&As
指導教授:林丙輝林丙輝引用關係楊東曉楊東曉引用關係
指導教授(外文):Bing-Huei LinTung-Hsiao Yang
口試委員:徐俊明徐政義戴維芯
口試委員(外文):Junming HsuCheng-Yi ShiuVivian W. Tai
口試日期:2017-12-19
學位類別:博士
校院名稱:國立中興大學
系所名稱:財務金融學系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:英文
論文頁數:99
中文關鍵詞:內部人交易機構投資人持股外溢效果投資策略
外文關鍵詞:insider tradeinstitutional holdingspillover effectinvestment strategy
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在股票市場的交易行為中,內部人與機構投資人一般被視為私人資訊的擁有者,現有實證結果也發現私人資訊擁有者在公司重大事件中利用私人資訊來調整其持股的部位。本文研究在公司的現金增資與併購事件中,機構投資人與內部人交易對公司長期績效的解釋能力,並探討這兩種投資人行為的交互影響,主要的
研究主題如下:
(一)機構投資人對事件公司的持有股份是否會受到公司內部人交易的變化而產生明顯的改變?
(二)內部人交易和機構投資人持股的改變均可能對公司現金增資或併購的結果產生影響,何者對公司市場表現有較佳的解釋能力?
(三)內部人交易與機構投資人持股的改變是否存在外溢效果?亦即同產業競爭公司的內部人與機構投資人持股是否會受到事件公司內部人與機構投資人持股的影響而改變?
(四)現金增資公司的機構投資人持股是否受到公司投資策略的影響?公司投資決策如何影響公司長期市場表現?
實證結果發現:公司內部人與機構投資人在現金增資或併購事件中可能利用部分類似的私有資訊,因此內部人交易與機構投資人持股變化呈現相似的交易行為。另外,內部人交易對公司長期市場表現的解釋能力較機構投資人顯著,但機構投資人持股的改變則存在較明顯的外溢效果。最後機構投資人持股的改變對公司長期市場表現有顯著正向的影響,但其持股變化在不同投資策略的公司間並無明顯的差異。
本研究實證結果在相關文獻上的貢獻如下:
(一)對於擁有私有資訊的投資人行為有更進一步的了解,並藉此檢定過程了解私有資訊對於公司重大事件後長期市場表現的解釋能力,這將有助於其他投資人預期公司重大事件後的市場表現;
(二)透過外溢效果的檢驗可以了解在產業競爭下,事件公司與競爭者間的內部人與機構投資人的互動效果,並且可以分析在資訊不對稱的環境下,內部人和機構投資人如何利用競爭者私人資訊的揭露來調整其持股部位,對於公司資訊在同產業間的傳遞將有更進一步的認識。
(三)了解公司投資決策如何影響機構投資人的持股,並對公司未來的市場表現能加以預測。
This dissertation investigates the interaction between insider trades and institutional holdings and how firms’ pre-issue investment levels and changes in institutional ownership affect their long-run performance around the specific corporate events, like SEOs and M&As. There are four issues in the dissertation. First, I test how insider trading affects the trading behavior of institutional investors in both events. Second, I examine whose trading behavior, either insiders or institutional investors, has greater explanatory power for the long-run performance after the two events. Third, I analyze the industry-wide spillover effects of insider trades and institutional holdings. Finally, I investigate the impact of investment strategy on the changes in institutional ownership and how the impact affects the firms’ long-run performance after SEOs.
Empirically, I find that insiders and institutional investors of SEO firms and acquiring firms may utilize the similar information in their transactions because insider trades induce the similar trading behavior of institutional investors, particularly in the selling behavior of insider trades. In addition, institutional holdings, relative to insider trades, have greater explanatory power for firms’ long-run performance after SEOs. Moreover, there exist significant spillover effects of institutional ownership on those of matching firms around SEOs and M&As. Finally, I also find that pre-issue abnormal investment, including underinvesting and overinvesting groups, tends to underperform in the long-run after SEOs and changes in institutional ownership around SEOs positively associate with firms’ long-run performance.
The main contribution of this dissertation is to comprehensively analyze the trading behavior of insiders and institutional investors as well as reveal the spillover effect in these events. Further, the results suggest that long-run investors should be cautious of buying new-issue shares of underinvesting and overinvesting firms, especially those with insignificant increases in institutional ownership.
1. Introduction 1
1.1. Informed traders 2
1.2. Research motivation 4
1.3. Research contributions 5
2. Insider trading and institutional ownership in SEOs and M&As 7
2.1. Introduction 7
2.2. Literature review and research hypotheses 10
2.3. Methodology 17
2.3.1. Measuring insider trading 17
2.3.2. Measuring changes in institutional ownership 18
2.3.3. Measuring long-run market performance 18
2.3.4. Selecting matching firms 19
2.3.5. Empirical models 20
2.4. Data and sample characteristics 22
2.5. Empirical results 25
2.5.1. Institutional ownership 25
2.5.2. Operational performance 25
2.5.3. Insider transaction of sample firms 26
2.5.4. Changes in institutional ownership and insider trading 26
2.5.5. Three-year BHARs 28
2.5.6. Spillover effect of insider trades 29
2.5.7. Spillover effect of institutional ownership 30
2.6. Conclusion remarks 31
3. Abnormal investment, changes in institutional ownership and SEO long-run performance 33
3.1. Introduction 33
3.2. Long-run performance of SEOs and hypotheses 37
3.2.1. Long-run performance after SEOs 37
3.2.2. Hypotheses 39
3.3. Methodology 42
3.3.1. Measuring abnormal investment 42
3.3.2. Measuring long-run stock performance 43
3.3.3. Measuring operating performance 44
3.4. Data and sample characteristics 45
3.5. Empirical results 47
3.5.1. Abnormal investment 47
3.5.2. Systematic risk 48
3.5.3. Institutional ownership 50
3.5.4. Three-year BHARs 51
3.5.5. Estimation of the Fama-French Four-Factor Model 52
3.5.6. Operating performance 53
3.5.7. Cross-sectional regressions 54
3.6. Conclusion remarks 56
4. Conclusion 59
Bibliography 62
Appendix 96
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