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題名:信號資訊與實質資訊關係之探討:以自願性財務預測與內部人申報持股轉讓之聯合資訊為例
書刊名:管理學報
作者:郭敏華 引用關係
作者(外文):Kuo, Min-hua
出版日期:2005
卷期:22:1
頁次:頁45-61
主題關鍵詞:信號資訊聯合資訊信號資訊反應模型行為財務內部人持股申報轉讓Signal informationUnited informationSignal information response modelBehavioral financeInsider transaction
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:5
  • 點閱點閱:28
本文是第一篇針對資訊本質虛實不同,引進行爲財務學觀點進行資訊效果探討之研究。牌價FFJR提出事件研究方法以來,關於各式各樣的事件資訊對公司價值影響之研究已如汗牛充棟,然而細究各種宣告資訊的內涵可發現,其中包括實質資訊與信號資訊兩種性質截然不同的資訊。後者屬於一種「虛資訊」,並不直接影響公司現金流量,在探討其資訊內涵時,應與實質資訊合併觀察,方能掌握其實質內涵。對此一特質之忽視已形成相關研究之嚴重缺口,本研究乃針對本質虛實不同進行探討。文中先以信號資訊模型分析中聯合資訊中信號資訊之資訊價值,提出二項命題,並針對公司自願財測與內部人申報持股轉讓形成之聯合資訊事件進行實證分析,結果發現屬於虛資訊的信號資訊,硬實顯著反映出實質資訊的內涵,未預期盈餘越差者,內部人申報持股轉讓的資訊效果亦越負向;而在實質資訊宣告後發射的信號資訊硬實比事前發射者有較小的資訊效果,但資訊效果十分顯著,四項假說暨本研究所提出之信號資訊模型均獲支持。 本研究提出聯合資訊的概念,站在行爲財務學有限理性的假設上,爲傳統的事件研究法(特別是信號資訊之研究)提供較精緻而深入的思考方向,可做爲未來從事信號資訊與實質資訊資訊效果研究者之參考。在實務意涵方面,根據本研究實證結果可瞭解,內部人交易資訊對於實證資訊的釋放具有重大價值,管理當局在思考如何規範內部人交易時,不宜忽略其正面價值。此外,雜訊是資訊無法充分反映的一項重要因素,如何減少人爲操弄空間,乃是提升市場效率的重要方向。
Extending from viewpoint of Behavioral Finance, this is the first study on the essential difference between intrinsic information and signal information. Since the event study methodology was proposed by FFJR, the researches on information effects have been abundant but failed to notice the difference in nature between intrinsic and signal information. The former has real influences on firms' cash flow, while the latter is only a signal, without any substantial impact on the firms' cash flow and thus need to analyze along with intrinsic information. Such ignorance creates an academic gap waiting for exploring. This study proposes a signal information response model and explores the information value of the signal ones in the united information events. According to the model, two propositions are raised: 1. In the united information events, the signal information emitted first generates more significant information effects than those emitted after the substantial events. 2. Even the post-announcement signal information has still significant information effects. The united events of earning forecast announcement and insider transaction announcement offer a great platform to explore the role and value of the signal information. The earning forecast is intrinsic information since it is related to substantial profit of the firms, and the insider transaction is only a signal, nothing to do with the firm's cash flow The empirical results show that signal information announcements do reveal intrinsic information behind them. The worse of the unexpected earnings, the more negative of the insider selling announcements. In sum, the model proposed and four hypothesis raised are empirically supported: 1. The insiders' transaction information do reveal the intrinsic unexpected earnings. 2. Noise generates negative impacts on the information value. 3. The signal information given forth prior to the substantial event generates greater information effects than the post-announced ones. 4. The information contents of the signal emitted after substantial events are still significant. This study proposes the construct of united announcement and provides a more sophisticated approach for the traditional event study. For practical implication, the results demonstrate that insiders' transaction announcement is valuable in revealing intrinsic information. The administration in the financial market is advised to evaluate this information revealing contribution when making monitor policy. In addition, noise has been shown an obstacle in reading real information and any efforts to reduce the bias from it are probably of worth.
期刊論文
1.Chakravarty, S.、McConnell, J.(1999)。Does Insider Trading Really Move Stock Prices?。Journal of Financial and Quantitative Analysis,34(2),191-209。  new window
2.Gombola, M. J.、Lee, H. W.、Liu, F. Y.(1997)。Evidence of Selling by Managers after Seasoned Equity Offering Announcements。Financial Management,26(3),37-53。  new window
3.Meulbroek, Lisa K.(1992)。An Empirical Analysis of Illegal Insider Trading。Journal of Finance,47(5),1661-1699。  new window
4.Seyhun, H. Nejat(1986)。Insiders' profits, costs of trading, and market efficiency。Journal of Financial Economics,16(2),189-212。  new window
5.Finnerty, Joseph E.(1976)。Insiders and Market Efficiency。Journal of Finance,31(4),1141-1148。  new window
6.邱顯比、繆震宇(19940700)。臺灣股市內部關係人交易與內部消息及股價走勢之研究。證券市場發展,23,77-90。new window  延伸查詢new window
7.Penman, Stephen H.(1982)。Insider Trading and the Dissemination of Firms' Forecast Information。Journal of Business,55(4),479-503。  new window
8.Rozeff, M. S.、Zaman, M. A.(1988)。Market efficiency and insider trading: New evidence。The Journal of Business,61(1),25-44。  new window
9.Simon, Herbert A.(1955)。A Behavioral Model of Rational Choice。The Quarterly Journal of Economics,69(1),99-118。  new window
10.Fama, Eugene F.、Fisher, Lawrence、Jensen, Michael C.、Roll, Richard J.(1969)。The adjustment of stock prices to new information。International Economic Review,10(1),1-21。  new window
11.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
12.Bettis, Carr、Vickrey, Don、Vickrey, Donn W.(1997)。Mimickers of Corporate Insiders Who Make Large-volume Trades。Financial Analysts Journal,53(5),57-66。  new window
13.Bushman, R. M.、Indjejikian, R. J.(1995)。Voluntary Disclosure and the Trading Behavior of Corporate Insiders。Journal of Accounting Research,395-425。  new window
14.Cornell, B.、Sirri, E.(1992)。The Reaction of Investors and Stock Price to Insider Trading。The Journal of Finance,1031-1059。  new window
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研究報告
1.Typpo, E.(1996)。Insider Trading Prior to Management Earnings Forecasts。Houston, TX:University of Houston。  new window
學位論文
1.李蜀娟(1997)。經理人員盈餘預測揭露前內部關係人股權異動之研究(碩士論文)。國立政治大學。  延伸查詢new window
2.張企惠(1992)。臺灣股市內部人轉讓持股及公司後續消息之關係之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
3.王慶鴻(1999)。內部關係人持股變動對股價的影響(碩士論文)。國立政治大學。  延伸查詢new window
4.陳獻儀(1992)。臺灣股市內部人交易與內部消息關係之實證研究,0。  延伸查詢new window
5.林芳妃(1998)。管理當局自願性盈餘預測與內部關係人股權異動相關性之研究,0。  延伸查詢new window
6.顏群育(1992)。內部人申報轉讓持股對股價影響之實證研究,0。  延伸查詢new window
7.林容菁(1997)。內部關係人申報轉讓持股與會計資訊宣告關係之研究,0。  延伸查詢new window
8.鄧國正(1998)。上市公司財務預測公告前內部關係人申報持股轉讓行為之研究,0。  延伸查詢new window
圖書
1.Ajzen, I、Fishbein, M.(1975)。Understanding attitudes and predicting social behaviour。New Jersey:Prentice-Hall。  new window
2.Helson, Harry(1964)。Adaptation-Level Theory: An Experimental and Systematic Approach to Behavior。New York:Harper and Row。  new window
3.Simon, Herbert A.(1957)。Models of man: social and rational, mathematical essays on rational human behavior in society setting。New York, NY:John Wiley & Sons。  new window
4.Simon, Herbert A.(1961)。Administrative behavior。New York:Macmillan Co.。  new window
5.Anderson, N. H.(1991)。Contributions to information integration theory, Vol. I: Cognition。Hillsdale, NJ:Lawrence Erlbaum Associates。  new window
6.Appley, M. H.(1971)。Adaption-level Theory: A Symposium。Adaption-level Theory: A Symposium。New York, NY。  new window
7.Simon, Herbert A.(1972)。Theories of Bounded Rationality。Decision and Organization。Amsterdam, Netherlands。  new window
8.Wärnerzd, K. E.(1997)。Demystifying Rational Expectations Theory through an Economic-psy-chological Model。Advances in Economic Psychology。Chichester, UK/ New York, NY。  new window
 
 
 
 
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