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題名：臺灣上市公司內部人交易之實證研究
作者：陳建宏
作者(外文)：Chien-hung Chen
校院名稱：國立臺灣大學
系所名稱：財務金融學研究所
指導教授：胡星陽
林修葳
學位類別：博士
出版日期：2003
主題關鍵詞：內部人交易；資訊不對稱；申報轉讓持股；結構性變化；insiders trading；information asymmetry；filing to sell the stockholdings；structural change
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本文旨在探討有關內部人交易的兩項議題：選擇買賣時點能力以及與投資人間策略互動行為。在第一篇文章中，本研究利用上市公司內部人之日內買賣資料，計算其實際成本與所得，並藉由模擬市場投資人之交易，探討內部人選擇買賣時點之能力是否顯著優於一般投資人，同時，分析該能力之強弱，是否受到其本身與外界間資訊不對稱程度之影響。實證結果發現：公司內部人確實有顯著買低賣高之能力，且其選擇買賣時點之能力會隨公司董監事持股比例越高、公司上市年數越短、公司市值越小、該內部人持股比例越低、該內部人為董監事或經理人、該筆買賣屬買進交易而增強。因此，內部人之所以具有較一般投資人優異之選擇買賣時點能力，係來自於其所擁有之資訊優勢。
在第二篇文章中，因推論內部人轉讓申報亦可能源於流動性需要或股價操縱，故外部投資人須推測申報轉讓背後隱含之資訊，內部人亦會企圖維持其資訊優勢，故以實證方法分析內部人與投資人在申報轉讓事件中的互動情形，並探討雙方行為之調整過程。實證結果發現：(1)內部人會依其所擁有之內線消息，並觀察近期投資人對申報之反應程度，決定是否申報轉讓。(2)外部投資人對內部人申報轉讓宣告之負面反應，以及對各項申報轉讓特性變數之反應強度，均有增強再轉弱之結構性變化，故其反應有學習調整之情形。(3)內部人會視市場對申報之反應及其擁有內線消息好壞，決定實際轉讓執行程度，且該二因素影響強度存在由弱轉強之結構性變化，說明內部人有由無策略性轉而採取策略行為之現象。(4)外部投資人在內部人實際轉讓結果宣告後，並未利用該訊息以調整其原先之反應。
This dissertation contains two essays on the trading behavior of insiders. The first essay uses the insiders’ daily transaction data to calculate their trading cost and revenue. By simulating market investors’ trades, we investigate whether the ability of selecting intra-day transaction timing by insiders is better than the market investors. In addition, we examine the association of the ability with the degree of information asymmetry. The empirical results find that the insiders have significant ability to buy low and sell high. Moreover, when the insider ownership of company is higher, the listed years of company are shorter, the market value is smaller, the insider is manager or director, or the insiders buy, the ability of insider will be higher. Therefore, the excellent ability for insider to buy low and sell high comes from their information advantage.
The second essay proposes that liquidity needs and manipulative schemes underlie some insiders’ filings. The market investors have to uncover the filing insiders’ information. Also, the insiders might attempt to maintain their information advantage. Our study serves as the first paper to empirically examine the processes of strategic interaction and adjustment behavior between insiders and the other investors. Our findings support the following four notions. First, whether an insider decide to file will depend on the inside information which he owns and the lately response of market investors for insiders’ filing. Secondly, significant structural changes exist with respect to the negative market reactions to insiders’ filing for selling their shares. Significant structural changes also exist for the magnitude of impact of the variables to the reactions. Therefore, the market investors’ response will learn and adjust. Thirdly, the shares of insider’s actual selling change depending on the private information of his own and the significance of investors’ prior response. Moreover, we document significant changes for the coefficients of the two variables during the sample period. It reveals that the insiders play a strategic role instead of naïve player. Fourthly, there is no evidence that outsiders correct their respond after the insiders announce their actual selling.
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