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姓名 廖彩伶(Tsai-Ling Liao) 查詢紙本館藏 畢業系所 企業管理學系 論文名稱 上櫃公司轉上市交易前後內部關係人之持股轉讓交易之探討:以銀行業為例
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摘要(中) 中文提要:
由於相關文獻多指出公司在轉換至交易所交易前往往存在顯著的高報酬,然而轉換後卻呈現股票報酬不佳的現象。此一結果顯示轉換前後市場的報酬反應確實有明顯的變化,再者Dharan and Ikenberry (1995)亦指出轉上市後股票報酬滑落的現象與公司經理人員選擇轉上市的時點有關。據此,基於內部關係人資訊優勢之觀點與銀行產業其令人矚目的管制背景,本文以銀行轉上市交易前後一年內其內部關係人申報之持股轉讓交易作為樣本,以檢視在不同的報酬環境下所引發的市場反應是否亦明顯不同,俾提供有關銀行轉上市交易決策評價之佐證。
實證結果顯示:無論是上市前或上市後,在銀行內部關係人申報持股轉讓交易前一段期間,股票報酬往往呈現顯著為正的情況,顯示內部關係人其擇時交易的能力。而相較於銀行轉上市後其內部關係人申報持股轉讓資訊與事後申報未轉讓資訊時所伴隨的微弱市場反應,轉上市前之內部關係人持股轉讓申報則引發了顯著為負的市場反應,再者內部關係人於事後申報持股未轉讓消息時,市場亦出現了顯著為正的修正反應。此一結果顯示內部關係人於銀行轉上市交易前的持股轉讓申報確實對股價有所影響。由於本研究亦發現樣本銀行在轉上市前確實存在顯著的高報酬行情,轉上市後績效則顯著衰退,因此樣本銀行內部關係人的持股轉讓交易本身所傳遞之資訊內涵一方面表彰了對銀行轉上市決策的看法,同時亦與經理人擇時轉換交易場所之意涵一致。此外,本研究亦觀察到當銀行內部關係人申報持股轉讓時,股票週轉率亦隨之明顯提升,顯示市場會追隨內部人之交易行為,亦為內部關係人交易之資訊內涵提供另一佐證。
而藉由檢視內部關係人持股轉讓申報期間的累積異常報酬與續後轉讓行為之間的關聯性,顯示內部關係人事後實際執行持股轉讓的程度與申報期間的市場反應有關;且本研究實證亦發現銀行內部關係人於轉上市前出售持股可避免因遞延至轉上市後交易可能遭致的損失,再者內部關係人於法定轉讓期間可獲致的利得(損失)亦與內部人執行持股轉讓之程度有關(亦即完全轉讓或部分轉讓)。上述結果進一步支持了有關內部關係人交易資訊之及時揭露有助於股價快速反應內部關係人的私有資訊之觀點。摘要(英) ABSTRACT
Previous studies have shown that prior to listing, firms experience significantly positive excess returns, yet average abnormal returns following the listing are negative. This finding contradicts the claim that shareholders benefit from exchange listing. Under this circumstance, it is interesting to explore how insiders behave and how markets respond to their transfer trades. The moves of the banks from the OTC market to the TSE and the very nature of opaque private information rooted in the impressive regulated images of regulation, together with the unique disclosure regulations in Taiwan that require the revelation of both planned and unexecuted insider transfer trades, provide ample opportunity for investigating insider trading around exchange listing. Testing market response to insider transfer trades during the pre- and post-listing periods provides further understanding of bank listing decisions. By examining whether the market reaction to revealed insider transfer behavior differs markedly between the two periods, the information content of insider trading can be explored in detail.
Significant positive abnormal returns are found for the several days preceding the announcement of planned insider transfer trades during both the pre- and post- listing periods. This evidence indicates the timing ability of insider decisions, and supports the claim that insiders tend to sell stocks when they are overvalued. Compared with the insignificant negative price effects for the pre-transaction announcement of planned insider transfer trading and for the post-transaction announcement of unfulfilled insider transfer trading in the post-listing period, the significant negative stock price reaction to the pre-transaction announcement and the significant positive stock price reaction to the post-transaction announcement in the pre-listing period manifest that insider selling before listing affect market prices and probably indicate the assessment of insiders regarding the prospects of listing on the national exchange. Since banking firms experience exceptional stock returns before listing and suffer poor post-listing stock performance, the insider transfers themselves reveal information consistent with, and reinforcing that associated with the managerial timing of listing decisions. Furthermore, corresponding increases in trading volume turnover are observed immediately following the announcement of planned insider transfers, providing additional evidence regarding information flow on insider transfer trading.
Exploring the link between the CAR of the pre-transaction announcement period and subsequent insider transferring behavior strongly supports the notion that the degree to which insiders execute their transfers depends on how the stock price reacts to the announcement of planned insider transfer trades. Furthermore, this research demonstrates that typical insiders in banking firms who sell in the pre-listing period avoid likely losses from delaying the sales until the post-listing period. Specifically, this research finds that the magnitude of the profits (losses) over the transaction period for insider transfer trades is associated with the degree to which insiders execute their planned transfer trading (complete transfer versus incomplete transfer). The present evidence further reinforces the point that real time investor knowledge of insider transfer activity can facilitate more orderly price movements and more efficient reflection of private information in stock prices.關鍵字(中) ★ 內部關係人
★ 持股轉讓交易
★ 上櫃轉上市
★ 資訊內涵
★ 事前申報
★ 事後申報關鍵字(英) ★ insiders
★ information content
★ pre-transaction announcement
★ post-transaction announcement
★ transfer trading
★ bank listings論文目次 TABLE OF CONTENTS
ABSTRACT I
ACKNOWLEDGMENTS V
TABLE OF CONTENTS VI
LIST OF FIGURES VIII
LIST OF TABLES IX
CHAPTER 1 INTRODUCTION 1
1.1. MOTIVATION 1
1.2. RESEARCH PURPOSE 3
1.3. THESIS STRUCTURE 7
CHAPTER 2 THEORETICAL FRAMEWORK 8
2.1. OVERVIEW OF PRIOR RESEARCH 8
2.2. THE REGULATIONS FOR INSIDER TRADING IN TAIWAN 12
2.3. RESEARCH QUESTIONS AND HYPOTHESES 13
CHAPTER 3 DATA AND METHODOLOGY 18
3.1. SAMPLE AND DATA DESCRIPTION 18
3.2. METHODOLOGY 21
CHAPTER 4 DISCUSSIONS OF EMPIRICAL RESULTS 24
4.1. EXCESS RETURNS OF BANK LISTINGS 24
4.2. ABNORMAL RETURNS OF INSIDER TRANSFER TRADES IN THE PRE-LISING AND POST-LISTING PERIODS 25
4.2.1. Test of hypotheses H1 through H4 26
4.2.2. Test of hypotheses H5 and H6 28
4.2.3. Test of hypothesis H7 29
4.2.3. Extended test of insider transferring behavior 30
4.3. VOLUME TURNOVER OF INSIDER TRANSFER TRADES IN THE PRE-LISTING AND POST-LISTING PERIODS 33
CHAPTER 5 ROBUSTNESS TESTS 42
CHAPTER 6 CONCLUSIONS AND IMPLICATIONS 56
REFERENCES 60
LIST OF FIGURES
FIGURE 1 Mean Cumulative Abnormal Returns (CARs) over the Transaction Interval for All Planned Insider Transfers 39
FIGURE 2 Distribution of CAR (T-0 to T+2) for Subgroup of Fulfilled Transfers in the Pre-listing Period (N=47) 43
LIST OF TABLES
TABLE 1 Sample Descriptive Statistics for Insider Transfer Trades during 1997-2003 20
TABLE 2 Descriptive Statistics of Sample Banks around Exchange Listing during 1997-2003 35
TABLE 3 Mean Cumulative Abnormal Returns (CARs) for Insider Transfer Trades in the Pre- (Post-) listing Period—Test of Hypotheses H1 through H4 36
TABLE 4 Mean Cumulative Abnormal Returns (CARs) for Subgroups of Insider Transfer Trades in the Pre- (Post-) listing Period—Test of Hypotheses H5 and H6 37
TABLE 5 Mean Cumulative Abnormal Returns (CARs) for Insider Transfer Trades in the Pre- (Post-) listing Period—Test of Hypothesis H7 38
TABLE 6 Regression Results of the Unfulfilled Transfer Ratio on CAR (T-0 to T+2) over the Pre-transaction Announcement Interval 40
TABLE 7 Average Daily Volume Turnover of Insider Transfer Trades in the Pre- (Post-) listing Period 41
TABLE 8 (Based on the Market Model) Descriptive Statistics of Sample Banks around Exchange Listing during 1997-2003 47
TABLE 9 (Based on the Market Model) Mean Cumulative Abnormal Returns (CARs) for Insider Transfer Trades in the Pre- (Post-) listing Period—Test of Hypotheses H1 through H4 48
TABLE 10 (Based on the Market Model) Mean Cumulative Abnormal Returns (CARs) for Subgroups of Insider Transfer Trades in the Pre- (Post-) listing Period—Test of Hypotheses H5 and H6 49
TABLE 11 (Based on the Market Model) Mean Cumulative Abnormal Returns (CARs) for Insider Transfer Trades in the Pre- (Post-) listing Period—Test of Hypothesis H7 50
TABLE 12 (Nonparametric test) Median Cumulative Abnormal Returns for Insider Transfer Trades in the Pre- (Post-) listing Period—Wilcoxon Sign Rank Test of Hypotheses H1 through H4 51
TABLE 13 (Nonparametric test) Median Cumulative Abnormal Returns for Subgroups of Insider Transfer Trades in the Pre- (Post-) listing Period—Wilcoxon Sign Rank Test of Hypotheses H5 and H6 52
TABLE 14 (Nonparametric test) Median Cumulative Abnormal Returns for Insider Transfer Trades in the Pre- (Post-) listing Period—Wilcoxon Sign Rank Test of Hypothesis H7 53
TABLE 15 Regression Results of CAR (t-0 to t+2) over the Post-transaction Announcement Interval on the Unfulfilled Transfer Ratio—Retest Hypotheses H5 and H6 54
TABLE 16 Abnormal Turnover Ratio of Insider Transfer Trades in the Pre- (Post-) listing Period 55參考文獻 References
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