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。 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.
