子公司操作母公司股票:操作行為,宣告效果與內部人交易

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黃志仁(Chih-Jen Huang) 查詢紙本館藏

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財務金融學系

論文名稱

子公司操作母公司股票:操作行為,宣告效果與內部人交易

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摘要(中)

本文首先針對子公司操作母公司股票（STPS）資料作有系統的檢視，並參考公開市場股票購回（open market repurchase）與釋股(seasoned equity offerings)的訊號假說作實證分析。發現STPS的操作行為與公開市場股票購回、釋股的訊號假說不一致。以大股東質押比例當作探討代理問題的變數，發現大股東質押比例與買入操作比例和淨操作比例呈正相關，顯示STPS的動機可能與鞏固大股東個人利益有關。證據顯示子公司的投資決策明顯受到母公司影響，具有「機構內部人」的角色特質。
本文驗證STPS的宣告效果，藉以探討市場投資人是否認為子公司具有傳遞內部訊息的角色。並參考有關公開市場股票購回的文獻，驗證此宣告效果的決定因素。發現子公司買回（賣出）母公司股票宣告日，母公司股價會有正（負）的宣告效果（但幅度不如公開市場股票購回），顯示市場認為子公司具有傳遞母公司訊息的角色。進一步驗證此宣告效果的決定因素，顯示(1)子公司賣出母公司股票程度越大，負的宣告效果越顯著；(2)子公司買回母公司股票樣本(-7, 0)的累積異常報酬與(-30, -8)的累積異常報酬呈負相關。上述兩項證據皆支持訊號假說（signaling hypothesis）。
最後，檢視母公司內部人在STPS的宣告日前後，是否有異常的取得或轉讓持股行為，並驗證內部人取得或轉讓持股的程度與STPS宣告效果之間的關聯性。顯示子公司買回母公司股票宣告之前，母公司內部人有顯著的取得自家股票行為。子公司買回（賣出）母公司股票程度越大，內部人取得（轉讓）持股程度也越大。此結果支持「內部人能事先預期STPS的程度，並將此訊息反應在自己個人的交易」的假說，也顯示母公司內部人對子公司的投資決策具有一定程度的影響力。本文也發現，之前母公司內部人取得（轉讓）持股越多，子公司賣出母公司股票負的宣告效果越小（越大），此結果與「互補訊號（complementary signaling）」假說一致。

關鍵字(中)

★ 子公司
★ 宣告效果
★ 內部人

關鍵字(英)

★ subsidiary
★ announcement effect
★ insider

論文目次

第一章緒論
第二章資料特性與操作行為
壹緒論貳研究假說、變數討論與研究方法
參資料來源與資料特性
肆實證結果
伍結論與建議
第三章宣告效果及其決定因素
1. Introduction
2. Sample and methodology
3. Empirical results
4. Determinants of announcement effects
5. Conclusions and discussion
第四章內部人交易
1. Introduction
2. Data
3. Methodology and Results
4. Conclusions

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指導教授

俞明德(Min-Teh Yu)

審核日期

2002-3-6

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