台灣市場的關係公司與內部人交易

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：10

、訪客IP：18.222.67.251

姓名

黃介亭(Jie-Ting Huang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

台灣市場的關係公司與內部人交易
(Relational company and insider's tradingIn the Taiwan Stock Market)

相關論文

★ 買賣價差之拆解－以台灣加權指數期貨與新加坡摩根台股指數期貨為例	★ 在不同模型、分組方式以及貝他估計情況下之Fama和French三因子模型表現
★ 延長交易時間對台灣股市之日內影響	★ 法人日內投資行為及跟隨法人投資策略
★ 結算制度與到期日效應	★ 台灣股市系統性風險之檢定
★ 提前平倉與轉倉策略對股價指數期貨到期日效應之實證:以台灣股票市場為例	★ 指數期貨操縱模型--以台灣股價指數為例
★ 台灣股市日內效果之研究	★ 從日、美看台灣股市的資產定價實證研究
★ 選擇權交易獲利性之分析：以交易資料為例	★ 資訊不對稱與公司特徵:市場微結構觀點
★ 企業商業模式及品牌價值創造—以宏達電為例	★ 企業商業模式及品牌價值創造—以宏碁集團為例
★ 法人期貨與選擇權交易量對市場報酬的影響	★ 為什麼台灣公司的現金比率逐年增加?

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本研究主要在探討台灣市場中的內部人交易與關係公司的交易投資績效，
由於認為兩者之間，性質相似，想了解其是否在獲取超額報酬的能力上亦有相同的績效。
首先探討兩者是否能獲取超額報酬，再進一步比較兩者獲取超額報酬的能力是否有差異，
採用事件研究法、標準化橫剖面法以及複迴歸法，來進行觀察與分析其結果，
了解內部人交易與關係公司投資績效之間是否存在著顯著差異。
透過上述研究方法，本文之研究結果認為內部人與具關係公司的交易投資績效，沒有顯著差別，
即具有控制權的公司和內部人具有類似的投資績效。

摘要(英)

In the past, little research has been done about insiders and companies with control.
This thesis studies the trading performances of insiders and relational companies.
This thesis observed investment company patterns, divided into companies with
control and companies without control. We have researched companies with control
because we thought that companies with control have characters similar to insiders. We examine this argument directly in two parts. In the first part, we estimate insiders and companies with control to examine whether have the same CSAR by t-test. In the second part, we use the multiple regression method to try to explain what factors a ect CSAR and the factors of companies or insiders that would affect the CSAR. Generally speaking, we nd evidence consistent with the theory that companies with control rights have the same performance as insiders.

關鍵字(中)

★ 事件研究法
★ 累積超額報酬
★ 內部人

關鍵字(英)

★ event study
★ cumulative abnormal return.
★ Insider

論文目次

Contents
List of Tables IV
List of Figures V
1.Introduction 1
2.Data 5
2.1 Database 5
2.2 Descriptive Statistics 9
3 Methodology 10
3.1 Event study 10
3.2 Multiple regression 15
4 Estimation Results 19
4.1 Event Study 19
4.2 Multiple regression 23
5 Conclusion 27
Reference 43

參考文獻

Aboody, D. and Lev, B. (2000), "Information asymmetry, rd and insider gains.",Journal of Finance, 55(6), 2747-2766.
Banz, R. W. (1981), "The relationship between return and market value of common stocks", Journal of Financial Economics, 9, 3-18.
Basu, S. (1983), "The relationship between earnings’’ yield, market value and return for nyse common stocks: Further evidence", Journal of Financial Economics, 12, 129-56.
Bettis, C., Vickrey, Don, and Vickrey., D. W. (1997), "Mimickers of corporate insiders who make large volume trade.", Financial Analyst Journal, 53, 57-66.
B.M. Burton, A.A., Lonie and Power, D.M. (1999), "The stock market reaction to investment announcements: The case of individual capital expenditure projects", Journal of Business Finance Accounting, 26(5 ,6), 681-708.
Boehmer, E., Musumeci, J., and Poulsen, A. (1991), "Event-study methodology under conditions of event-induced variance", Journal of Financial Economics, 30, 253-72.
Brickley, C. R. Lease, J. A. and W. C. Smith, Jr. (1988), "Ownership structure and voting on antitakeover amendments.", Journal of Financial Economics, 20, 267-
291.
Brochet, Francois (2010), "Information content of insider trades before and after the Sarbanes-Oxley Act", Accounting Review, 85(2), 419-446.
Cook, Thomas J. and Roze , Michael S. (1984), "Size and earnings/price ratio anomalies: One e ect or two?", Journal of Financial and Quantitative Analysis, (December), 449-466.
Finnerty, J.E. (1976), "Insiders and market efficiency.", Journal of Finance, 31, 1141-1148.
Friederich, Gregory A. Matatko J., S. and Tonks, I. (2002), "Short-run returns around the trades of corporate insiders on the London Stock Exchange.", Journal of Accounting and Economics, 8(1), 7-30.
Fuerst, Oren and Kang, Sok-Hyon (2004), "Corporate governance, expected operating performance, and pricing", Corporate Ownership and Control, 1, 13-30.
Givoly, D. and Palmon, D. (1985a), "Insider trading and the exploitation if sider information: some empirical evidence.", Journal of Finance, 51, 425-461.
(1985b), "Insider trading and the exploitation of insider information: Some empirical evidence", Journal of Business, (January), 69-88.
Hu, Shingyang and Chen, Chienhung (2005), "Analysis on selecting intra-day transaction timing by insiders", Sun Yat-Sen management review, 13, 451-478.
Huddart and Ke (2007), "Jeopardy, non-public information, and insider trading
around SEC 10-K and 10-Q lings.", Contemporary Accounting Research, 24(1), 3-36.
Ja e, J. (1974), "Special information and insider trading.", Journal of Business, 47, 410-28.
Jensen, M. C. and Meckling, W. H. (1976), "Theory of the rm: managerial behavior, agency costs, and ownership structure.", Journal of Financial Economics, 3, 305-
360.
Kyle, A. S. (1985), "Continuous auctions and insider trading", Econometrica, 53, 1315-1335.
Lakonishok, J. and Lee, I. (2001), "Are insiderstrades informative?", Review of Financial Studies, 14, 79-110.
Lin, J. and Howe, J.S. (1990), "Insider trading in the OTC market.", Journal of Finance, 45, 1273-1284.
Lipton, M. and Lorsch, J. W. (1992), "A modest proposal for improved corporate governance", Business Lawyer, 1, 59-77.
McConnell, John J. and Nantell, Timothy J. (1985), Corporate combinations and common stock returns: The case of joint ventures", Journal of Finance, 40(2), 519-536.
Myers, S. (1984), "Corporate nancing and investment decisions when rms have information that investors do not have", Journal of Financial Economics, 13, 187-221.
Nunn, G. P. Madden, K. P. and Gombola., M. J. (1983), "Are some insiders more insides than others?", Journal of Portfolio Management, 9, 18-22.
Park Sechouland, and Loeb Martin P, Jang H. Jonathan (1995), "Insider trading activity surrounding annual earnings announcements", Journal of Business Finance Accounting, Jun, 587-614.

指導教授

賴弘能(Hung-Neng Lai)

審核日期

2012-6-23

推文