- 學位論文
資訊揭露是否改善價格效率？
Does Information Disclosure Really Improve Price Efficiency ?
摘要
本研究採用 2005 年到 2014 年的證券暨期貨市場基金會辦理的資訊揭露評鑑之評等 數據，探討價格效率和資訊揭露之間的關係。本文實證結果表明揭露程度較高的公司， 會加劇其股價偏離基本價格(fundamental value)之程度。當考量分析師準確度之影響時， 資訊揭露和價格效率之間的負向關係會更加惡化。本文亦試圖找出資訊揭露影響價格效 率之途徑。此外，實證結果發現持股比例較高的知情交易者，其私有資訊生產(the private information production)的敏感度對公司所揭露資訊會有較高的敏感度。亦即當公司揭露 較多的資訊時，會排擠知情交易者的私有資訊進而妨礙價格發現之過程。最重要的是， 本篇研究的實證結果可能為監管機構提供不同的政策觀點，監管機構不僅應瞭解公司揭 露的益處，也應當瞭解其負面影響。
並列摘要
This investigation studies the association between corporate disclosure and price efficiency by exploiting the distinct dataset of information disclosure and transparency ratings system (IDTRS) from 2005 to 2014 in Taiwan. The evidence suggests that firms with more expanded disclosure policy can exacerbate the degree of stock prices temporarily deviating from fundamental value. Furthermore, the negative relation between information disclosure and price efficiency is more pronounced when considering the impact of analysts’ forecast accuracy. We also attempt to find a potential channel through which information disclosure affects price efficiency. On top of that, the empirical result suggests that the private information production is more sensitive to corporate disclosure for informed traders with higher ownership, which more information disclosure can crowd out informed traders’ more private information and hinder the process of price discovery. Above all, our results may provide different policy perspectives for regulators, which regulators should be aware of not only the merits of corporate disclosure but also its adverse influences.