詐欺市場理論中之效率市場及價格衝擊

詐欺市場理論(fraud-on-the-market theory)對於美國證券詐欺民事訴訟之興起，扮演著舉足輕重的角色，並為我國實務所採。惟詐欺市場理論之理論基礎，尤其是其與效率市場間之關係，在美國法一直以來並不明確。隨著美國聯邦最高法院近來陸續作成＂Erica P. John Fund, Inc. v. HalliburtonCo. (＂Halliburton I＂)＂、＂Amgen Inc. v. Connecticut Retirement Plans and TrustFunds 及Halliburton Co. v. Erica P. John Fund(＂Halliburton II＂)＂等判決，美國學界實務對於詐欺市場理論產生新一波討論，對於詐欺市場理論之相關疑義，有進一步澄清。本文介紹、分析相關討論，並重新檢視Basic v. Levinson案，認為美國實務在Basic後，有過度強調效率市場之情形，而產生若干弊端。本文認為詐欺市場理論之基礎在於價格衝擊之發生，而非效率市場之存在，並進一步以此為基礎，提出對於詐欺市場理論之另外兩個重要概念：市場效率及信賴的另一種可能詮釋。

關鍵字

詐欺市場理論；交易因果關係；行為財務學；價格衝擊；效率市場假說

並列摘要

The fraud on the market theory (＂FOTM＂), which is also adopted by Taiwan court, plays an important role in the booming securities class actions in the United States. However, its theoretical premise, especially the justification of the connection with the efficient market hypothesis, has been unclear for years. With the adjudication of ＂Erica P. John Fund, Inc. v. Halliburton Co. (＂Halliburton I＂)＂, ＂Amgen Inc. v. Connecticut Retirement Plans and Trust Funds and Halliburton Co. v. Erica P. John Fund (＂Halliburton II＂)＂ by the U.S. Supreme Court, issues related to FOTM are further examined and clarified by the legal scholars and practice. This article reviews those discussions and the language in Basic v. Levinson (＂Basic＂), arguing that the development of post-Basic cases is problematic because of the overemphasis of market efficiency. After reviewing the pre-＂Basic＂ case laws and the language of Basic itself, this article then argues that the premise of FOTM is price impact, rather than market efficiency. Based on such understanding, this article further proposes another interpretations with respect to the concept of reliance and market efficiency, which, the author believes, is also adopted in the newly-rendered ＂Halliburton II＂.