本文研究首先以事件研究法之市場模式探討內部人持股轉讓交易宣告對股價影響的宣告效果,和資訊傳遞效果;進而利用門檻迴歸模型,分析台灣上市公司內部人申報轉讓持股比率與控制持股對於累積異常報酬的影響,並且同時使用申報轉讓持股比率與控制持股來當作門檻變數。事件研究法之研究結果:發現於內部人持股轉讓交易宣告事件,股價在事件日前後呈現兩種反應,事件日前,股票報酬為正,內部人持股轉讓交易宣告當日累積報酬達到最高,之後呈下降趨勢,顯示出市場投資大眾在眾多財務資訊可供參考中,內部人持股轉讓交易宣告事件會造股市負面效應,投資大眾認為公司將有不好消息或有營運不善之可能。而在門檻迴歸之研究結果:本研究分別採取事件日前八天至事件日當天之 及事件日當天至事件日後一天之 ,加以探討申報比率和控制持股,對事件日前後累積異常報酬變化的關連性。事件日前,在內部人申報比率小於等於0.5963且控制持股小於等於7.04下,尤其在市場處於多頭市場下,股權越集中,控制股東可能會有能力侵佔公司財富,損害其公司價值,內部人申報轉讓持股將有較高的累積異常報酬。事件日後,在內部人申報比率大於33.3987且控制持股大於55.13下,申報比率、控制持股、董事會規模和市場景氣皆和累積異常報酬率呈顯著的負向相關。另外,比較申報比率和控制持股對CAR(0,1)、CAR(0,20)的影響,研究發現異常報酬多存在短期現象。
The purpose of this study is to find the relationship of transaction ratio, control rights and CAR with threshold analysis in Taiwan listing company. We use both of transaction ratio and control rights as threshold variable and split the sample to two parts. Before the event day, in transaction ratio under 0.5963 and control rights under 7.04 (in regime 2 ), transaction ratio and control rights both have positive effect on CAR(-8,0);And after the event day, in transaction ratio over 33.3987 and control rights over 55.13 (in regime 2 ), transaction ratio and control rights both have negative effect on CAR(0,1). The major contribution of this paper is to apply a new methodology to analyze the information effect and framing effect of the insider trading literature. Using the threshold regression analysis, our results offer a different angle when discuss the relationship between insider transaction and their effects on the market outcome.