創新異常現象: 從創新效率與內部人交易論析

Innovation Activities Anomaly: Tests of Innovative Efficiency and Insider Trading

劉正良(Cheng-Liang Liu)

指導教授 ： 曹壽民

中原大學/商學院/會計研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500142

摘要

本文旨在探討我國股市對於創新活動的評價是否存有異常現象，內部人交易的資訊是否可用來評估創新活動的價值。實證結果發現：(1)我們將創新活動對下一其盈餘的影響定義為創新活動持續度。高(低)創新效率公司的創新活動有較高(低)的持續度。但股市會低(高)估高(低)創新效率公司創新活動的持續度，因此，股市對創新活動的評價存有異常現象。(2)內部人交易資訊可用來評估創新活動的價值。伴隨著內部人異常買入(異常賣出)的創新活動其持續度較大(小)，但股市會低(高)估伴隨著內部人異常買入(異常賣出)公司創新活動的持續度。(3)基於創新活動異常現象與內部人交易資訊所形成的投資組合策略在下一期可獲得超額報酬，投資人結合創新活動異常現象與內部人交易資訊所形成的投資組合策略會獲得更大的報酬。

關鍵字

市場異常現象 ； 內部人交易 ； 創新效率

並列摘要

This paper intends to explore whether the value of innovation activities in corporations can be precisely reflected on their market prices. Also, is insider trading informative enough to evaluate the quality of innovation activities? The empirical results show that : (1) when we define the innovation activities persistence as the impact on innovation activities over the next period’s earnings. The one-year-ahead persistence of innovation activities for corporations with higher efficiency will be significantly greater than that for corporations with lower efficiency. However, the earnings expectations embedded in the stock prices fail to fully reflect the higher persistence of innovation activities for corporations with higher efficiency, which suggests that the stock market in Taiwan toward innovation activities still holds anomalies. (2)Insider trading is valuable in assessing the quality of innovation activities. The persistence of innovation activities is greater (lower) when accompanied by abnormal insider buying (abnormal selling). Also, the earnings expectations embedded in stock prices will fail to fully reflect the higher (lower) persistence of innovation activities associated with abnormal buying(selling) (3)The trading strategy based on innovation activities anomaly or insider trading generates positive one-year-ahead abnormal returns. One-year-ahead hedge returns to joint trading strategies based on both innovation activities anomaly and insider trading ,will significantly exceed those based on innovation activities anomaly or insider trading alone.

並列關鍵字

Market anomalies ； insider trading ； innovation activities efficiency

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