證券市場長久以來一直存在著資訊不對稱的特色,為了健全與活絡證券市場,各國無不致力於健全證券市場中資訊揭露法制,希望藉由資訊之透明化與公平取得,來弭平資訊不對稱的問題。本研究藉由證基會所發展之資訊揭露評鑑系統所公佈透明度前1/3公司的資料以及考慮流動性因子來驗證不同透明度的公司其異常報酬率是否有所不同?不同流動性的公司其異常報酬率是否有所不同?兩者變數的交互作用下,對於異常報酬率的影響又是如何?旨在於驗證公佈資訊透明度的結果對於投資人行為之探討。 實證結果發現:(1)資訊透明度低的公司其異常報酬率是顯著高於資訊透明度高的公司,符合先前的預期結果並達到顯著效果,並且在敏感性測試中發現資訊揭露評鑑系統的公佈結果對於投資人而言是顯著具有資訊內涵。(2)發現流動性低的公司其異常報酬率是顯著高於流動性高的公司,此和先前文獻探討中的學者主張一致,亦符合先前的預期結果並達到顯著效果。(3)我們觀察事件日後五天呈現透明度、流動性、以及兩者交互作用後的結果皆和異常報酬呈現顯著負相關,意即當透明度高時流動性和異常報酬率係呈現顯著負相關。這說明了若公司透明度越高,流動性和異常報酬間的負向關係越顯著。
There is a characteristic of information asymmetry for a long time in the security market, for being sound and activate the security market, various countries are devoted to perfecting the information transparency in the security market and revealing legal system invariably , hope the information transparence to be fair, to remove the problem of asymmetric information. This research use the system which is developed by Securities&Futures Institute,which announce the first 1/3 company with transparency and and test the relationship with abnormal return,and also concern about the liquidity to test the relationship with abnormal return,and finally observe the influence on cross interaction of the transparency and liquidity with abnormal return, and discuss about influence of investor’s behavior. The result is found: (1)Its abnormal returns of the lower information transparency company is higher than the higher information transparency company, accord with the previous anticipated result. (2) Its abnormal returns of the lower liguidity company is higher than the higher liguidity company, accord with the previous anticipated result. (3)We observe that the transparency ,liquidity, and cross interaction of the transparency and liquidity all present the negative correlation at the the fifth day after the event day. This has provided if the company with higher transparency , the relationship between liquidity and abnormal returns is more significant.