內部人交易對未來股票績效之影響

The Impact of Insider Trading on Future Stock Performance

謝竣宇(CHUN-YU HSIEH)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2012年)

摘要

本文以美國三大證券交易所(NYSE/AMEX/Nasdaq)之內部人持股金額變動月資料為研究樣本，探討各項交易動機對內部人交易行為之影響及其對未來股票績效之預測能力。實證結果發現，當市場對公司股價錯估的程度越大，內部人越會藉由本身的資訊優勢來買賣公司股票並可獲致長期正向之股票異常報酬。再者，內部人也會基於多角化、投資組合再平衡等非資訊交易動機出售手中持股。而基於非資訊交易動機所買賣的股票，其所獲致之未來股票報酬是不顯著的。
相較於過去文獻使用淨值市值比此含有雜訊之指標，也未區分與控制資訊與非資訊交易動機之作法，本文透過控制重要之相關變數，並採用定價偏離指標作為股價錯估程度之代理變數，所得之實證結果對於過去文獻對內部人交易是否具有資訊內涵，迄今尚無定論之現象，提供了一個較為客觀可信之參考依據。

關鍵字

內部人交易 ； 股票報酬

並列摘要

This study explores the factors associated with multiple motives of insider trading and investigates the relationship between insider trading resulted from corresponding trading motives and subsequent stock performance. According to the empirical evidences, we find that insiders can profit from trading behaviors when the stock misvaluation occurs in the market. In addition, insiders tend to sell for non-information motives like diversification and re-balancing objectives, however, the following subsequent stock returns based on non-information motives do not appear statistically significance.
Compared with the past methodology, this study not only first measures the stock valuation errors by using the pricing deviation proxy, but also distinguishes and controls for information and non-information trading motives of insiders’ trading behaviors. We infer that the positive stock performance caused by information-based trading maybe offset by the negative stock performance caused by non-information-based trading, which possibly leads to the inconclusive conclusion of informativeness of insiders’ trading in the extant literature so far.

並列關鍵字

Insider trading ； Stock return

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