台灣市場的關係公司與內部人交易

Relational company and insider''s trading In the Taiwan Stock Market

黃介亭(Jie-Ting Huang)

指導教授 ： 賴弘能

國立中央大學/管理學院/財務金融學系/碩士(2012年)

摘要

本研究主要在探討台灣市場中的內部人交易與關係公司的交易投資績效，
由於認為兩者之間，性質相似，想了解其是否在獲取超額報酬的能力上亦有相同的績效。
首先探討兩者是否能獲取超額報酬，再進一步比較兩者獲取超額報酬的能力是否有差異，
採用事件研究法、標準化橫剖面法以及複迴歸法，來進行觀察與分析其結果，
了解內部人交易與關係公司投資績效之間是否存在著顯著差異。
透過上述研究方法，本文之研究結果認為內部人與具關係公司的交易投資績效，沒有顯著差別，
即具有控制權的公司和內部人具有類似的投資績效。

關鍵字

事件研究法 ； 累積超額報酬 ； 內部人

並列摘要

In the past, little research has been done about insiders and companies with control.
This thesis studies the trading performances of insiders and relational companies.
This thesis observed investment company patterns, divided into companies with
control and companies without control. We have researched companies with control
because we thought that companies with control have characters similar to insiders. We examine this argument directly in two parts. In the first part, we estimate insiders and companies with control to examine whether have the same CSAR by t-test. In the second part, we use the multiple regression method to try to explain what factors a ect CSAR and the factors of companies or insiders that would affect the CSAR. Generally speaking, we nd evidence consistent with the theory that companies with control rights have the same performance as insiders.

並列關鍵字

event study ； cumulative abnormal return. ； Insider

參考文獻

Aboody, D. and Lev, B. (2000), "Information asymmetry, rd and insider gains.",Journal of Finance, 55(6), 2747-2766.

Banz, R. W. (1981), "The relationship between return and market value of common stocks", Journal of Financial Economics, 9, 3-18.

Basu, S. (1983), "The relationship between earnings'' yield, market value and return for nyse common stocks: Further evidence", Journal of Financial Economics, 12, 129-56.

Bettis, C., Vickrey, Don, and Vickrey., D. W. (1997), "Mimickers of corporate insiders who make large volume trade.", Financial Analyst Journal, 53, 57-66.

B.M. Burton, A.A., Lonie and Power, D.M. (1999), "The stock market reaction to investment announcements: The case of individual capital expenditure projects", Journal of Business Finance Accounting, 26(5 ,6), 681-708.