事件宣告前後市場流動性與異常報酬之關係

Liquidity And Abnormal Returns： Evidence From Public Announcement

鄭翠淑(Cheng Tsui Shu)

指導教授 ： 林蒼祥

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.00208

摘要

本研究利用日資料，主要使用以2005年至2010年台灣股票市場上市公司為樣本，來探討事件宣告前後，異常報酬率與流動性之間的關係。本研究並進一步將事件分為股利宣告及盈餘宣告(預定事件)、庫藏股及併購(非預定事件)四大類作討論。研究結果指出，在不考慮資訊交易機率之前，異常交易量與累積異常報酬呈現不顯著相關。然而在考慮資訊交易機率後，股利宣告對資訊交易機率較高的股票會產生異常報酬；盈餘宣告對資訊交易機率較高的股票，異常交易量對累積異常報酬有顯著負相關，代表市場存在資訊不對稱。而儘管在考慮資訊交易機率後，庫藏股及併購之非預定事件的異常交易量及累積異常報酬沒有顯著相關性，因此無證據顯示存在資訊不對稱。本文主要貢獻在於深入觀察分析異常交易量與累積異常報酬與資訊不對稱(包含資訊交易者與非資訊交易者)的影響有何差異。

關鍵字：事件宣告、異常交易量、累積異常報酬、資訊不對稱

關鍵字

事件宣告 ； 異常交易量 ； 累積異常報酬 ； 資訊不對稱

並列摘要

This study aims to investigate the effects of scheduled events such as dividends declared and earnings announcement, and unscheduled events such as treasury shares and mergers and acquisitions, on the relationship between cumulative abnormal returns and abnormal trading volume. The analysis is based on the intraday order-book data and trading data provided by the Taiwan Stock Exchange between 2005 and 2010. The empirical results show that, before we consider the probability of informed trading, there are no significant relationship between cumulative abnormal returns and abnormal trading volume. However, the two scheduled events had significant effects on the cumulative abnormal returns after we consider the probability of informed trading. The cumulative abnormal returns of high probability of informed trading group during the pre-event period are significantly higher, indicating that there is information asymmetry.
On the other hand, the effects of unscheduled events on the cumulative abnormal returns and abnormal trading volume are not significant, even when we consider the probability of informed trading. This result shows that there is no information asymmetry on the unscheduled events. The major contribution of the present research is to analyze the effects of scheduled and unscheduled events on cumulative abnormal returns and abnormal trading volume. The results lead to the conclusion that information asymmetry does exist for scheduled events.

並列關鍵字

event announcement ； abnormal trading volume ； cumulative abnormal returns ； information asymmetry

參考文獻

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