本文以台灣上市櫃公司之內部人持股變動月資料為研究樣本,探討影響內部人之各項交易動機及其未來股票績效的預測能力。實證結果發現,當市場對公司股價錯估程度越大,內部人會藉由本身的資訊優勢來買賣公司股票並可獲得長期股票正向異常報酬。再者,內部人也會基於多角化動機、流動性資金需求等非資訊交易動機而出售手中持股,其交易則呈現長期負向異常報酬。 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。此外,本文也發現內部人較傾向使用反向交易策略,其中反向買進交易最能反映其資訊內涵並可獲得長期顯著股票正向績效。
This study investigates the relationship between insider trading and future stock performance, and explores the factors associated with multiple motives of insider trading. The findings show that insiders can profit from trading shares when the stock valuation errors of general investors are greater. In addition, insiders tend to practice insiders selling for non-information motives like diversification and liquidity need motives, but have negative abnormal stock returns. Compared with the past methodology, this study not only measure the stock valuation errors using the pricing deviation, but also control for information and non-information trading variables. This study infers that the positive stock performance of information motivated trading maybe offset by the negative stock performance of non-information motivated trading, which possibly causes the inconclusive conclusion of insiders’ information advantage on the current literatures. Furthermore, the long-term positive stock performances of the contrarian buying strategy reflect the insiders’ information advantage.