消息本質、內部人持股、股價與股票報酬

THE NATURE OF NEWS, INSIDER OWNERSHIP, STOCK PRICE AND STOCK RETURNS

謝竣傑(CHUN-CHIEH HSIEH)

指導教授 ： 陳瑞璽

大同大學/經營設計學院/事業經營學系所/碩士(2009年)

摘要

本篇文章試著從行為財務學中許多影響投資人心理的因素加以分析，對消息本
質、內部人持股、股價與股票報酬間的關係進行解釋。實證結果顯示，股價會造成
投資人之行為偏誤，使其加深消息本質對報酬之影響。此外，當股價越高時，分析
師預測修正之影響會越低，本文推測投資人在股價高時，越傾向過度自信，高估自
己的能力而非依據分析師之預測修正；相對的，在股價越低時，分析師預測修正之
影響會較明顯。
當內部人持股比例越高時，消息本質的影響會越低，本文推測投資人的刻板印
象，經常會預期內部人持股比例高，內部人會面臨相同的利害關係或是內部人具有
較豐富的公司內部資訊。此刻板印象會使投資人仍以公司內部人持股比例作為判斷
未來股票報酬的工具，而非完全仰賴分析師預測修正。因此即使在壞消息下，內部
人持股比例高，依然可使投資人建立信心，使得投資人對好消息與壞消息的反應沒
顯著的差異。

關鍵字

內部人持股 ； 動能 ； 分析師預測修正 ； 經驗法則偏誤

並列摘要

This paper attempts to address the connections among the nature of news, insider
ownership, stock price, and stock returns from the aspect of factors in financial theories
that influence investors’ mentality. The empirical studies show that stock price could
mislead investors’ behavior and enhance the impact of the nature of news on stock returns.
Besides, the higher stock price is, the less impact analyst forecast revision would create.
This research assumes that investors tend to be over-confident and overestimate their
ability to invest when stock price is buoyant, thus ignoring analyst forecast revision.
Instead, when stock price declines, the impact of analyst forecast revision would become
more significant.
The higher percentage insider ownerships account for, the less impact the nature of
news would create. This study assumes that investors would have the stereotyped impression that when insiders maintain high ownership, they would share the same
related interests with other investors or insiders have more access to corporate inside
information. Investors with such stereotyped impression would determine future stock
returns by means of percentage of insider ownership rather than totally rely on analyst
forecast revision. Thus, even though there is negative news spreading around, higher
insider ownership could still reassure investors and make less significant difference
between investors’ reactions towards positive news and negative news.

並列關鍵字

insider ownership ； momentum ； analyst forecast revision ； heuristic-driven bias

參考文獻

Keown, A. J., D. F. Scott Jr, J. D. Martin, and J. W. Petty. “Foundation of Finance: The

Ball, R. and P. Brown. “An Empirical Examination of Accounting Income Numbers.”

Journal of Accounting Research 6, (1968): 159-178.

Barberis, N., A. Shleifer, and R. Vishny. “A Model of Investor Sentiment.” Journal of

Financial Economics 49, (1998): 307-343.