Sun Yat-Sen Management Review

  Journal Fullview

Sun Yat-Sen Management Review  2011/9

Vol. 19, No.3  p.633-664


Title
建構移動視窗探討內線交易對購回股票宣告之影響
The Effect of Insider Trading on Share Repurchase Announcements: the Moving-Window Perspective
(634699107187748750.pdf 993KB)

Author
王朝仕、陳振遠、陳振宇、張眾卓/國立臺中技術學院企業管理學系事業經營碩士班、國立高雄第一科技大學企業管理研究所、長榮大學財務金融學系、亞洲大學財務金融學系
Chao-Shi Wang、Roger C. Y. Chen、Chen-Yu Chen、Chong-Chuo Chang/

Department of Business Administration, National Taichung Institute of Technology , Graduate Institute of Business Management, National Kaohsiung First University of Science and Technology , Department of Finance, Chang Jung Christian University , Departme


Abstract(Chinese)

本研究擬以所建構出的移動視窗法,針對公司購回股票事件,偵測其在宣 告前是否存在內線交易,並探討該行為與後續績效之關係。相較於過去文獻使 用整體衡量期間,或是根據內部關係㆟持股變化進行內線交易行為的偵測,本 研究提出創新的移動視窗法為較具彈性與敏感之檢測方法,不但能達到逐期觀 察之效果,偵測範圍更不限定於狹義內部關係㆟,可避免低估內線交易對績效 的影響,增進事件研究法的檢測效力。實證結果顯示,就涉及內線交易的股票 而言,其在宣告前呈現價漲量增之現象,符合購回股票政策隱含的交易方向; 然而,此類股票在宣告初期與長期績效卻是較差的。此外,在公司實施購回股 票的相關申報事㊠㆗,以購回價格相對㆖限對內線交易行為具㈲顯著解釋能 力。

(634699107187280000.pdf 192KB)

KeyWord(Chinese)

移動視窗、購回股票、內線交易、績效


Abstract(English)

The study explores the method of moving-window to analyze and detect the existence of insider trading before share repurchase announcement. The discussion also involves the effect of insider trading on the long term performance. The new moving-window method adopted to examine insider trading activities in this study differs from those in the past literature which utilized overall measured period and insider’s shareholdings. Our model appears to have better flexibility and sensitivity. Not only can it performs periodic observation, it can also detect insiders at a broader sense, improve the effectiveness of event study and prevent the underestimation of the insider trading impact on the long term performance. The empirical results indicate that the shares involving in insider trading appear to have a rise in price and trading volume, which is consistent with the purpose of share repurchase. However, these shares appear to have poorer short term and long term performances after the announcement. Moreover, the treasury share repurchase relative price limit is significantly related to insider trading.

(634699107187280000.pdf 192KB)

KeyWord(English)

moving-window, share repurchase, insider trading, performance


Policy and management implications
(Available only in Chinese)

由於公司實施購回股票計畫可能產生正向宣告效果,此會提供內部關係人在資訊正式宣告之前,率先採取交易的一個良好機會。特別是內部關係人擁有獲得私有資訊的管道,當其瞭解公司執行購回的主要動機,係因本身股價被市場低估所致,其更可能在公司向市場宣告前先行購入股票,以期獲得更高的資本利得。然而,一般投資人處於資訊劣勢地位,若其亦將公司購回股票事件視為買進訊號,但卻僅能在公司正式宣告後才能得知訊息而採取相對應的交易行為,其顯然已處於不公平交易之地位。基於此點理由,公司購回股票即成為適合探討內線交易課題的範例。 值得注意的是,內部關係人為維持資訊優勢地位或避免訴訟等理由,其交易行為極具隱蔽性。因此,如何合理且具體地檢測內線交易行為,更是主管機關與學者們亟欲解決的課題。本研究嘗試提出創新的移動視窗法,檢測公司在宣告購回股票前是否存在內線交易行為,並討論其與後續績效之關係。期望藉由本研究之結果,不但有助於一般投資人避免因資訊劣勢而誤觸涉嫌內線交易的股票,亦可釐清並避免錯估內線交易的真正影響;如此能解決內線交易研究的瓶頸,且對增進資本市場的交易公平性更有莫大的助益。 實證結果顯示,內線交易較多產生於距離宣告日前的一段期間,而在接近宣告日前幾日則較少,此主要係反映內部關係人基於操作彈性與獲利空間之考量。尤其被移動視窗方法認定為受到內線交易所干擾者,其在購回股票宣告日前一致呈現價漲量增之現象,不但符合購回股票政策隱含的操作方向,亦與其他非內線交易股票的價跌量縮情形有明顯區別,據此則能夠支持移動視窗方法的合理性。此外,本研究發現於宣告前涉及內線交易的股票,其初期與後續績效皆是較差的。


References