高階主管薪資結構對企業重大宣告時機與跨交易日股市價量表現影響之研究

Abstract

在過去的文獻當中,經理人的薪資結構主要都是在解決代理問題,使得經理人和股東的利益一致,而內線交易的問題則多半在探討價格的效率性、市場流動性或是交易量等相關問題。在這篇論文中,我們主要就是藉由經理人的薪資結構和內線交易來探討關於公司經理人如何選擇在一週的某一天宣告公司的重大資訊,並且如何影響到外部投機者取得資訊的意願進而影響證券的價格和交易量。由於公司經理人的報酬來源有兩個:一、經營公司所獲得的薪資結構,其中薪資結構的報酬正比於股票的價格波動度。二、存在進行內線交易的機會,獲取額外的報酬。所以經理人選擇揭露公司資訊的時間點是為了能夠極大化透過證券市場交易和薪資結構所獲得的期望報酬。公司經理人在大部分的情形下,比較願意在星期三到星期六宣布公司的相關資訊,只有少部份的情形下會在星期二公開資訊。在經理人已經事先決定公司資訊揭露的日子時,由於資訊可能會事先洩漏,因此在經理人公開資訊的前一天時,證券市場的價格和交易量會反映部分資訊。給定在公開資訊都是在重大資訊宣告日的前一天抵達市場,在比較小的資訊搜尋成本和未平倉懲罰下,重大資訊宣告日的前一日是星期一時,資訊效率性會比較高、價格波動性比較小、期望交易量比較大;而在比較大的資訊搜尋成本或是未平倉懲罰時,重大資訊宣告日的前一日是星期二到星期五的其中一天,資訊效率性會比較高、價格波動性比較大和期望交易量比較小。

英文摘要 In the previous literatures, the main function of executive compensation package is to address the agency problem exists between managers and shareholders and to align the benefits between these two parties. In addition, most of the previous researches about inside trading focus on the issues of efficiency, liquidity, and trading volume. In this paper, we try to discuss the relations among managerial compensation package, inside trading, and the timing choice of corporate disclosure, and how to affect the information acquisition willingness of outside speculators to influence the stock volatility and trading volume. There exist two different kinds of sources of executive compensation package. First of all, the compensation managers can get from running the business, which is positively correlated with the stock price volatility. Secondly, the existences of the opportunity of inside trading, which can let managers get extra profit. As a result, while deciding the disclosure of firm's information, managers will also consider maximizing profit then choosing the disclosure date. In most cases, managers will prefer announce firm's information from Wednesday to Saturday. Only a few of them will choose to disclose information on Tuesday. Due to information leakage before pre-determined corpotare disclosure date T, the security price and trading volume at time T-1 reflects a part of information. Given all the public information will arrive at time T-1, under lower information searching cost and punishment for open interest, we find out information efficiency and trading volume is higher and price volatility is lower when the day before corporate disclosure is Monday; under higher information searching cost or punishment for open interest, we find out information efficiency and price volatility is higher and trading volume is lower when the day before corporate disclosure is among Tuseday to Friday.