內部人職位與內部人交易獲利能力關聯性之研究

Abstract

本研究探討內部人職位與內部人交易獲利能力間之關係，我們檢視2001年至2006年間美國證券市場上所有公開發行公司之內部人交易，第一部分我們探討內部人的職位和角色是否影響其內部人交易預測未來公司股價的異常報酬，結果我們發現CFO的內部人交易預測未來股價獲利的能力最好。 第二部份我們探討R&D活動是否對內部人交易產生影響，以RD變數測試R&D公司和非R&D公司的差別，再以RD_RATIO變數測試R&D活動強度對內部人交易的影響，整體而言，R&D活動的確增加了內部人間的資訊不對稱，且在賣出交易部分的結果比買進交易部分的明顯。 最後一部份我們探討沙賓法案實行後對內部人交易獲利能力的影響，這部分只有賣出交易的部分達到我們的預期，沙賓法案實行後內部人在賣出交易部分得以規避的損失減少，而內部人在買進交易部分能賺取的報酬和獲利比法案實行前還多，因此，沙賓法案只有在內部人賣出交易部分達到原來立法的目的。

In this paper, I investigate the relationship between insiders’ positions and insider trading profitability. I examine insiders’ trades of all publicly traded companies in the U.S. during the 2001-2006 period. First, I test whether the position an insider holds affects the profitability of his trades. I find that insider trades initiated by CFOs exhibit the best ability to predict abnormal stock return and profit per share following their trades. Second, I investigate whether R&D activities influences insider trading profitability. I use a dummy variable RD to identify whether the firm engages in any R&D activities and use RD_RATIO to measure the intensity of R&D activities. Results from this test are consistent with R&D activities increases information asymmetry among insiders. Moreover, results from selling-trades are more significant than buying-trades. Finally, I investigate whether the enactment of Sarbanes-Oxley Act of 2002(SOX) affects insider trading profitability. I find that SOX only dampens the profitability derived from insider selling-trades. Specifically, insiders avoided less loss from selling activities in the post-SOX period. However, insider buying-trades predict greater profits in the post-SOX period. As result, the efficacy of SOX is limited to insider selling-trades.