請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58027完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王衍智(Yan-Zhi Wang) | |
| dc.contributor.author | Cheng-Chuan Kuo | en |
| dc.contributor.author | 郭政銓 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:04:47Z | - |
| dc.date.available | 2014-07-09 | |
| dc.date.copyright | 2014-07-09 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2014-06-27 | |
| dc.identifier.citation | Aboody, David, and Baruch Lev, 2000, Information asymmetry, R&D and insider gains, Journal of Finance 6, 2747-2766.
Brochet, Francois, 2010, Information content of insider trades before and after the Sarbanes-Oxley Act, The Accounting Review 85, 419-446. Babenko, llona, Yuri Tserlukevich, and Alexander Vedrashko, 2012, The credibility of open market share repurchase signaling, Journal of Financial and Quantitative Analysis 47, 1059-1088. Berkman, Henk, Paul, D. Koch, and P. JoakimWesterholm, 2014, Informed trading through the accounts of children, Journal of Finance 69, 363-404. Chae, Joon, 2005, Trading volume, information asymmetry, and timing information, Journal of Finance 60, 413-442. Cohen, Lauren, Christopher Malloy, and Lukasz Pomorski, 2012, Decoding inside information, Journal of Finance 67, 1009-1043. Easley, David, Nicolas Kiefer, and Maureen O’Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90. Fama, Eugene, and James MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607–636. Fishman, J. Michael, and Kathleen M. Hagerty, 1995, The mandatory disclosure of Trades and market liquidity, Review of Financial Studies 8, 637–676. Fernandes, Nuno, and Miguel Ferreira, 2009, Insider trading laws and stock price informativeness, Review of Financial Studies 22, 1845-1887. Glosten, Lawrence R., and Paul R. Milgrom, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71-100. John, Kose, and Ranga, Narayanan, 1997, Market manipulation and the role of insider trading regulations, Journal of Business 70, 217–247. Jiang, Xiaoquan, and Mir, A. Zaman, 2010, Aggregate insider trading: Contrarian beliefs or superior information? Journal of Banking and Finance 34, 1225-1236. Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1336. Lee, Inmoo, 1997, Do firms knowingly sell overvalued equity? Journal of Finance 52, 1439-1466. Lee, M. C. Charles, and Bhaskaren Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069. Lakonishok, Josef, and Inmoo Lee, 2001, Are insiders’ trades more informative? Review of Financial Studies 14, 79-111. Marin, Jose, and Jacques Olivier, 2008, The dog that did not bark: Insider trading and crashes, Journal of Finance 63, 2429-2476. Seyhun, H. Nejat, 1986, Insiders’ profits, costs of trading, and market efficiency, Journal of Financial Economics 16, 189-212. Seyhun, H. Nejat, 1988, The information content of aggregate insider trading, Journal of Business 61, 1-24. Seyhun, H. Nejat, 1992, Why does aggregate insider trading predict future stock returns? Quarterly Journal of Economics 107, 1303-1331. Veenman, David, 2012, Disclosures of insider purchases and the valuation implications of past earnings signals, The Accounting Review 87, 313-342. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58027 | - |
| dc.description.abstract | 本研究探討美國股市報酬率與公司高階主管或受定義為可能俱有內線交易資訊者依照美國證券交易委員會(Securities and Exchange Commission)相關規定(Form 4)呈報其對自己公司進行證券相關買賣之內部人交易資訊之關聯。本研究發現：(1) 參與內部人交易之公司其公司特質與過往實證研究類似。(2) 內部人交易資訊測度中的「累積買量」(Aggregate Insider Purchases) 對股票未來報酬率的預測能力下降。 (3) 我們所定義內部人交易測度對小公司的未來報酬率預測能力下降，而中大型公司卻上升。 (4) 隨著時間經過，我們所定義的內部人交易測度對未來報酬率的預測能力逐步下降。 如上現象可歸因於較為透明的市場資訊、較為嚴密的法律制度與市場效率。
關鍵字：內部人交易、訊息內涵、市場效率、市場學習 | zh_TW |
| dc.description.abstract | This study examines the effects of the information content of insider trading on long-run future returns by defining several insider trading measures. We find that (1) the characteristics of the firms that engage in insider trading are similar to those in past empirical researches, (2) the predictive power of the aggregate insider purchases relents, (3) the predictive power on returns of smaller firms of insider trading measures we define is diminishing while that of larger firms is improving, (4) in general, the predictive power of insider trading measures we define are diminishing as time moves forward. We attribute these phenomena to greater market transparency, better enforcement of law and market efficiency.
Keywords: Insider Trading; Information Content; Market Efficiency; Market Learning | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:04:47Z (GMT). No. of bitstreams: 1 ntu-103-R01723054-1.pdf: 1414257 bytes, checksum: d63cbe0998a37c1e743ab372b6231e4a (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 致謝 I
中文摘要 II ABSTRACT III I. INTRODUCTION 4 II. METHODOLOGY 11 III. SUMMARY STATISTICS 14 IV. REGRESSION RESULTS 15 V. THE PREDICTABILITY OF INSIDER TRADING INFORMATION 18 VI. CONCLUSION 21 REFERENCE 23 TABLE 1 SUMMARY STATISTICS 25 TABLE 2 FAMA-MACBETH REGRESSION RESULTS (NETBUY) 28 TABLE 3 FAMA-MACBETH REGRESSION RESULTS (PUREBUY) 30 TABLE 4 FAMA-MACBETH REGRESSION RESULTS (EXTREMEBUY) 32 TABLE 5 FAMA-MACBETH REGRESSION RESULTS (NETBUYRATIO) 34 APPENDIX 1: AN EXAMPLE OF ADJUSTMENT OF INSIDERS’ SELLING TRANSACTIONS RELATED TO OPTIONS 40 APPENDIX 2: DEFINITION OF VARIABLES 41 Figure 1: The moving average slope of the past 12 month regressions of the monthly return on Dummynetbuy1_6. 36 Figure 2: The moving average slope of the past 12 month regressions of the monthly return on the Dummynetbuy1_6 with respect to Small Size Firm. 36 Figure 3: The moving average slope of the past 12 month regressions of the monthly return on the Dummynetbuy1_6 with respect to Medium Size Firm 37 Figure 4: The moving average slope of the past 12 month regressions of the monthly return on the Dummynetbuy1_6 with respect to Large Size Firm 37 Figure 5: The moving average slope of the past 12 month regressions of the monthly return on the Dummpuretbuy1_6. 38 Figure 6: The moving average slope of the past 12 month regressions of the monthly return on the Dummypurebuy1_6 with respect to Small Size Firm 38 Figure 7: The moving average slope of the past 12 month regressions of the monthly return on the Dummypurebuy1_6 with respect to Medium Size Firm 39 Figure 8: The moving average slope of the past 12 month regressions of the monthly return on the Dummypurebuy1_6 with respect to Large Size Firm 39 | |
| dc.language.iso | en | |
| dc.subject | 訊息內涵 | zh_TW |
| dc.subject | 市場效率 | zh_TW |
| dc.subject | 市場學習 | zh_TW |
| dc.subject | 內部人交易 | zh_TW |
| dc.subject | Insider Trading | en |
| dc.subject | Information Content | en |
| dc.subject | Market Efficiency | en |
| dc.subject | Market Learning | en |
| dc.title | 基於公開內部人交易資訊所形成的投資策略 | zh_TW |
| dc.title | Insider Trading-Strategy based on the Information Content of Form 4 Disclosure | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu Ho),陳聖賢(Sheng-Syan Chen) | |
| dc.subject.keyword | 內部人交易,訊息內涵,市場效率,市場學習, | zh_TW |
| dc.subject.keyword | Insider Trading,Information Content,Market Efficiency,Market Learning, | en |
| dc.relation.page | 41 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2014-06-30 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-103-1.pdf 未授權公開取用 | 1.38 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。