臺灣上市公司內部人申報轉讓之交易策略研究

Abstract

相關文獻指企業內部人具資訊優勢，因此外部投資人或將以其轉讓持股申報作為應出售股票的參考指標，惟臺灣證券交易法（第22-2及25條）要求內部人於轉讓持股前先作申報，卻未強制規範內部人依照事前申報內容執行股票轉讓，故本研究擔心此會引發其操作股價之申報轉讓動機。又內部人受歸入權之限制，6個月內既買又賣所獲得的利益須歸於公司，其或會利用人頭帳戶在申報轉讓公開之事前、事後進行信用交易操作。本文探討若內部人實有透過申報轉讓操縱股價之意圖，而一般投資人是否可應用融資、融券變化量公開資訊形成交易策略。實證結果顯示：1)宣告日前融券增幅與宣告日後融資增幅與當期轉讓執行率呈現顯著負相關 2)宣告日前融券增加與後續申報宣告所伴隨的短期市場負面反應並不顯著，而宣告日後融資增加與後續申報宣告所伴隨的短期市場為正面顯著。本研究亦進一步發現申報轉讓之內部人身分為經理人、公司規模小者、申報轉讓金額大之樣本，其後續申報宣告所伴隨的短期市場反應較顯著3) 後續申報宣告後長期股價變動顯示市場對宣告日前融券增加與宣告日後融資增加，似皆有反應不足，而若申報之內部人身分為經理人、公司規模大者、申報轉讓金額小之樣本，其後續申報宣告所伴隨的長期市場反應不足最為顯著

The extant literature points out that insiders have an information advantage. Thus uninformed investors may use their declaration of shares transfer as a reference indicator for the sale of shares. However, the Taiwan Securities Exchange Act (Articles 22-2 and 25) requires insiders to make declarations before their transferring shares, but it is not mandatory that insiders transfers the exact number of shares in accordance with their prior declarations. Therefore, this study conjectures that the shares transfer declaration mechanism may trigger the insiders’ misleading the market and thus manipulating the stock price through false declaration. Moreover, insiders are subject to disgorgement of their short-swing profits. Namely, company insiders are required to return any capital gains made from the purchase and sale of company stock if both transactions occur within a six-month period. Accordingly, it is likely that manipulative insiders would use the dummy account to trade and is likely that they adopt the securities lending and/or borrowing schemes accompanying their declaration of the stocks transfers. This paper explores whether the investors may benefit from observing securities lending and/or borrowing information and form a trading strategy accordingly in response to the insiders’ manipulating the stock price through their declarations of the transfer. The empirical results indicate the follows. First, the execution rate of the stocks transfer significantly negatively correlates with both the amount of short-selling before share transfer announcement and that of the margin trading after share transfer announcement. Second, the short-windowed security returns accompanying the share transfer announcement increase with the margin trading after share transfer announcement. The study further documents that the short-windowed returns accompanying the shares transfer declaration are more pronounced when the insider who makes the declaration is identified within the group of corporate officers, when the company size is small and when the value of the transferred shares is high. Third, the behavior of subsequent long-windowed returns indicates that the market appears to under-react to the increases in both the amount of pre-announcement securities lending and the amount of post-announcement securities borrowing. When the insider who makes the declaration is identified within the group of corporate officers, when the company size is large, and when the value of the transferred shares is low, the subsequent long-windowed returns following the shares transfer declaration appear to be significantly more positive than that corresponding the other observations.