為了減緩優勢資訊交易機率（probability of information-based trading，簡稱PIN）富含市場雜訊問題，Easley et al. (2008) 提出納入審計、會計、經濟、股權結構等影響企業資訊環境因素所組合建構的資訊交易機率代理變數（Proxy of PIN，簡稱PPIN）。PPIN除了能過濾市場雜訊、考量完整的企業資訊風險，並幫助投資者了解何種企業特徵具有較高之資訊風險。基此，本文計算台灣企業之PPIN值，驗證並支持Easley et al. (2008) 對PPIN之論述，證實PPIN於台灣資本市場的適用性。並且進一步提出PPIN於資產定價與穩健會計模型的應用。

In order to reduce market noise of Probability of Information-Based Trading, (PIN), Easley et al. (2008) created Proxy of PIN (PPIN) consisted of factors which affect the information environment of firm, including auditing, accounting, economic and stockholder structure. PPIN is able to filter market noise, considers the complete information risk of firm, and helps investors identify firm characteristics with higher information risk. Therefore, we measure PPIN of Taiwan firms to verify the statement of Easley et al. (2008) and the stability of PPIN in Taiwan capital market. Furthermore, we present the application of PPIN on asset price model and conservatism accounting model.

中文摘要	i
英文摘要	ii
目錄	iii
圖表目錄	iv
第壹章　緒論	1
第一節　研究背景與研究動機	1
第二節　研究目的	2
第三節　研究流程與架構圖	3
第貳章　文獻探討	4
第一節　資訊不對稱與資訊交易機率	4
第二節　資訊不對稱與企業特性	8
第參章　研究方法	13
第一節　應變數模型：資訊交易機率	13
第二節　解釋變數模型	14
第三節　實證模型	18
第四節　應用模型	19
第五節　資料來源與樣本選取	21
第肆章　實證結果	23
第一節　敘述性統計	23
第二節　相關係數矩陣	24
第三節　迴歸分析	26
第四節　資訊交易機率代理變數	28
第五節　PPIN之定價能力檢定	30
第六節　PPIN於會計穩健性之應用	31
第七節　PPIN之投資組合應用	33
第伍章　建議與結論	35
參考文獻	37
圖1　研究流程圖	29
圖2　PIN與PPIN分布圖	29
圖3　PIN與PPIN年趨勢圖	29
圖4　年報酬率趨勢圖	30
表1　變數統整表	9
表2　樣本篩選過程與分布情形	22
表3　敘述性統計量	24
表4　相關係數矩陣	25
表5　資訊交易機率與解釋變數迴歸分析	26
表6　PIN與PPIN敘述性統計量比較	28
表7　PIN與PPIN定價能力檢定	30
表8　PIN與PPIN會計穩健性檢定	33
表9　PIN與PPIN投資組合報酬率比較表	34

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