系統識別號 | U0002-0706201318112500 |
---|---|
DOI | 10.6846/TKU.2013.00208 |
論文名稱(中文) | 事件宣告前後市場流動性與異常報酬之關係 |
論文名稱(英文) | Liquidity And Abnormal Returns: Evidence From Public Announcement |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士在職專班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 101 |
學期 | 2 |
出版年 | 102 |
研究生(中文) | 鄭翠淑 |
研究生(英文) | Cheng Tsui Shu |
學號 | 700530016 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2013-06-21 |
論文頁數 | 47頁 |
口試委員 |
指導教授
-
林蒼祥
委員 - 蔡蒔銓 委員 - 涂登才 委員 - 林蒼祥 |
關鍵字(中) |
事件宣告 異常交易量 累積異常報酬 資訊不對稱 |
關鍵字(英) |
event announcement abnormal trading volume cumulative abnormal returns information asymmetry |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本研究利用日資料,主要使用以2005年至2010年台灣股票市場上市公司為樣本,來探討事件宣告前後,異常報酬率與流動性之間的關係。本研究並進一步將事件分為股利宣告及盈餘宣告(預定事件)、庫藏股及併購(非預定事件)四大類作討論。研究結果指出,在不考慮資訊交易機率之前,異常交易量與累積異常報酬呈現不顯著相關。然而在考慮資訊交易機率後,股利宣告對資訊交易機率較高的股票會產生異常報酬;盈餘宣告對資訊交易機率較高的股票,異常交易量對累積異常報酬有顯著負相關,代表市場存在資訊不對稱。而儘管在考慮資訊交易機率後,庫藏股及併購之非預定事件的異常交易量及累積異常報酬沒有顯著相關性,因此無證據顯示存在資訊不對稱。本文主要貢獻在於深入觀察分析異常交易量與累積異常報酬與資訊不對稱(包含資訊交易者與非資訊交易者)的影響有何差異。 關鍵字:事件宣告、異常交易量、累積異常報酬、資訊不對稱 |
英文摘要 |
This study aims to investigate the effects of scheduled events such as dividends declared and earnings announcement, and unscheduled events such as treasury shares and mergers and acquisitions, on the relationship between cumulative abnormal returns and abnormal trading volume. The analysis is based on the intraday order-book data and trading data provided by the Taiwan Stock Exchange between 2005 and 2010. The empirical results show that, before we consider the probability of informed trading, there are no significant relationship between cumulative abnormal returns and abnormal trading volume. However, the two scheduled events had significant effects on the cumulative abnormal returns after we consider the probability of informed trading. The cumulative abnormal returns of high probability of informed trading group during the pre-event period are significantly higher, indicating that there is information asymmetry. On the other hand, the effects of unscheduled events on the cumulative abnormal returns and abnormal trading volume are not significant, even when we consider the probability of informed trading. This result shows that there is no information asymmetry on the unscheduled events. The major contribution of the present research is to analyze the effects of scheduled and unscheduled events on cumulative abnormal returns and abnormal trading volume. The results lead to the conclusion that information asymmetry does exist for scheduled events. |
第三語言摘要 | |
論文目次 |
第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 3 第三節 研究架構 4 第四節 研究流程圖 5 第二章 理論與文獻探討 6 第一節 相關理論基礎 6 第二節 事件宣告及異常交易量與異常報酬之相關文獻 8 第三節 股利宣告及盈餘宣告與買回庫藏股及併購之相關文獻 10 第四節 資訊不對稱之相關文獻 14 第三章 研究方法 16 第一節 樣本選取及資料來源 16 第二節 模型設定 18 第三節 變數的衡量 22 第四節 資訊不對稱之意涵 24 第四章 實證結果 29 第一節 樣本敘述統計分析 29 第二節 異常交易量對累積異常報酬之影響 32 第三節 資訊交易者進場機率之影響分析 38 第五章 結論 44 參考文獻 46 圖目錄 圖1-1 研究流程圖 ....................................................................................................... 5 圖3-1 異常報酬的事件 ............................................................................................. 19 圖3-2 異常報酬的估計期 ......................................................................................... 20 圖3-3 異常交易量的估計期及事件期 ..................................................................... 21 表目錄 表3-1 非資訊者交易行為表 ..................................................................................... 24 表3-2 資訊交易者交易行為表 ................................................................................. 25 表4-1 敘述統計表 ..................................................................................................... 30 表4-2 投資人類別成交值比重 ................................................................................. 33 表4-3 股利宣告時異常交易量對累積異常報酬之影響分析 ................................. 34 表4-4 盈餘宣告時異常交易量對累積異常報酬之影響分析 ................................. 35 表4-5 買回庫藏股時異常交易量對累積異常報酬之影響分析 ............................. 36 表4-6 併購時異常交易量對累積異常報酬之影響分析 ......................................... 37 表4-7 股利宣告時資訊交易者進場機率之影響分析 ............................................. 40 表4-8 盈餘宣告時資訊交易者進場機率之影響分析 ............................................. 41 表4-9 買回庫藏股時資訊交易者進場機率之影響分析 ......................................... 42 表4-10 併購時資訊交易者進場機率之影響分析 ................................................... 43 |
參考文獻 |
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