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

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
1.	黃琬娟（1996），「現金股利變動宣告和股價關聯性之研究」，國立中央大學企業管理碩士論文。
2.	蔡秀玫（1994），「股票股利對交易量影響之研究」，國立台灣大學會計學研究所碩士論文。
3.	鄭淳方（1999），「季盈餘宣告對股價影響之實證研究-月營收資訊盈餘預測模型之利用」，國立台灣大學會計學研究所未出版碩士論文。
4.	Apostolos D., and S. Leventis., (2011), "Stock market reaction to dividend announcements : Evidence from the Greek stock market", International Review of Economics and Finance, Vol. 20, no. 2, pp. 302-311.
5.	Amihud, Y., and H. Mendelson, (1988), " Liquidity and Asset Prices: Financial Management Implications", Financial Management, Vol. 17, No. 1,pp .5-15.
6.	Bagehot, W., (1971), " The only game in town", Financial Analysts Journal,Economics , Vol. 27, pp.12-14
7.	Banker, R.D., S. Das and S.M. Dater,( 1993), "Complementarily of prior accounting information : The case of stock dividend announcements,", The Accounting Review, Vol.68, pp.28-47
8.	Ball, R. and P. Brown , (1968), " An empirical evaluation of account numbers", Journal of Accounting Research , Vol. 6, No.2 pp.157-178
9.	Bernard, V. L, and J. K. Thomas. (1989), " Post-Earnings-Announcement Drift :Delayed Price Response or Risk Premium?", Journal of Accounting Research , Vol. 27, pp.1-48
10.	Comment, R. and G.A. Jarrell., (1991), " The Relative Signaling Power of Dutch-Auction and Fixed-Price Self-Tender Offers and Open-Market Share Repurchases", Journal of Finance , Vol. 46, pp.1243-1271
11.	Copeland, T.E., and D. Galai, (1983), " Information effects on the bid-ask spread", Journal of Finance , Vol. 38, pp.1457-1469
12.	Dann, L, (1981), " Common Stock Repurchases: An Analysis of Return to Bondholders and Stockholders", Journal of Financial Economics , Vol.9, No.2 pp.113-138
13.	Easley, D., and M. O’Hara, (1987), " Price, trade size, and information in securities markets", Journal of Financial Economics , Vol. 19, pp.69-90
14.	Gervais, S., R. Kaniel and D. Mingelgrin, (2001), " The high-volume return premium", Journal of Finances , Vol. 56, pp.877-919
15.	Glosten, L, and P. Milgrom,, (1985), " Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders", Journal of Financial Economics , Vol. 14, pp.71-100
16.	Masulis, R.W.(1980),”Stock Repurchase by Tender Offer：An Analysis of the Causes of Common Stock Price Changes”, Journal of Financial, Vol. 35, No,2, pp.305-321
17.	Pritamani,,M.and V. Singal, (2001), " Return predictability following large price changes and information releases,", Journal of Banking and Finance,f , Vol. 25, pp.631-656
18.	Rimbey, J., and D. T. Officer, (1992), " Market Response to Subsequent Dividend Actions of Dividend-Initiating and Omitting Firms,", Quarterly Journal of Business and Economics , Vol. 31, pp.3-20
19.	Shelton, L.M.,(2002), " Merger Market Dynamics:Insight into the Behavior of Targetand Bidder Firms,", Journal of Economic Behavior and Organization, , Vol. 41, pp.363-383
20.	Vermaelen, T., (1981), " Common Stock Repurchases and Market Signaling", Journal of Financial Economics , Vol. 9, No.2,pp.139-183
21.	Karpoff, J. M ,(1987), " The relation between price changes and trading volume: A survey", Journal of Financial Quantitative , Vol. 22, pp.109-126
22.	Vermaelen, T., (1981), " Common Stock Repurchases and Market Signaling", Journal of Financial Economics , Vol. 9, No.2,pp.139-183