本研究主要以2007到2010年台灣股票市場上市公司為樣本，探討公司事件宣告前知訊投資人的下單策略以及各類投資人為知訊投資人之可能性。根據Chae (2005)對事件分類的定義，本文以股利與盈餘宣告為預定(scheduled)事件代表，庫藏股與併購宣告則為非預定(unscheduled)事件代表，探討台灣市場委託簿上事件宣告之前期間知訊投資人的委託單策略。研究結果指出，知訊投資人在股利、盈餘以及庫藏股宣告前5天內會傾向下最積極單以及大單，而併購宣告前，知訊投資人則較偏好下次積極單以及中單；投資人別部份，相較於散戶，機構投資人(外資、自營商、其它國內法人)較可能為知訊投資人；而金融海嘯發生前後，事件宣告前知訊投資人的下單策略確實有所差異。本文主要貢獻在於進一步釐清知訊投資人對於資訊反映在下單的偏好，以及不同性質事件宣告下對知訊投資人下單策略之影響。

This study is to investigate informed investors order strategies before event announcements and all types of investors the possibility of informed investors. According to Chae (2005) defined the event classification, this study defines the dividend and earnings announcements as scheduled events, treasury shares and M & A announcements as unscheduled events, and then investigate informed investors order strategies before listed companies' event announcements on Taiwan stock market. The empirical result show that, informed investors will prefer to submit the most aggressive limit order and large size order before dividend, earnings, and treasury shares announcements, and to submit less aggressive limit order and median size order before M&A announcements. Compared to individual investors, institutional investors (foreign investors, dealers, and other domestic corporations) are more likely to be informed investors. Before and after financial Tsunami, informed investors order strategies before event announcements are indeed different. In this paper, the main contribution are further clarify the informed investors preferences of order strategies, and the impact on informed investors order strategies by event announcements with different feature.

目錄
第一章 前言	1
第一節 研究動機	1
第二節 研究目的	3
第三節 研究架構	6
第二章 文獻探討	8
第一節 事件宣告、資訊不對稱與市場反應	8
第二節 事件宣告、資訊不對稱與投資人下單行為	11
第三章 資料與研究方法	14
第一節 資料敘述	14
一、樣本資料概述	14
第二節 研究方法	18
一、理論模型	18
二、資料處理與變數定義	20
(一)知訊交易	20
(二)委託單積極度	21
(三)委託股數	22
(四)投資人別	23
(五)金融海嘯前後差異分析	24
第三節 模型設定	25
一、主要模型	25
二、交乘項分析	25
三、金融海嘯前後期差異分析	27
第四節 預期研究結果與貢獻	28
第四章 實證結果與分析	29
第一節 資料敘述統計量	30
第二節 各類事件宣告之知訊交易與投資人下單策略、投資人別分析	32
第三節 知訊交易與下單策略及投資人別相關交乘項之分析	37
一、投資人別與委託股數	37
二、投資人別與委託單積極度	39
三、委託單積極度與委託股數	43
第四節 金融海嘯前後差異分析	46
一、 金融海嘯前後比例差異檢定	46
二、 金融海嘯前後解釋變數之差異估計	49
第五章 結論與建議	53
參考文獻	56

表目錄

【表3-1】委託檔資料格式	16
【表3-2】揭示檔資料格式	17
【表4-1】各類事件下單內容之敘述統計量	30
【表4-2】事件前中後三日累積異常報酬率之敘述統計量	31
【表4-3】Probit迴歸估計結果	33
【表4-4】Probit迴歸估計結果─下單策略變數與投資人別變數分開估計	36
【表4-5】投資人別與委託股數交乘項分析	41
【表4-6】投資人別與委託單積極度交乘項分析	42
【表4-7】委託單積極度與委託股數交乘項分析	45
【表4-8】金融海嘯前後解釋變數比例差異之檢定結果	48
【表4-9】金融海嘯前後期委託單內容差異分析之迴歸結果	51
【表4-10】金融海嘯前後期投資人別差異分析之迴歸結果	52

圖目錄
【圖1-1】研究架構流程圖	7

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