本文研究期間以2005年到2010年台灣上市公司的股票為樣本，探討公司非預期事件(併購事件和庫藏股買回事件)宣告投資人資訊不對稱對股票異常報酬之影響，使用台灣證券交易所提供的成交檔、委託檔和揭示檔之日內資料，將投資人區分為外資、散戶、自營商和投信及其他國內法人做討論。利用資訊交易機率和異常交易量判別投資人是否有資訊不對稱存在，並檢驗資訊不對稱對股票異常報酬是否有顯著現象。
研究結果指出，併購事件方面，宣告日和宣告前一天僅異常交易量對市場異常報酬有明顯的影響，實證顯示，事件宣告前一天投信及其他國內法人對於事件較有預測能力，事先於市場上做出委買決策，進而帶動事件當天散戶進場交易。在庫藏股買回事件中，外資和自營商因握有較多的資訊且集中於少數人手中，且對藏股買回事件視為好消息，偏好進入市場下委買單，而投信與其他國內法人受到法規限制，先行針對已持有的部位賣出，來賺取訊息利多已反映的部分，所以交易行為偏好賣單。

This study is concerned with the impact of unscheduled event announcements on the abnormal return of stock market. The data is based on from listed companies in Taiwan stock market from 2005 to 2010. We use the intraday limit order book, display data and transaction data from TWSE. And separating the investors in to four groups-foreign investors, individual investors, dealers, mutual fund, and other domestic institution investors in Taiwan stock market. Using the probability of informed trading and abnormal volume to recognize whether investors exist asymmetric information.
In M&A event, the empirical results show that the abnormal volume is obviously related to the market abnormal return on announcement day and before announcement day. And we can find that other domestic institution investors are more predictable to decide the buying strategy. In share repurchase announcements, foreign investors and dealers have more information and regard the events as good news. They prefer to decide the selling strategy. But mutual fund, and other domestic institution investors are subject to the law in Taiwan. They sell the shares which have already held the stock market to make the profit, so their behavior of trading prefers to decide the selling order.

目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究架構 7
第四節 研究流程 8
第二章 文獻探討 9
第一節 事件宣告之溢酬 9
第二節 資訊交易機率 12
第三節 流動性變數之溢酬 14
第三章 研究方法 17
第一節 資料來源與樣本篩選 17
第二節 資料格式 21
第三節 變數說明 24
第四節 模型設定 35
第四章 實證結果分析 39
第一節 敘述統計量分析 39
第二節 迴歸分析 44
第五章 結論 54
參考文獻 55

表目錄
【表1-1】集中交易市場成交金額投資人類別比例表 4
【表1-2】企業併購案件統計表 5
【表3-1】成交檔資料格式 22
【表3-2】委託檔資料格式 23
【表3-3】揭示檔資料格式 23
【表3-4】非資訊交易者之交易行為 27
【表4-1】全市場下樣本事件敘述統計 40
【表4-2】不同投資人下併購事件敘述統計 42
【表4-3】不同投資人下庫藏股買回事件敘述統計 43
【表4-4】全市場下併購宣告和庫藏股宣告於事件期對市場異常報酬之影響 45
【表4-5】全市場下併購和庫藏股事件加入落後一期之迴歸結果 46
【表4-6】不同投資人下併購和庫藏股事件於事件期對市場異常報酬之影響 49
【表4-7】不同投資人下併購事件和庫藏股事件落後一期和當天之迴歸結果 50
【表4-8】全市場資訊交易機率與委託單不平衡對市場報酬之影響 52
【表4-9】不同投資人資訊交易機率與委託單不平衡對市場報酬之影響 53

圖目錄
【圖1-1】研究架構流程圖 8
【圖3-1】事件期和估計期的設定 20
【圖3-2】交易過程樹狀圖 27

1.沈中華、李建然，(2000)，「事件研究法：財務與會計實證研究必備」，華泰文化。
2.陳振遠、吳香蘭，(2002)，「台灣上市公司庫藏股購回宣告資訊內涵之研究」，中山管理評論，第十卷第一期，頁127~154。
3.陳嘉惠、劉玉珍、林炯垚，(2003)，「公開市場股票購回影響因素分析」，證券市場發展季刊，第15卷第3期，頁27-62。
4.Brown, P., D. Walsh and A. Yuen, (1997), “ The Interaction between Order Imbalance and Stock Price,” Pacific-Basin Finance Journal 5, 539-557
5.Barber, B., T. Odean and N. Zhu, (2006), “Do Noise Trader Move Markets,” Working Paper.
6.Bagehot, W. (1971), “The Only Game in Town,” Financial Analysts Journal, 27, 12-14.
7.Chan, K., Ikenberry, D., & Lee, I. (2004), “Economic sources of gain in stock repurchases, ” Journal of Financial and Quantitative Analysis, 39(03), 461-479.
8.Chae, J., (2005), “Trading volume, information asymmetry, and timing information,” Journal of Finance, 60(1), 413-442.
9.Chen, K and W. M. Fong, (2000), “ Trade Size, Order Imbalance, and the Volatility-Volume Relation,” Journal of Financial Economics 57, 247-273.
10.Easley, D., Kiefer, N. M., O’Hara, M., & Paperman, J. B. (1996), “Liquidity, Information, and Infrequently Traded Stocks,” The Journal of Finance, 51, 1405-1436.
11.Day, T. E. and Lewis, Craig M. (1992), “Stock Market Volatility and the Information Content of Stock Index Options”, Journal of Econometrics, vol. 52, 267-287.
12.Frazzini, A., and O. Lamont (2007), “The Earnings Announcement Premium and Trading Volume,” working paper, 53.
13.Gong, G., Louis, H., & Sun, A. X. (2008), “Earnings Management and Firm Performance Following Open‐Market Repurchases,” The Journal of Finance, 63(2), 947-986.
14.Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001), “The high‐volume return premium,” The Journal of Finance, 56(3), 877-919.
15.Jaffe, J., and R. Winkler. (1976), “Optimal speculation against an efficient market,” Journal of Finance, 31(1), 49-61
16.Karpoff, J. M. (1987), “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis, Vol.22, 109-126. 
17.Lee, Y. G., Jung, S. C., & Thornton Jr, J. H. (2005), “Long-term stock performance after open-market repurchases in Korea,” Global Finance Journal, 16(2), 191-209.
18.Lee, Y., Liu, Y., Roll, R., & Subrahmanyam, A. (2004), “Order Imbalance and Market Efficiency: Evidence from the Taiwan Stock Exchange,” Journal of Financial and Quantitative Analysis, 39, 327-341.
19.Mitchell, M. L., & Stafford, E. (2000), “Managerial decisions and long-term stock price performance,” The Journal of Business, 73(3), 287-329.
20.Ma, T., Hsieh, M., & Chen, J. (2007), “The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market,” Asia-Pacific Journal of Financial Studies, 36, 871-896.
21.Nofsinger, J. (2001), “The impact of public information on investors,” Journal of Banking & Finance, 25, 1339-1366.
22.Peyer, U., & Vermaelen, T. (2009), “The nature and persistence of buyback anomalies,” Review of Financial Studies, 22(4), 1693-1745.
23.Smith, G. D., Arnold, D. R., & Bizzell, B. G. (1991), “Business Strategy and Policy: Cases. Houghton Mifflin Company,”
24.Stephens, C. P. and M. S. Weisbach (1998), “Actual share reacquisitions in open-market repurchase programs,” The Journal of Finance, LIII (1), 313-333.
25.Sankaraguruswamy, S., J. Shen, and T. Yamada (2006), “Impact of firm-specific public information on the relation between prices and trading,” Working Paper, National University of Singapore.
26.Vithessonthi, C. (2008), “Long-run Share prices and operating performance following share repurchase announcements,” Journal of American Academy of Business, Cambridge, 12(2), 180-186.
27.Whittington, R. (1995), “What is Strategy and Does it Matter,” 3rd ed., New York: Routledge.
28.Zhang, H. (1995), “Wealth effects of US bank takeovers,” Applied financial economics, 5(5), 329-336.
29.Zhang, H. (2005), “Share price performance following actual share repurchases,” Journal of Banking & Finance, 29(7), 1887-1901.