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系統識別號 U0026-0812200914061864
論文名稱(中文) 內部人交易與減資宣告的股價市場反應
論文名稱(英文) Insider Trading and Stock Market Reactions to Announcements of Capital Reduction
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士在職專班
系所名稱(英) Institute of International Management (IIMBA--Master)(on the job class)
學年度 96
學期 2
出版年 97
研究生(中文) 沈素吟
研究生(英文) Su-Yin Shen
學號 RA795409
學位類別 碩士
語文別 英文
論文頁數 55頁
口試委員 召集委員-潘浙南
指導教授-張紹基
口試委員-許永明
口試委員-康信鴻
中文關鍵字 減資  內部人交易 
英文關鍵字 Information Content  Insider Trading  Capital Reduction 
學科別分類
中文摘要 台灣上市、上櫃公司過去總是採行增資策略為了保握有價值的投資機會,但這種現象已逐漸轉移至公司縮減資本額以避免公司股本過度膨脹或者公司獲利成長已不及股本膨脹。
本研究採用事件研究法去計算不同減資事件的異常報酬,結果顯示減資為彌補虧損時,在宣告日當天會有負的0.4253%的異常報酬,達10%的顯著水準;在買回庫藏股是為了維護公司信用及股東權益而註銷股票時,在宣告日隔天會有正的 0.3155%的異常報酬,達1%的顯著水準;最後減資是為了退還回股東時,在宣告日當天會有正的0.9590%的異常報酬,達10%的顯著水準。
為了發掘真正減資的背後意涵,將觀察內部人在減資宣告前12個月的交易行為。實證發現在彌補虧損或買回庫藏股宣告日前,內部人會異常在賣公司股票,但在現金退還給股東宣告日前,內部人會異常在買公司股票,這些結果顯示減資為彌補虧損或退還股東時,內部人的交易行為跟預期的市場股價反應一致。
英文摘要 In the past, companies listed on the Taiwan Stock Exchange usually conducted Seasoned Equity Offerings (SEO) to take advantage of valuable investment opportunities. This phenomenon has gradually shifted to companies reducing capital because, by the end of the 1990’s, many Taiwanese companies started to see decreasing profits and an over-issue of shares.
This research was conducted through use of event study methodology to calculate abnormal returns under different types of capital reduction. In terms of making up for losses, the event day abnormal returns are -0.4253% which is significant at the ten percent level. The market shows a positive response with 0.3155% abnormal returns after one day of the event day regarding share repurchases, which is significant at the one percent level. For firms returning capital to shareholders, the market has a noticeable positive response. The event day shows positive abnormal returns of 0.9590% significant at the ten percent level.
To explore the real meaning behind capital reduction, insiders’ behavior will be observed for the twelve months preceding the capital reduction announcement. The report finds that making up for losses and share repurchases are associated with insiders abnormal selling their firm’s share. However, the result for returning capital to shareholders is positive, which indicates that insiders will buy. Our results demonstrate for making up for losses and returning capital to shareholders that abnormal trading by insiders is in accordance with the expected market reaction.
論文目次 ACKNOWLEDGEMENTS I
ABSTRACT II
摘要 III
TABLE OF CONTENTS IV
LIST OF TABLES VI
LIST OF FIGURES VII
CHAPTER ONE INTRODUCTION 1
1.1 RESEARCH BACKGROUND AND MOTIVATION 1
1.2 RESEARCH OBJECTIVES 3
1.3 RESEARCH STRUCTURE 3
CHAPTER TWO LITERATURE REVIEW 5
2.1 DIFFERENT TYPES OF CAPITAL REDUCTION 5
2.1.1 Making up for Accumulated Losses 5
2.1.2 Repurchasing Shares 6
2.1.3 Returning Capital to Shareholders 9
2.2 INSIDER TRADING 11
2.3 INSIDER TRADING AND STOCK MARKET REACTIONS TO ANNOUNCEMENTS OF CAPITAL REDUCTION 13
2.4 HYPOTHESIS DEVELOPMENT 15
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 18
3.1 DATA SOURCES AND SAMPLE 18
3.2 EMPIRICAL METHODOLOGY 20
3.2.1 Method for Measuring Capital Reduction 20
3.2.2 Method for Measuring Abnormal Insider Trading 23
3.3 MEASUREMENT OF CAPITAL REDUCTION AND INSIDER TRADING 25
3.3.1 Empirical Model for Capital Reduction 25
3.3.2 Measuring Abnormal Insider Trading 28
3.4 THE RELATIONSHIP BETWEEN CAPITAL REDUCTION AND INSIDER TRADING 30
CHAPTER FOUR EMPIRICAL RESULTS 31
4.1 EMPIRICAL TEST OF ABNORMAL RETURNS FOR CAPITAL REDUCTION 31
4.1.1 Summary Statistics for Capital Reduction 31
4.1.2 Abnormal Returns of Firms Following Capital Reduction Announcement 35
4.1.3 Multiple Regression Analysis of Capital Reduction 37
4.2 EMPIRICAL TEST OF ABNORMAL INSIDER TRADING SURROUNDING CAPITAL REDUCTION ANNOUNCEMENT 39
4.2.1Descriptive Statistic for Insider Trading 39
4.2.2 Multiple Regression Analysis of Abnormal Insider Trading 41
4.3 MULTIPLE REGRESSION ANALYSIS OF CUMULATIVE ABNORMAL RETURNS AND INSIDERS TRADING SURROUNDING CAPITAL REDUCTION 44
CHAPTER FIVE CONCLUSTION 47
5.1 CONCLUSION 47
5.2 LIMITATIONS 50
5.3 SUGGESTIONS FOR FUTURE RESEARCH 51
REFERENCES 52
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