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系統識別號 U0026-1507201117262800
論文名稱(中文) 公司內部人對於替代性股票之交易
論文名稱(英文) Insider Trading in Stock Substitutes
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 99
學期 2
出版年 100
研究生(中文) 吳冠勳
研究生(英文) Guan-Syun Wu
學號 r1895105
學位類別 博士
語文別 英文
論文頁數 59頁
口試委員 指導教授-陳政芳
口試委員-陳光谷
口試委員-許永聲
口試委員-洪崇文
口試委員-楊朝旭
口試委員-黃炳勳
口試委員-林囿成
中文關鍵字 替代性股票  內部人交易  訴訟風險  資訊不對稱 
英文關鍵字 Stock substitute  Insider trading  Litigation risk  Information asymmetry 
學科別分類
中文摘要 美國的證券交易法規雖禁止公司內部人利用重大私有資訊買賣其任職公司之證券,但對於例如競爭公司、供應商、客戶等與內部人所任職公司間存在股價連動性之公司,內部人以私有資訊買賣其股票卻並未違法,意味著內部人可能會為了規避法令約束而利用私有資訊間接地獲利。
本文將內部人以私有資訊買賣股價連動公司股票稱為替代性股票之交易,為了驗證此種交易是否存在,本研究要求測試樣本為同時擔任併購宣告公司、併購宣告公司之供應鏈合作公司之內部人,檢視此類內部人是否將併購宣告公司之供應鏈合作公司視為可用私有資訊間接獲利的替代性股票,進而於併購宣告發生前以及宣告發生後利用事先獲悉之併購交易資訊買賣該替代性股票。結果顯示,於併購宣告前的替代性股票淨買入和替代性股票於併購宣告日的異常報酬呈現正相關,至於併購宣告後的替代性股票淨買入則與併購宣告時替代性股票之異常報酬呈現負相關,說明了內部人的確可能以私有資訊買賣替代性股票。本文為首篇以實證方式直接證實替代性股票買賣之存在的研究,本文亦發現當交易者認為替代性股票之訴訟風險較低或替代性股票之資訊不對稱程度較高而提高買賣替代性股票之意願。
英文摘要 U.S. securities laws prohibit insiders from exploiting material non-public information to trade own firms’ stocks. However, it is not illegal for insiders to trade correlated stocks, such as the stocks of own firms’ supply chain partners. Thus, there may be incentives for insiders to use private information and transact instead in the stocks of own firms’ suppliers and customers. I refer to this form of trading as trading in stock substitutes.
This study examines whether insider’s trading in stock substitutes occurs before and after the own firm’s M&A announcement. As expected, I find that a individual registered as insider at both M&A firm and its supply chain partner trades the stocks of M&A firm’s supply chain partner based on private information about the M&A deal. Specifically, I find that interlocked insider’s pre-announcement (post-announcement) net purchases of the M&A firm’s supply chain partners are positively (negatively) associated with supply chain partners’ five-day cumulated abnormal returns around the M&A announcements. Such trading is more evident in the presence of higher information asymmetry and lower perceived litigation risk of stock substitutes. Overall, this study provides the first systematic evidence for insider’s trading in stock substitutes.
論文目次 1 Introduction 1
2 Literature Review and Hypothesis Development 7
3 Data and Research Design 15
4 Empirical Results 22
4.1 Descriptive Statistics 22
4.2 Regression results for Main Tests 25
4.3 The Impact of Litigation Risk on Substitute Trading 26
4.4 The Impact of Information Asymmetry on Substitute Trading 29
4.5 Additional Tests 30
5 Conclusion 34
References 36

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