本研究主要研究焦點在探討盈餘宣告期間，訊息交易對市場品質與市場效率的影響。在估計市 場品質代理變數中，我使用價差分解成委託單成本與逆選擇成本來觀察價差。特別的是，我應 用的訊息交易代理變數來自於供給面、需求面、成本面與異常的賣空量。緊接著，我開發一個 訊息調整速度的新量測值，此量則值是透過Campbell, Lettau, Malkiel, and Xu (2001) 的波動性 分解方法予分解後來估計的。我也透過公司治理之代理變數來證明盈餘宣告的真實性，並進一 步驗證訊息交易者對分析股價走勢的技巧是具有優勢的。最後， 我採用準實證 (quasi-experiment) 方式而應用差異中差異 (difference-in-difference) 估計法來當作本研究主要 的實證工具。 The project mainly focuses on the effect of the informed trading on market efficiency and market quality around earnings announcements. In the estimated proxies for market quality, I decompose the spread into its order-processing and adverse-selection components as proxies for spread. Specially, I employ proxies for the informed trading come from supply-, demand-, cost-side and abnormal volume of short sales. Moreover, I develop a new measure for the speed of the information adjustment. To measure the speed which new information is impounded in volatility I utilize the volatility decomposition framework developed in Campbell, Lettau, Malkiel, and Xu (2001). I also show the truthfulness of earning announcement by the corporate governance’s proxies and further examine informed trader skillful in detecting stock price deviations. Finally, I adopt the quasi-experiment framework and apply difference-in-difference (DID) estimation as our main empirical tool.
