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    題名: 盈餘宣告期間訊息交易對市場效率與市場品質之影響
    其他題名: The Effect of Informed Trading on Market Market Efficiency and Market Quality around Earnings Announcements
    作者: 段昌文
    貢獻者: 淡江大學財務金融學系
    關鍵詞: adverse-selection component;corporate governance;difference-in-difference;earnings announcement;informed trading;short seller;speed of information adjustment;volatility decomposition
    日期: 2011-08
    上傳時間: 2012-05-03 20:45:58 (UTC+8)
    摘要: 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.
    顯示於類別:[財務金融學系暨研究所] 研究報告

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