為了解決資訊交易機率（Probability of information-based trading，簡稱PIN）富含市場雜訊以及忽略企業環境風險之問題，本文參考Easley, Aslan, Hvidkjacer and O’Hara (2008) 之論述，提出台灣資本市場的資訊交易機率代理模型（Proxy of PIN，簡稱PPIN）。PPIN考量了審計品質、企業績效、企業特徵與財務狀況、股權結構與市場指標等構面，能過濾市場雜訊、納入完整的企業環境風險，並幫助投資人與債權人了解何種企業環境具有較高的資訊不對稱程度，進而降低投資、授信風險與企業資金成本。基此，本文計算台灣企業之PPIN值，驗證並支持Easley et al. (2008) 之論述，證實PPIN於台灣資本市場的適用性。本文最後提出PPIN於資產定價與會計穩健之應用，並實證PPIN相較於PIN更適於捕捉企業資訊不對稱情形。
In order to reduce market noise and consider environmental risks of Probability of
Information-Based Trading (PIN). We refer to the statement of Easley, Aslan, Hvidkjacer
and O’Hara (2008) and present Proxy of PIN (PPIN) based on Taiwan capital market.
Considering audit quality, firm performance, firm characteristics and financial position,
and stockholder structure and market indicators, Proxy of PIN (PPIN) is able to filter
market noise, considers the complete information risk of firm. By PPIN, investors and
creditors are able to identify firm characteristics with higher information risk, lower
investment and credit risk and lower capital costs. Therefore, we measure PPIN of Taiwan
firms to verify and support the statement of Easley et al. (2008) and confirm the suitability
of PPIN in Taiwan capital market. Furthermore, we present the application of PPIN on
asset price model and conservatism accounting model and confirm that PPIN is better to
understand the situation of business asymmetric information than PIN is.
