建構移動視窗探討內線交易對購回股票宣告之影響

The Effect of Insider Trading on Share Repurchase Announcements: the Moving-Window Perspective

本研究擬以所建構出的移動視窗法，針對公司購回股票事件，偵測其在宣告前是否存在內線交易，並探討該行為與後續績效之關係。相較於過去文獻使用整體衡量期間，或是根據內部關係人持股變化進行內線交易行為的偵測，本研究提出創新的移動視窗法為較具彈性與敏感之檢測方法，不但能達到逐期觀察之效果，偵測範圍更不限定於狹義內部關係人，可避免低估內線交易對績效的影響，增進事件研究法的檢測效力。實證結果顯示，就涉及內線交易的股票而言，其在宣告前呈現價漲量增之現象，符合購回股票政策隱含的交易方向；然而，此類股票在宣告初期與長期績效卻是較差的。此外，在公司實施購回股票的相關申報事項中，以購回價格相對上限對內線交易行為具有顯著解釋能力。

The study explores the method of moving-window to analyze and detect the existence of insider trading before share repurchase announcement. The discussion also involves the effect of insider trading on the long term performance. The new moving-window method adopted to examine insider trading activities in this study differs from those in the past literature which utilized overall measured period and insider's shareholdings. Our model appears to have better flexibility and sensitivity. Not only can it performs periodic observation, it can also detect insiders at a broader sense, improve the effectiveness of event study and prevent the underestimation of the insider trading impact on the long term performance. The empirical results indicate that the shares involving in insider trading appear to have a rise in price and trading volume, which is consistent with the purpose of share repurchase. However, these shares appear to have poorer short term and long term performances after the announcement. Moreover, the treasury share repurchase relative price limit is significantly related to insider trading.