資訊不對稱、流動性衝擊與公司異常報酬關聯性

The Relationship Between Information Asymmetry, Liquidity Shock and Abnormal Return

票市場資訊透明度一直為人所詬病，市場流動性也會受訊息揭露程度影響，這同時也會影響市場效率性，異常報酬可能因此產生。所以本研究以1996-2012年間上市櫃公司樣本，運用PanelData迴歸，檢驗不同群組樣本資訊不對稱、流動性與異常報酬的關聯性。本研究實證結果如下：（1）台灣股票市場存在顯著正的異常報酬（2）不論異常報酬高低，資訊不對稱與股票異常報酬均呈現正相關（3）不論異常報酬高低，流動性與股票異常報酬均呈現正相關（4）資訊不對稱與股票流動性並無顯著關聯性。（5）負債對異常報酬的影響為正向；規模對異常報酬的影響為負向；流動性則對高異常報酬具有負向關係，但是對低異常報酬具有正向關係。 Transparency of stock market information has always been criticized by people. Market liquidity is also affected by the degree of information disclosure. This will also affect the efficiency of the market and abnormal returns may arise. Therefore, this study used the sample of listed companies from 1996 to 2012, and use Panel Data regression to examine the correlation of information asymmetry, liquidity and abnormal remuneration of different groups of samples. The empirical results of this study are as follows: (1) The abnormal return in the Taiwan stock market is significant. (2) Regardless of abnormal returns, information asymmetry and stock abnormal returns are positively correlated. (3) Regardless of abnormal returns, liquidity and stock abnormal return are positively correlated. (4) There is no significant correlation between information asymmetry and stock liquidity. (5) The effect of debt on abnormal returns is positive; the effect of scale on abnormal returns is negative; liquidity has a negative relationship with high abnormal returns, but it has a positive relationship with low abnormal returns.

Transparency of stock market information has always been criticized by people. Market liquidity is also affected by the degree of information disclosure. This will also affect the efficiency of the market and abnormal returns may arise. Therefore, this study used the sample of listed companies from 1996 to 2012, and use Panel Data regression to examine the correlation of information asymmetry, liquidity and abnormal remuneration of different groups of samples. The empirical results of this study are as follows: (1) The abnormal return in the Taiwan stock market is significant. (2) Regardless of abnormal returns, information asymmetry and stock abnormal returns are positively correlated. (3) Regardless of abnormal returns, liquidity and stock abnormal return are positively correlated. (4) There is no significant correlation between information asymmetry and stock liquidity. (5) The effect of debt on abnormal returns is positive; the effect of scale on abnormal returns is negative; liquidity has a negative relationship with high abnormal returns, but it has a positive relationship with low abnormal returns.