公司詐欺資訊效應對臺灣上市公司異常報酬與成交量之研究

Information Effect of Corporate Fraud Event onAbnormal Returns and Volumes: Evidence of TaiwanListed Companies

近10年來，台灣公司內線交易、資產掏空等案件頻傳，如博達掏空案、力霸掏空案與浩鼎內線交易案等。其中許多公司內部人利用與市場參與者之不對稱資訊進行不法交易，進而獲得龐大的利益。上述之企業詐欺行為是不良的市場行為，對公司來說為致命打擊，然而，公司經理人可能會為了增加自身利益、滿足投資人的預期報酬，或維持公司持續成長，而產生公司詐欺的不法行為。因此，本研究以2005年1月1日至2016年12月31日，已被報導疑似涉及詐欺案件且被檢方偵辦之違法獲取鉅額或財報不實之台灣上市(櫃)公司為研究對象，利用事件研究法分析企業詐欺對股東財富效果的衝擊。探討公司之詐欺舞弊行為，是否會對股價產生異常報酬與異常成交量的情形。進一步採用分量迴歸分析，探討造成企業股價異常報酬之可能原因，結果發現，公司發生詐欺行為時，異常報酬呈現負顯著，異常成交量週轉率則呈現正顯著，顯示出投資人與股東對市場失去信心。

Insider trading and share price manipulation sometimes occurred in Taiwan over recent years. Some companies seek unscrupulous profits by engaging in insider trading, whereas window dressing is improper market behaviour. They both impose a fatal blow to a company’sfinancial conditionsand its image. However, some managers use window dressing to achieve personal gains, meet the expectations of investors, and maintain the continuous growth for their company.The market model is used to analyze the impact of illegal actions on shareholder wealth effects Taiwan during 2005 to 2016. This study analyzes whether there exist significantly abnormal returns and trading volumes, and further examine the explanatory factors which affect cumulative abnormal returns and cumulative abnormal volumes by quantile regression. The results found that negative abnormal returns and positive trading volumes present different signals for investors.