信號資訊與實質資訊關係之探討：以自願性財務預測與內部人申報持股轉讓之聯合資訊為例

Signal Information and Intrinsic Information--On the Case of Union Announcement Events

本文是第一篇針對資訊本質虛實不同，引進行為財務學觀點進行資訊效果探討之研究。自從FFJR提出事件研究方法以來，關於各式各樣的事件資訊對公司價值影響之研究已如汗牛充棟，然而細究各種宣告資訊的內涵可發現，其中包括實質資訊與信號資訊兩種性質截然不同的資訊。後者屬於一種「虛資訊」，並不直接影響公司現金流量，在探討其資訊內涵時，應與實質資訊合併觀察，方能掌握其實質內涵。對此一特質之忽視已形成相關研究之嚴重缺口，本研究乃針對資訊本質虛實不同進行探討。文中先以信號資訊模型分析在聯合資訊中信號資訊之資訊價值，提出二項命題，並針對公司自願財測與內部人申報持股轉讓形成之聯合資訊事件進行實證分析，結果發現屬於虛資訊的信號資訊，確實顯著反映出實質資訊的內涵，未預期盈餘越差者，內部人申報持股轉讓的資訊效果亦越負向；而在實質資訊宣告後發射的信號資訊確實比事前發射者具有較小的資訊效果，但資訊效果仍十分顯著，四項假說暨本研究所提出之信號資訊模型均獲支持。本研究提出聯合資訊的概念，站在行為財務學有限理性的假設上，為傳統的事件研究法（特別是信號資訊之研究）提供較精緻而深入的思考方向，可做為未來從事信號資訊與實質資訊資訊效果研究者之參考。在實務意涵方面，根據本研究實證結果可瞭解，內部人交易資訊對於實證資訊的釋放具有重大價值，管理當局在思考如何規範內部人交易時，不宜忽略其正面價值。此外，雜訊是使資訊無法充分反映的一項重要因素，如何減少人為操弄空間，乃是提升市場效率的重要方向。

Extending from viewpoint of Behavioral Finance, this is the first study on the essential difference between intrinsic information and signal information. Since the event study methodology was proposed by FFJR, the researches on information effects have been abundant but failed to notice the difference in nature between intrinsic and signal information. The former has real influences on firms’ cash flow, while the latter is only a signal, without any substantial impact on the firms’ cash flow and thus need to analyze along with intrinsic information. Such ignorance creates an academic gap waiting for exploring. This study proposes a signal information response model and explores the information value of the signal ones in the united information events. According to the model, two propositions are raised: 1. In the united information events, the signal information emitted first generates more significant information effects than those emitted after the substantial events. 2. Even the post-announcement signal information has still significant information effects. The united events of earning forecast announcement and insider transaction announcement offer a great platform to explore the role and value of the signal information. The earning forecast is intrinsic information since it is related to substantial profit of the firms, and the insider transaction is only a signal, nothing to do with the firm’s cash flow. The empirical results show that signal information announcements do reveal intrinsic information behind them. The worse of the unexpected earnings, the more negative of the insider selling announcements. In sum, the model proposed and four hypothesis raised are empirically supported: 1. The insiders’ transaction information do reveal the intrinsic unexpected earnings. 2. Noise generates negative impacts on the information value. 3. The signal information given forth prior to the substantial event generates greater information effects than the post-announced ones. 4. The information contents of the signal emitted after substantial events are still significant. This study proposes the construct of united announcement and provides a more sophisticated approach for the traditional event study. For practical implication, the results demonstrate that insiders’ transaction announcement is valuable in revealing intrinsic information. The administration in the financial market is advised to evaluate this information revealing contribution when making monitor policy. In addition, noise has been shown an obstacle in reading real information and any efforts to reduce the bias from it are probably of worth.