廣告投資和內部人股票設（解）質交易

Advertising investment and insider (un)pledged trading

本研究探討內部人股票質押設（解）質交易獲利績效和廣告投資間的關係。本研究依證券交易法規定內部人設（解）質後5天內須公告，因此，本研究將公告前5日假設為內部人交易基準日，並區分有、無廣告投資的企業二組群，以建構內部人質押交易行為之報酬時間序列。本研究利用三因子模型和四因子模型，探討內部人股票質押設（解）質交易行為是否有正的獲利績效。研究發現，相對無廣告投資的公司，有廣告投資的公司內部人股票質押行為，無論設質或解質交易公告，均可以獲取較高的報酬。換句話說，內部人基於自利動機和資訊不對稱，質押交易可以獲取報酬，但僅侷限於有廣告投資的公司。此外，我們發現有廣告投資的公司內部人解質交易績效明顯優於設質交易行為，且具較高的正報酬，明顯備受市場關注。另外，對有廣告投資與否的公司內部人解質交易行為執行動能獲利，市場存在超額報酬常規現象，但對有廣告投資與否和內部人設質交易行為卻無顯著動能獲利，未具備超額報酬之市場常規現象。因此，我們的研究結果對廣告投資和內部人股票設（解）質交易間關係提供具有價值的分析。

This study examines profits for insider (un)pledged trading events in the Taiwan’s stocks market when comparing with firms with and without spending advertising fees. Additionally, Taiwan regulations make an announcement during five trading dates for insider (un)pledged trading events. We find evidence of higher profits for insider (un)pledged trading events with spending advertising fees during five days than those without spending advertising fees. It suggests that pledged insiders have stronger advantages of information asymmetries about future positive/negative side effects of spending advertising fees on stock returns. On the other hand, higher profits for insider unpledged trading events with spending advertising fees during five days than those for insider pledged trading events. Finally, market anomalies exist for momentum strategy of insider unpledged trading and spending advertising fees, not for that of insider pledged trading and spending advertising fees. Therefore, our findings should provide valuable insights on insider (un)pledged trading events and spending advertising fees.