內部人持股及重大財會政策與股價異常報酬關聯性之研究－－兩岸上市公司之初探比較

A Study on the Relationships among Insider Ownership, Significant Finance and Accounting Policy and Abnormal Return - Publicly Listed Companies in Taiwan and Mainland China

對公司及投資人而言，股價異常報酬的變動常與公司管理當局之決策及公司市場評價有關，因此，當公司管理階層對相關財會政策採取不同措施的時候，會對公司股價異常報酬變動產生一定程度的影響。本研究採用2005年6月至2010年6月台灣及上海證券交易所上市公司做為研究樣本，並透過Pearson積差相關係數及多元迴歸模型探討相關變數對股價異常報酬之影響。本研究主要採以董事、監察人、經理人及前十大股東進行計算，本研究結果發現內部人持股的變動率與股價異常報酬並無顯著的相關性；上海的上市公司較台灣的上市公司會以盈餘管理的操控方式來調整年度財務報表，顯示由於台灣證券市場比上海證券市場具較高的成熟度，而台灣的投資人對於投資股票的報酬較偏好股利所得，但上海股票市場的投資人較偏好資本利得，並且台灣的投資人其投資決策對於公司的資本結構比上海證券市場的投資人較不重視。

For company and investors, abnormal returns are often associated with changes in company's management decisions and corporate market valuation. Therefore, when the company management to take various measures related to finance and accounting policy, the impact of stock price wielding abnormal returns will change to some extent. Based on the data of Taiwan and Shanghai Stock Exchange from June 2005 to June 2010, this paper explores the effect of relevant variables on the stock abnormal return by employing Pearson's product-moment correlation coefficient and multiple regression model. The study found no obvious correlation between the rates of change in insider ownership and abnormal returns. The publicly listed companies in Shanghai tend to adjust their annual financial statements by manipulating earnings management more than the publicly listed companies in Taiwan. As Taiwan's securities market is more mature than Shanghai's, Taiwan stock investors prefer dividend income, while Shanghai stock investors prefer capital gains. In terms of investment decision-making patterns, Taiwan stock investors pay less attention to company's capital structure than the Shanghai stock investors.