The Relationship between Positions and Roles of Insiders and Short-Term Reactions of Stock Market

本研究檢視2001年至2006年，美國證券市場對於公開發行公司內部人交易資訊揭露之短天期反應，本研究將內部人依照職位以及角色的不同分為四個群組，分別是Level1(高階經理人、董事會成員)、Level2(中高階經理人)、Level3(中階經理人)以及Level4(關係人)。實證結果發現，在購買(出售)交易的部分，四個群組的內部人交易與股價的累積異常報酬皆為正(負)相關，符合過去文獻的發現。另外，本研究進一步探討何種職位和角色的內部人交易資訊揭露後，造成市場的反應程度最大。在購買交易的部分，發現Level3之內部人交易資訊揭露後，市場有著最大的反應。本研究認為其原因可能在於中階經理人為公司營運活動之第一線人員，更能及時獲取與公司未來業務相關之利多消息，且相較於高階經理人以及董事會成員，中階經理人的身分比較不容易受到主管機關以及媒體的注意，但交易內容卻同樣具有一定程度的資訊價值，故造成市場的反應較大。在出售交易的部分，Level4之內部人交易資訊揭露後，造成市場有著最大的反應，其原因可能在於股東們為了追求極大化的投資報酬，若公司未來前景堪憂，將會透過出售持股的方式來規避損失，且理論上股東們是最不具有內部資訊優勢的內部人，故其出售交易表達出公司在未來有著嚴重的隱憂，因此隱含較多的資訊價值，使得市場的反應也較大。 另一方面，本研究欲探討公司盈餘品質的好壞，是否會影響市場對於其內部人交易的反應程度。盈餘品質好壞的指標係透過異常應計數(Abnormal-Accruals)的大小來衡量，異常應計數越大，則代表盈餘品質越差。實證結果發現，在購買交易的部分，並沒有證據指出市場會因為公司的盈餘品質較差，而對其內部人交易的反應有所差別。在出售交易的部分，市場對於Level1以及Level2之內部人交易的反應程度隨著異常應計數增加而變得更強烈，本研究認為可能的原因在於若是公司的盈餘品質較差，亦即盈餘的資訊較不透明時，投資人難以透過盈餘資訊來預測公司未來的表現，因此透過觀察內部人的出售交易來推測公司未來的盈餘表現，尤其高階經理人以及董事會成員往往擁有決定或者是影響應計數的能力，若是公司的異常應計數較大，而高階經理人以及董事會成員卻異常賣出時，則投資人將會解讀成內部人可能是為了出脫手中持股而操縱盈餘，因此可以得知公司盈餘品質較差確實會影響市場對於內部人出售交易的反應，而在高階經理人以及董事會成員的出售交易揭露後，所造成的市場反應最大。 最後本研究探討在沙賓法案(SOX)施行前後，內部人交易資訊的揭露是否會使得市場有著更大的立即反應。根據實證結果，發現在購買交易的部分，市場對於Level4之內部人交易於法案後的反應較法案施行前更為強烈；但在出售交易的部分，市場對於Level1以及Level2之內部人交易於法案後的反應則較法案施行前強烈，本研究認為可能的原因在於沙賓法案提高了高階經理人以及董事會成員對於財務報表不實表達的法律責任，造成這些內部人不敢輕易地拋售持股，以免引起主管機關以及媒體的注意，所以一旦有出售交易的發生，很有可能代表著公司未來的發展堪憂，故其出售交易所具有的資訊價值較高，造成市場的反應也較大。This study examined market reactions to disclosures of insider trades across different insider positions. Using cumulated abnormal returns (CAR) to proxy for market reactions and dividing insider trades from 2001 to 2006 into four groups depending on their positions in the company, Level 1 (Top executives), Level 2 (Higher level managers), Level 3 (Middle level managers) and Level4 (Related persons), I found the relationship between insider trades and market reactions is positive (negative) in purchase (sell) transactions, consistent with findings from prior literature. Interestingly, I found that investors reacted most strongly to disclosures of Level 3 insider purchase trades. This finding is consistent with the idea that middle level managers involve in frontline operations and thus have first-hand information about the company that is timelier than others, resulting in the strongest market reactions to middle level managers’ insider trade filings. On the sell transaction side, I found that the market responded more strongly to the disclosures of Level 4 insider sell trades. One possible explanation is that related persons do not involve in daily operations and should not have more timely information about the change in firm performance when compared to top or middle level managers. The fact that even related persons are selling the firm’s stock suggests that the deterioration of firm performance is very likely and impending, resulting in strongest market reactions to Level 4 insider sales. I also examine whether the market response to insider trade filings varies across levels of earnings quality. Using abnormal accruals to proxy for earnings quality, I find no evidences of earnings quality affecting market reactions to insider purchases. However, the market reacted more strongly to insider sells of Level 1 and Level 2 for firms with poorer earnings quality, consistent with notion that when earnings information is less transparent, investors rely more on insider selling information as an indicator of future firm performance. This phenomenon should be more pronounced for top executive and higher level manager sales as they have the ability to manage earnings to conceal poor financial performance in order to sell shares ahead of the revelation of poor corporate news. Finally, I examine if the market react more strongly toward the disclosure of insider trades after the passage of Sarbanes-Oxley Act of 2002 (SOX). On the purchases side, I found that the market react more strongly to Level 4 insider trades of post-SOX. On sale side, the disclosure of Level 1 and level 2 insider trades elicits the most significant market responses, consistent with the notion that SOX raises the legal liability of higher level managers and board of directors, substantially reducing the probability of insider trades with immaterial stock return. Alternatively speaking, if Level 1 and Level 2 insider sell transactions occurred, disclosures of those trades convey more certain negative information about the firm in the post-SOX than in the pre-SOX period