The Relationship Between Information Asymmetry and Stock Returns in Taiwan Stock Market

[[abstract]]近年來相關文獻指出短期股價具有動能效果的原因是來自於投資人對於新資訊的反應不足，是以本文採用Zhang(2006)的研究模式，探討資訊不對稱對於股價慣性效果的影響。本研究以台灣股票市場1997年七月至2008年十二月資料為研究樣本，在市場存在反應不足的情況下，探討資訊不對稱對股價短期動能的效果。同時嘗試以四因子模型衡量投資組合的橫斷面風險因子。實證結果發現，以資訊 不對稱探討股價短期動能行為的結果並不明顯，表示以市場變數與外部稽核變數作為資訊不對稱代理變數的股價動能策略效果有限。 I[[abstract]]According to previous literature, short-term stock price momentum phenomenon is attributed to investors’ under-reaction to new information. The concept of Zhang (2006) is applied to this study. The sample data include stocks listed in Taiwan Stock Market. The sample period is from July 1997 to December 2008. In the study, I examine the role of information asymmetry in short-term price continuation phenomenon. Then, I use four-factor model to discuss information asymmetry effect in cross-sectional variation in stock returns. Our results show that information asymmetry effect on stock price continuation is not statistically significant. It implies that information asymmetry effect is few for stocks in Taiwan stock market, when information asymmetry proxies are based on market and auditorial variables