我們在此文中檢視了股市流動性的動能效果，並將此效果連結到相對應股票的報酬表現上。我們發現過去六個月平均流動性較高的股票，在未來三年中也會具有較高的流動性。此外，我們發現買入較高流動性的股票，賣出流動性較低的股票，會有正的報酬。我們希望此研究能夠幫助投資人獲取更多有用的資訊。 / We examine the predictability of liquidity, the momentum effect in liquidity, and we also would like to link this effect to expected stock returns. We find that stocks with high liquidity in the past six month will be traded with high liquidity in the future (within 3 years) and that all of the zero-cost portfolios, which buy high liquidity stocks and sell low liquidity stocks, have positive returns. We hope the results in this study will help uninformed trader to obtain more information in the stock market.

本篇論文探討在台灣獨有的先申報後轉讓的內部人交易制度下，到底內部人申報轉讓後之執行率公布對一般大眾的影響為何呢？內部人申報轉讓後，有可能實際轉讓，也可能不轉讓或不足額轉讓，端視內部人的策略。我們把焦點放在內部人申報轉讓持股後，當市場公布執行結果後，個股交易量的表現為何。結果發現異常交易量因執行率公布後獲知內部人之淨買淨賣行為而有所增加；但內部人無淨買賣時,交易量無明顯異常。

Traditionally, volume has provided the link between trading activity and returns. This study attempts to not only investigate the trading behavior of all aspects of investors by daily order imbalances, the better index than dollar volume, around firm-specific news releases, but also explore the relation between order imbalances and daily returns. This study contributes to the shot-run market reactions and trading behaviours from different three or five kinds of investors around seasoned equity offerings announcement in Taiwan. We have examined 306 SEOs listed on Taiwan stock exchanges from 1995 to 1998, and test five subsequent SEO-related signaling dates, such as the shareholders’ conventions date, the formal announcement date, the ex-right date and the listed date. Our findings indicated the anomalies on returns and order imbalance did exist with the publication of SEO news in Taiwan. The negative information effect is significant on the shareholders’ convention date. Further we find a strong relation between order imbalance from individuals and daily return in the five day window. We infer that individual investors are extreme sensitivity to any news released and that the majority of traders in TSE are comprised by individual can explain the phenomenon. Finally, we also find not only correlation among different type of traders but also that returns, cash per share and the interest rate influence trading decision deeply. / Traditionally, volume has provided the link between trading activity and returns. This study attempts to not only investigate the trading behavior of all aspects of investors by daily order imbalances, the better index than dollar volume, around firm-specific news releases, but also explore the relation between order imbalances and daily returns. This study contributes to the shot-run market reactions and trading behaviours from different three or five kinds of investors around seasoned equity offerings announcement in Taiwan. We have examined 306 SEOs listed on Taiwan stock exchanges from 1995 to 1998, and test five subsequent SEO-related signaling dates, such as the shareholders’ conventions date, the formal announcement date, the ex-right date and the listed date. Our findings indicated the anomalies on returns and order imbalance did exist with the publication of SEO news in Taiwan. The negative information effect is significant on the shareholders’ convention date. Further we find a strong relation between order imbalance from individuals and daily return in the five day window. We infer that individual investors are extreme sensitivity to any news released and that the majority of traders in TSE are comprised by individual can explain the phenomenon. Finally, we also find not only correlation among different type of traders but also that returns, cash per share and the interest rate influence trading decision deeply.

本篇論文分成兩部分的實證，第一部分為「券商的利益衝突」；第二部分為「券商在報紙公開推薦但實際上所買賣的個股是否有顯著異常報酬」。 　　第一部分為檢視券商在民國九十一年至九十三年六月底於工商時報及財訊快報每週固定推薦之個股，券商在消息公佈前後期間是否有產生利益衝突的行為。吾人所建構的利益衝突指標分別以買賣次數、買賣金額及買賣股數來衡量。實證結果發現，券商不論是在消息公佈前後一週或公佈前後兩週其利益衝突的行為皆不明顯，簡言之，券商不論在買賣次數、買賣金額或買賣股數上皆無明顯的利益衝突行為。 　　第二部分則是根據第一部分券商於民國九十三年一月至六月底於報章雜誌上公開推薦並實際上有買賣的股票，檢視這些股票是否在消息公佈後產生正的異常報酬。實證結果發現，在股票公開推薦日之前，券商根據公開推薦之個股實際上有進行買賣的股票，其股票報酬率的績效呈現高於市場投資組合績效之趨勢，亦即股價對該推薦事件發生之前已有反應；在公開推薦日之後，CARt一路呈現下降走勢，若投資人在事件日（股票公開推薦日）才得知被公開推薦之股票消息時，因股價已調整完畢，投資人將無法由此項公開消息獲得超額報酬，亦即在消息日發佈後股票公開推薦資訊對股票報酬率並無產生顯著反應。 而有關台灣股票市場「半強式效率市場」的檢定，實證結果發現，股票公開推薦並未對股價造成一致性且持續的影響，投資人無法從券商股票公開推薦中獲得超額報酬，就以上兩點而言，台灣股票市場具有「半強式效率市場」之特徵。

在現今的經濟、法律、政治環境下，許多企業因為法律、稅務、競爭策略等之考量，已不再以法律上單一企業個體進行所有商業行為，也許會以成立子公司或透過股權收購擁有或控制其他企業，以達到特定的目的。財務會計準則公報第七號即針對此點，認為在經濟實質重於法律形式之基礎下，當一企業實質上可控制另一企業時，雖然在法律上其為相互獨立的個體，但基於經濟實質之考量，其應屬於同一個體，因此，合併財務報表之規定因應而生。合併財務報表與一般以權益法處理長期投資之母公司財務報表，最大不同處即在對長期股權投資及投資收益之處理，合併財務報表將母公司財務報表中之長期股權投資及投資收益分解為子公司資產、負債及本期淨利之組成要素，再與母公司財務報表合併，此即所謂「全面合併」。理論上，合併財務報表應較母公司財務報表更能清楚表達一經濟個體之財務狀況、經營成果及現金流量，讓報表使用人看的更清楚。 本研究參考Ou and Penman(1989)及 Holthausen and Larcker(1992)之研究，以財務比率預測企業未來每股盈餘變動方向及股價異常報酬方向。以民國八十六年至民國九十年五年間同時編製母公司及合併財務報表之113家上市公司為觀察公司，並以八十六年至八十九年為估計期間，以財務比率分別建構兩套財務報表之預測模式，將預測模式代入民國九十年之中，預測民國九十一年之每股盈餘變動方向以及股價異常報酬方向，再比較兩套財務報表之預測能力。 實證結果發現，因為兩套財務報表在許多項目金額均相異，所以若以財務比率分析一企業，兩套財務報表的確具不同之意涵，但若將財務比率預測每股盈餘變動方向以及股價異常報酬方向，兩套財務報表的預測能力並未通過統計上之顯著差異，無法得到合併財務報表因其資訊內涵較佳，其預測能力較母公司財務報表為佳之結論。在實證過程中，受到資料取得之限制及許多假設的影響，均可能對此研究結果造成影響。

為瞭解上市公司股利政策改變，由股票股利變更為發放現金股利政策之初次宣告效果，本研究以蒐集台灣證券交易所掛牌上市之公司，於2001年1月至2005年12月間，股利政策有變動且首次宣告發放現金股利之資訊電子類股公司，且宣告日前至少有150個交易日資料之公司，共計71個研究樣本。利用事件研究法之市場模式為計算模型，並以一般化之自我相關異質條件變異數模式，分析檢定事件宣告所造成之異常報酬。 本研究以事件研究法，將董事會宣告發放現金股利宣告為事件日（t=0），t=-150~t=-31共120天為估計期，t=-30~t=30共61日為事件期，利用樣本公司之日股價資料，分析異常報酬率。分析方式除針對事件期各日之平均異常報酬率分析外，另開立五個事件窗口，探討各窗口之累積異常報酬率是否顯著，藉以分析事件影響效果。另股利政策改為發放現金股利宣告時，針對當年度與前一年度之股利發放變化程度不同及事件宣告年度市場多、空頭景氣等因素，將樣本分類並分析檢定，在不同條件下之異常報酬率是有否仍顯著。經實證分析，獲得以下結論： 一、公司改變股利政策，由股票股利變更為現金股利的首次宣告事件，對投資人而言，具有公司對未來投資機會認知的資訊內涵。 二、公司改變股利政策由股票股利變更為發放現金股利之首次宣告，投資人對此政策反應抱持正面看法，股價會有兩波上漲趨勢，第二波會有顯著異於零之正異常報酬率。 三、公司改變股利政策，由股票股利變更為現金股利之首次宣告，當年度總發放股利與前一年度比較，股利發放變動大小會影響宣告時市場投資人之投資意願，投資人會隨減少發放股利量而延緩對此政策之正面買進股票反應，事件日後10日內股價會有一波正異常報酬反應。

我國過去之所得稅制乃是採營利事業所得稅與個人所得稅並行之制度，此種對股利所得的重複課稅，扭曲了企業籌措財源的方式，使得公司傾向於以舉債的方式籌措資金，並扭曲了企業盈餘分配之決策、造成稅法之複雜性及稅務行政的複雜化。在經過政府及相關部門多年來之努力，我國於民國八十七年一月一日起正式實施兩稅合一新制。本文之目的即在藉由探討兩稅合一之各相關事件日股票異常報酬之變化，以觀察台灣股票市場對新稅制的反應，實證結果可供未來修正或訂定類似政策參考。 為探究兩稅合一之各相關事件日股票異常報酬變化之產生原因，本研究檢定公司有效稅率、盈餘保留率及股東個人邊際稅率是否足以解釋各相關事件日之股票異常報酬。實證結果顯示，公司有效稅率確會影響各相關事件日之股票異常報酬，且與本研究所預期之方向相同，為正相關，顯示市場也認為在兩稅合一之下，預期有效稅率愈高的公司，其因為兩稅合一所得到的利益也會愈大。但在盈餘保留率及股東個人邊際效率方面，卻無法獲得滿意的實證結果，其可能原因有二：第一，歷史資料可能無法有效替代預期之保留盈餘比率。第二，董監持股比率可能無法有效作為股東個人邊際稅率之替代變數。 / The major deficiency of Taiwan's past tax system was that the business income was taxed twice: once at the corporate level and once at the individual level. This system significantly distorts companies' financing strategies, and companies tend to get the needed fund by issuing bonds. Besides, it also distorts the way companies allocate their earnings and causes taxes and tax-related administrations to be very complicated. However, after great efforts made by the Department of Treasury since 1996, the new tax system-"Integrating individual and corporate taxes" became effective from the beginning of 1998. The main purpose of this thesis is to examine the market reactions to the new system by studying the variations of the abcdrmal returns of stock prices at event days related to this new tax system. The empirical results could be used for amendments or the making of similar policies in the future. To study reasons that variations of abcdrmal returns of stock prices at the event days of this new tax system exist, this study tests weather Corporate Tax Rate, Retention Rate of Earnings and Individual Tax Rate can explain the abcdrmal returns of stock prices at the related event days. Empirical results show that Corporate Tax Rate affects the abcdrmal returns of stock prices at the related event days, and the direction is the same as expected, which is positive-correlated. The result shows that "the market" also thinks under the new tax system, the higher the expected Corporate Tax Rate, the higher the benefit from the new tax system will be. However, for the Retention Rate of Earnings and the Individual Tax Rate, the results are unsatisfactory. Two reasons are possible: first, historical data probably cannot represent the expected Retention Rate of Earnings. Second, the ratio that stocks held by members of board of directors is not a good proxy for the Individual Tax Rate effectively.

台灣因本身自然資源並不豐富，屬於典型的開放性海島經濟，對國際貿易依存度高。匯率是重要的影響台灣總體經濟因素。因亞洲金融風暴影響，導致台幣兌美元匯率大幅貶值。本篇論文旨在探討，自民國86年7月始，新台幣大幅貶值，此項匯率的巨幅波動（波動期）與83年7月至86年6月間（平穩期），究竟對上市公司的營業績效及上市公司的股票報酬，是否造成不同之影響。利用營業利潤受匯率變動的影響，來解釋公司的外匯風險，進一步探討匯率變動與上市公司股票異常報酬的關係。 探討匯率變動對公司營業利潤的影響，可藉由契約，外匯換算或競爭效果表現出來。所謂契約效果是公司在國際貿易的環境下，有不可取消的外匯合約，造成營業利潤該增加而未增加，或應減少而未減少，立即反映出來對公司營業利潤的影響。外匯換算效果是指公司擁有國外子公司，當國外子公司匯寄外幣現金回母公司時，因受匯率變動而產生的風險，會在財務報表上反映出來．競爭效果是指因進出口貿易頻繁，匯率變動會影響公司的競爭情勢，通常不會立即直接的反映出來，而是間接的影響公司的銷貨收入和進貨成本，而延後反映在財務報表上。本研究試圖檢視匯率變動對公司利潤的影響是立即反映，還是延後反映，以瞭解哪一個效果較顯著。 此外，本研究也檢視匯率變動對公司股票異常報酬變動的影響是立即或延後反映，以瞭解投資者對於匯率變動對股價變動影響認知的反應程度。當企業受匯率變動而產生會計或經濟風險時，任何對公司價值之影響，在效率市場的情形下，應當會立即反映在股票價格上。 本研究實証結果發現，匯率平穩期，契約及競爭效果顯著。但在匯率波動期，契約及競爭效果不顯著。台灣股市，不論在匯率平穩期或波動期，匯率波動皆對公司當季股票異常報酬有顯著影響力，顯示台灣股市投資人十分重視匯率走向。平穩期或波動期，匯率變動會遞延影響公司股票異常報酬，間接驗証台灣股市非為效率市場。同時，以出口為導向的產業，匯率變動對該產業的股票異常報酬有顯著的影響。 關鍵詞：匯率變動、營業利潤、股票異常報酬 / The purpose of this paper is to identify the categories of exposure that are most likely to effect company's operating income and the observed association between exchange rate changes and abcdrmal stock returns. The period examined in this paper is July 1994 to December 1997. This period examined is divided .One is July 1994 to June 1997(Exchange rate changes wave is flat) and the other is July 1997 to December 1997(Exchange rate changes wave is inflectional). This paper attempts to understand the different associations among operating income exchange rate changes and abcdrmal stock returns between July 1994 to June 1997 and July 1997 to December 1997. This paper finds that contractual effects and competitive effects are most likely to explain impact of exchange rate changes and unexpected operating income in July 1994 to June 1997. The association between exchange rate changes and abcdrmal stock returns is at relatively high significance levels between July 1994 to June 1997 and July 1997 to December 1997. The Taiwan Stock market investors have more attention on exchange rate changes waves. The a-quarter lagged relation between exchange rate changes and abcdrmal stock returns are at relatively high significance levels in July 1994 to June 1997. The a-quarter and two-quarter lagged relation between exchange rate changes and abcdrmal stock return are at relatively high significance levels in July 1997 to December 1997. This result examines Taiwan stock market is inefficiency Keywords: operating income, exchange rate changes, abnormal stock returns

本研究探討台灣新上市股票是否有超額報酬之存在，並進一步探討超額報酬與其影響因素之關係：是否因為內部人持股比例高低，公司最近三年平均每股盈餘，負債比例高低，承銷價格高低，公司總資產大小，公司最近三年淨利變化，上市之後一年之內是否辦理現金增資而有所差異。本研究主要探討新上市公司，其新上市短期與長期異常報酬的解釋因素。 / This sutdy mainly employs empirical methodology. The sample period convers from 1987 to 1995, including 195 samples. The unerpricing regress against EPS (earnings per share), average earning growth rate, debt/equity ratio, firm's size , changes in ownership structure, seasoned new issues within one year subsequent to the IPO (dummy variable), and lottery rate. The findings indicate that the underpricing significantly (95% significant level) correlates with EPS, firm's size, and lottery rate.

本研究主要目標在探討有關員工認股選擇權租稅政策訊息之發布，是否對國內發行員工認股權憑證之上市及上櫃公司— 資訊電子業的股票報酬造成異常影響。在五個事件期間中，以第一、二及第五個事件期（即員工認股選擇權初步比照員工分紅入股依面額課徵所得稅、財政部初步擬定員工執行認股權時，須以執行價與當初認購價格間的價差，核課所得稅以及財政部在民國93年4月30日發布員工認股權證課稅行政命令，依照財政部當初的規劃，在執行日課徵員工認股權證的所得稅之兩事件期）中發現以面額或價差課稅之消息初步規劃和發布，確實對市場造成負向異常報酬。而有利員工之認股選擇權租稅政策消息發布（即財政部未對課稅政策做出最後決定）時，市場對資訊電子業股價產生正向累積異常報酬。 另外，研究亦發現，不利員工之員工認股選擇權課稅行政命令發布之特定事件時期，發行比例愈高及發行員工認股權之公司，過去研究發展支出愈高者，將產生較小之負向累積異常報酬。 相較於員工分紅入股制度，員工認股選擇權之激勵效果更能提供長期之誘因，但單就對工之課稅制度而言，收到的似乎是相對不利之懲罰效果。 / In this thesis, event study methodology is employed to examine the electronics industry’s stock market reaction to the announcement of tax policy changes of employee stock option. Market model and Ordinary Least Square (OLS) are adopted to estimate abcdrmal returns (AR) and accumulated abcdrmal returns (CAR) during event periods. A related issue also examined is the relation between the ratio of employee’s stock options and the CAR. Specifically, the effects of five events are examined. The first、second and fifth event (when Minister of Finance proposed to tax employee Stock options based on their par value. The second is when the Ministry of Finance announced that employee stock options would be taxed at the difference between the market price employee execute the option and the execute price．The fifth event is when Minister of Finance indeed announced an administrative decree) really show up the negative CAR. Findings concluded by the thesis are as follows: 1. When the Finance Minister proposed to tax employee stock options based on their par value or at the difference between the market price employee execute the option and the execute price, electronics companies on average had negative CAR. 2. During the fifth event period, companies with higher ratio of employee stock options and R＆D expenses had lower negative CAR than those with lower ratio of employee stock options and R＆D expenses.