Abstract
The study attempts to filter the public trading data, based on TESC and TEJ to get the proxy variable of insiders¡¦ trading. We estimate the proxy variable of insider trading according to the Security and Exchange Act.
The correlation between the daily return and time-series proxy variables are significant and the proxy variable is a factor for the return.
The paces of information releasing are different by capital levels. When the capital is under 40 billion, the information will be released within 4 days. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in small capital levels. In the aspect of the price levels, the time series proxy variables are significant but the effects are different among the levels of price. The portfolio of the proxy variable in 4 factors Fama and French model is only effective in the lower price levels
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0721105-143207 |
| Date | 21 July 2005 |
| Creators | Lin, Yung-Chih |
| Contributors | Victor W. Liu, Chin-Shun Wu, Jen-Jsung Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0721105-143207 |
| Rights | not_available, Copyright information available at source archive |
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