研究限制與建議

一、本研究對於內部人職位和角色的分類方法是採用Thomson Reuters 資料庫的 定義，將內部人分為Level1(Top executives)、Level2(Higher level managers)、

Level3(Middle level managers)以及 Level4(Related persons)，若選用其他的分 類方法，則結果可能會有些微的差異。

二、本研究累積異常報酬計算方法為將累積之每日市場市值加權報酬扣除累積 之每日股價報酬，未使用Fama and French(1993)的三因子模型或

Carhart(1997)的四因子模型，因此報酬計算的結果在控制交易量(Trade size)、

普通股帳面價值與市場價值比(BM 值)、資產報酬率(ROA)、公司過去財務 表現的虧損狀況(Loss)、該公司所屬的產業(Industrydummy)、該交易發生的 時間(Yeardummy)等變數後，可能會有些微的差異。

三、本研究樣本的資料來源除了內部人交易資訊來自Thomson Reuters 資料庫外，

其他的資料分別來自COMPUSTAT、CRSP 資料庫，因此許多樣本會因為某 一部分資料庫的資料有缺漏而必須刪除。

四、本研究在迴歸模型中雖然已經嘗試控制許多可能會對內部人交易股價的異 常報酬造成影響的因素，但我們無法控制內部人進行交易之目的為何，例如 內部人也許只是單純因為需要現金而進行出售持股的交易，這種流動性需求 的影響我們無法控制在模型中；另一方面，公司有無制定相關政策來規範內 部人交易之變數，因為不易取得相關資料，故無法納入於模型中，亦為本研 究的限制之一。

五、本研究的樣本期間為2001 至 2006 年，涵蓋到安隆事件爆發前的期間並不多，

同時也未涵蓋到全球金融風暴的期間，後續研究建議可以增加樣本的期間，

將樣本期間涵蓋到安隆事件前和全球金融風暴後。

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附註-內部人職位與角色之說明

Level Code Description

Level1 (highest) CB Chairman of the Board CEO Chief Executive Officer

CO Chief Operating Officer GC General Counsel

P President

Level2 AC Member of the Advisory Committee AF Affiliated Person

CC Member of the Compensation Committee CFO Chief Financial Officer

CI Chief Investment Officer CT Chief Technology Officer

D Director

DO Director and Beneficial Owner of more than 10% of a Class of Security

EC Member of the Executive Committee FC Member of the Finance Committee GP General Partner

H Officer, Director and Beneficial Owner M Managing Partner

MC Member of Committee or Advisory Board MD Managing Director

O Officer

OB Officer and Beneficial Owner of more than 10% of a Class of Security

OD Officer and Director OP Officer of Parent Company OS Officer of Subsidiary Company OT Officer and Treasurer

OX Divisional Officer S Secretary

SC Member of the Science/Technology Committee TR Treasurer

VC Vice Chairman

Level3 AV Assistant Vice President C Controller

EVP Executive Vice President OE Other Executive GM General Manager

LP Limited Partner SVP Senior Vice President

T Trustee VP Vice President Level4 AI Affiliate of Investment Advisor

B Beneficial Owner of more than 10% of a Class of Security

BC Beneficial Owner as Custodian BT Beneficial Owner as Trustee CP Controlling Person DS Indirect Shareholder

F Founder FO Former

IA Investment Advisor R Retired

SH Shareholder UT Unknown VT Voting Trustee

X Deceased