| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 107 === The extant literature points out that insiders have an information advantage. Thus uninformed investors may use their declaration of shares transfer as a reference indicator for the sale of shares. However, the Taiwan Securities Exchange Act (Articles 22-2 and 25) requires insiders to make declarations before their transferring shares, but it is not mandatory that insiders transfers the exact number of shares in accordance with their prior declarations. Therefore, this study conjectures that the shares transfer declaration mechanism may trigger the insiders’ misleading the market and thus manipulating the stock price through false declaration. Moreover, insiders are subject to disgorgement of their short-swing profits. Namely, company insiders are required to return any capital gains made from the purchase and sale of company stock if both transactions occur within a six-month period. Accordingly, it is likely that manipulative insiders would use the dummy account to trade and is likely that they adopt the securities lending and/or borrowing schemes accompanying their declaration of the stocks transfers. This paper explores whether the investors may benefit from observing securities lending and/or borrowing information and form a trading strategy accordingly in response to the insiders’ manipulating the stock price through their declarations of the transfer. The empirical results indicate the follows. First, the execution rate of the stocks transfer significantly negatively correlates with both the amount of short-selling before share transfer announcement and that of the margin trading after share transfer announcement. Second, the short-windowed security returns accompanying the share transfer announcement increase with the margin trading after share transfer announcement. The study further documents that the short-windowed returns accompanying the shares transfer declaration are more pronounced when the insider who makes the declaration is identified within the group of corporate officers, when the company size is small and when the value of the transferred shares is high. Third, the behavior of subsequent long-windowed returns indicates that the market appears to under-react to the increases in both the amount of pre-announcement securities lending and the amount of post-announcement securities borrowing. When the insider who makes the declaration is identified within the group of corporate officers, when the company size is large, and when the value of the transferred shares is low, the subsequent long-windowed returns following the shares transfer declaration appear to be significantly more positive than that corresponding the other observations.
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