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

• Main Authors: Jen-shing Yeh, 葉振興
• Other Authors: Ju-Ann Yang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/57594007602283049900

碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === 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.