| Summary: | 碩士 === 朝陽科技大學 === 財務金融系 === 105 === Improving the capital market efficiency of Taiwan, regulatory body set up the 「Information Disclosure and Transparency Ranking System」at 2003 and evaluated the information disclosure compliance of public firms untill 2014. It is really an important issue of stock market reaction to information disclosure and transparency ranking (IDTR, thereafter). This paper use trading strategy research method to gauge the long-run market impact to IDTR. To our knowledge, this paper firstly applies trading strategy method into corporate information disclosure quality research in Taiwan. Comparing with literatures, they measure the short-term market responses by event study method and find out something mixed.
Trading strategy method is popular in finance and accounting fields. This paper adopts buy and hold trading strategy to estimate the market effect for IDTR. Barber and Lyon(1997) documented the average buy and hold abnormal return was a feasible estimator which could precisely appraise investors’ performance. Specifically, we long the superior IDTR companies (A++ & A+), short the inferior IDTR companies (C & C-). The portfolio holds till the next time IDTR result making public and rebalances accordingly. The long term performance of relative IDTR superior-inferior trading strategy could not beat the Taiwan’s market index
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