| Summary: | 碩士 === 國立臺灣師範大學 === 管理研究所 === 105 === This study aims to discuss whether the information in the Taiwan securities market is related to the negative news of the company, that is, whether it could predict the negative news. At first, we will test negative news result in negative abnormal returns, and then whether negative abnormal returns can be predicted from security lending information and related control variables. The sample of this paper takes Taiwan's 50 stocks in TEJ+, and use SAS's regression model to research.
In this study, we used event study and regression analysis to find that there was a negative cumulative abnormal return for two days before and after negative news, and it is significant. On the other hand, the balance of security lending can also significantly predict the cumulative abnormal return of the two days and one month after the news. And the interest rate of the security lending is only significantly predict cumulative abnormal return of one month. While the control variables include BMR and ROE have an effect on the cumulative abnormal return. The results of this study can be used as a reference for future observation of our security market.
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