2020-08-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/700767摘要：本計畫第一年將政策不確定性是否影像股票崩盤風險。關於政府在私領域所要扮演 的腳色已經被討論了數十載。但由於公司在私領域當中扮演了非常重要的經濟角色 ，公司不可避免的會受到政府政策不穩定性的影響。因次，本計畫希望能夠提供第 一手、大規模以及有系統地的研究，關於是否政策不穩定性會影響股票崩盤風險。 經濟理論建議我們說政策不穩定性會造成公司加快發布負面消息的速度；此外，經 濟理論還建議說這關係應該會在有放空限制的股票，沒有CDS可以避險的股票 ，以及暴露在高政治風險的股票中最明顯。我們將利用迴歸分析的方法，並且使用 工具變量以及擬真的自然實驗來去除內生性的疑慮，進而測試政策不穩定性以及股 票風險的關係。 本計畫第二年將要探討公司編篡其財務報表會如果影響到金融市場。經理人面臨者 兩難關於分享公司的訊息，一方面分享比較多的公司訊息可以減少與投資人間的資 訊不對稱，使的公司股票可以被交易在合理的價格，降低資金成本；另一方面，透 露過多的訊息會造成公司重要的資訊被競爭對手瓢竊，而使公司落於不利的情勢。 經濟理論建議說股票市場會有正向的反應當公司公布的財務報表有編篡，尤其是在 充滿競爭的行業當中。我們希望能夠發現和經濟理論建議相同的方向：市場對於有 編篡的財務報表有正向的反應，尤其是在資訊不對稱越嚴重的地方。我也希望發現 市場會有負向的反應當被編篡的財務報表充滿者負面的語言的時候。我希望本計畫 可以提供關於資訊不對稱，公司揭露還有金融市場反應的方向。<br> Abstract: In the first year, I will study whether policy uncertainty affect future stock price crash. Discussions about the role that a government plays in the private sector of the economy have persisted for centuries. Because firms in the private sector are economic agents subject to government regulations, they are inevitably affected by policy uncertainty. This study aims to provide large-sample, systematic evidence of whether and, if so, how policy uncertainty affects the likelihood of stock price crash at the firm level, a priced extreme negative event in the stock market. Economic theory suggests that there is a negative association is driven by firms` increased timeliness in releasing bad earnings news during high policy uncertainty periods. Economic theory also suggest that the negative relation is more pronounced among firms with more short-sale constraints, with no actively traded credit-default swap contracts, or with higher firm-level political risks. We intend to use regressions adopting the instrumental variable approach and from a quasi-natural experiment to test that the the relation observed between policy uncertainty and stock price crash risk is unlikely to be driven by potential endogeneity. In the second year, we examine the effect of redaction on asset prices. Managers must weigh competing incentives to share or withhold company information in their strategic decisions. More disclosure can reduce adverse selection problems, which enables investors to trade securities at fair prices and thereby helps firms to lower their cost of capital. But more disclosure may contain proprietary information that could be used by the firm`s competitors and disclosing such sensitive information might reduce the firm`s competitive advantage. Economic theory suggests that the market reacts favorably to information released in material contracts that contain redactions. Economic theory also suggest that the market response is more favorable for redactions related for firms in competitive industries. We will study the differential effect of market reaction to redaction. We hope to find a positive market reaction to the redacted contracts that contain more positive information are accompanied by greater information asymmetry, investor underreaction, and post-announcement drift. In contrast, we expect to find that market responds negatively to redacted contracts with a negative tone. I hope to shed the light on the role of investor`s reaction to corporate disclosure, in the context of policy uncertainty or reaction, and its association with information asymmetry, the natural of the information disclosed, and the impact to the financial market. I hope the novel channel proposed in this study will benefit the policy makers in policy marking and fellow academicians in future works.資訊揭露政策不穩定性股票崩盤風險訴訟風險資訊不對稱編篡競爭Corporate DisclosurePolicy UncertaintyStock Price Crash RiskLitigation RiskInformation AsymmetryRedactionCompetition