國立臺灣大學財務金融學系Chen, Chyi-MeiChyi-MeiChenChen, Ying-JuYing-JuChenWu, Ping-ChaoPing-ChaoWu2006-09-272018-07-092006-09-272018-07-092001-12http://ntur.lib.ntu.edu.tw//handle/246246/20060927122730757256Agency theorists consider a firm as a nexus of contractual relationships. Contract- ing parties such as shareholders, debt holders, managers, input suppliers, advertising agencies & retailers may have information superior to outsiders concerning the firm's quality. In this paper, we show that the duration of contractual relationship within a firm has important implications on the dynamics of the price & trading volume of the firm's stock. If the duration of information asymmetry corresponds to that of contractual relationship, insiders with long-term relationship is shown to marginally prefer less aggressive strategies of trading than those who can only access superior information temporarily. Such behavior makes it more diÆcult for the market maker to infer the existence of informed traders. The market maker will henceforth provide smaller bid-ask spreads, which attract discretionary liquidity traders to gather their trades in that period. With the long-term contractual relationship, uncertainty is resolved more slowly be- cause the informed trader trades on his information advantage gradually. This strategy enlarges the liquidity traders' loss & discourages them from holding the firm's stock. We conclude that a firm's fundamental value will be influenced by its choice between changing partners regularly & committing to a partner. From the viewpoints of the firm & uninformed traders, changing partners regularly is always an optimal policy under the topics of market eÆciency & information asymmetry.application/pdf252756 bytesapplication/pdfzh-TWreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122730757256/1/09-1.pdf