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韓千山　陳其美 強制內部人宣告持股轉讓對投資者福利之影響 PAGE 2 PAGE 3 Review of Securities Futures Markets, 16:3, 1-40 (2004) PAGE 1 強制內部人宣告持股轉讓對投資者 福利之影響：由訊息揭露之觀點 韓千山　陳其美* 　　本文發展一證券交易模型，探討「強制內部人在持股轉讓前宣告交易數量」之政策，對證券市場投資人均衡之交易行為、福利與市場資訊效率性之影響。相對於內部人或大戶，散戶投資大眾面對雙重的逆選擇問題：首先，他們無法分辨當大戶欲出脫持股時，究竟是因為收到悲觀的私有資訊（知訊大戶），抑或是基於個人突發的流動性需要（流動性大戶）；其次，即便他們能確定所面對者乃知訊大戶，他們仍無法確知該大戶的私有資訊有多悲觀。在「宣告之交易數量須切實執行」的假定下，本文證實「強制宣告」的政策確能減低上述第二項資訊不對稱的問題，從而部分改善散戶投資大眾的弱勢資訊；然而本文也發現，在「強制宣告」政策未實施前，原本可能存在流動性大戶自動宣告交易數量、知訊大戶則否的「分離均衡」，將因該政策強制所有大戶一律宣告，而在政策實施之後消失，亦即該政策造成兩型大戶，失去了藉自由決定願否宣告其交易數量，澄清其交易動機的機會，導致上述第一項資訊不對稱問題的惡化。尤有甚者，本文發現，當價格資訊性越高、散戶風險厭惡程度越低、散戶人數越多、與知訊大戶比例越低時，因該政策造成的第一項資訊不對稱問題的惡化，效果可能甚於對第二項資訊不對稱問題帶來的紓緩，其結果可能使所有投資人的福利全面降低。 關鍵詞：強制宣告、市價單、限價單、分離均衡、混合均衡。 *作者分別為輔仁大學貿金系助理教授與台灣大學財金系副教授。 The Welfare Effects of Mandatory Trade Disclosure: An Informational Perspective Chien-Shan Han Fu Jen Catholic University Chyi-Mei Chen National Taiwan University This paper develops an equilibrium model to investigate the effects of mandatory disclosure of trades by insiders on the equilibrium welfare and trading strategies of investors, and on the resulting implications for market efficiency and liquidity. An insider may trade for either informational or non-informational (liquidity) reasons. Public investor are hence faced with two information asymmetry problems: at first they fail to distinguish the insider’s trading motive, and secondly, even if they know that they are trading with an informed insider, they do not see the private information that the insider possesses. Assuming that the insider must complete the disclosed quantity of trade by a pre-specified period of time, we show that the mandatory disclosure policy serves to mitigate the above second information asymmetry problem, but under some parametric conditions, it may also remove an otherwise existing separating equilibrium where the liquidity-based insider chooses to voluntarily reveal the quantity he intends to trade while the informed insider would rather not. Thus the policy tends