本研究將台灣上市上櫃公司內部人出脫持股的方式分為事前申報轉讓以及事前未申報而出脫持股兩種情形，以事件研究法來檢定這兩種出脫持股的作法是否會對公司股價造成不同的影響，實證資料期間涵蓋1991至2008年。實證結果發現，事前申報轉讓消息公告後，事後呈現正的顯著累積異常報酬。事前CAR平均值與事後CAR平均值相比存在正的顯著差異，顯示事前申報轉讓對股價產生顯著較低的正報酬反應。按照實際執行率和申報轉讓原因將事前申報轉讓做分組檢定事後CAR差異，發現非贈與組的事後報酬高於贈與組，且在(0,10)事件期間達到顯著水準，而低執行率的事後報酬顯著低於高執行率組，另一方面，事前未申報出脫持股的消息公告後，事後呈現負的顯著累積異常報酬，事前CAR平均值與事後CAR平均值相比存在正的顯著差異，顯示內部人事前未申報賣股造成股價顯著負的報酬反應。比較推算事前未申報賣股和事前申報轉讓的事後報酬發現，推算事前未申報賣股的CAR與事前申報轉讓的CAR相比存在負的顯著差異，投資人未來選股應避免投資這類型的公司。

This thesis examines the impacts on stock prices by different disclosures of insider’s stock sales using event study method. Insider sales data are categorized into two disclosure groups: insider transfer trading and insider stealth trading. Empirical data are from 1991 to 2008 and empirical results are shown as follows: Insider transfer trading has positive and significant post-CAR. Pre-CAR of insider transfer trading is positively and significantly different from post-CAR. Classifying insider transfer trading sample by bequest and implemented ratio, results show that non-bequest group has significantly higher post-CAR than bequest group in (0,10) event period and low implemented ratio group has significantly lower post-CAR than high implemented ratio group. Furthermore, insider stealth trading has negative and significant post-CAR. Pre-CAR of insider stealth trading is positively and significantly different from post-CAR. Compared with the stock price impact of both disclosures, insider stealth trading poses a higher negative impact on stock price. Investors should avoid investing this kind of company.

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