内部人亲属交易超额收益的实证研究

发布时间：2018-01-07 05:09

本文关键词：内部人亲属交易超额收益的实证研究　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：长久以来，内部人交易一直是学术界与监管机构密切关注的焦点，，但内部人亲属交易却鲜有人研究。我们有理由假设内部人亲属交易可能是内部人交易的替代形式，因此内部人亲属交易亦具有重要的研究价值。基于深交所2007年5月至2012年5月对内部人亲属交易的公开信息，本文对内部人亲属交易的超额收益情况进行了一系列的实证研究。在事件研究中，本文发现相较买入交易，卖出交易具有更好的择时能力与获利性，因此可能含有更多的内幕消息。其次，内部人配偶与子女由于与内部人亲缘与经济关系均更为紧密，具有更好的超额收益表现。第三，大额买入与小额卖出交易也具有更好的择时能力与获利性。在多元线性回归中，本文继续研究了可能影响超额收益表现的几个不同维度，并发现股权集中度越高、市净率越低，亲属交易的超额收益越高。而相较买入交易，卖出交易利用内部财务信息获利的可能性更大。另外，控股股权种类显著影响卖出交易，但对买入交易的超额收益影响不显著。本文仅是对内部人亲属交易的探索性研究，在一些地方还存在不足与局限性，但不失为对传统的内部人交易的突破与创新。在未来，如何规制内部人亲属交易将成为学术界与监管机构研究的重要课题。
[Abstract]:For a long time , insider trading has been the focus of the academic community ' s close attention , but there are few studies on the insider trading in the house . We have reason to assume that insider trading in the house may be an alternative form of insider trading , so the insider trading in the house also has important research value . Based on the public information about the insider trading in Shenzhen Stock Exchange from May 2007 to May 2012 , this paper makes a series of empirical studies on the excess earnings of insider trading in the interior . In the event study , the paper finds that the selling transaction has better time - time ability and profitability , so it may contain more insider information . Secondly , the inner - person spouse and the children are more closely related to the economic relations and have better over - earnings performance . Third , large purchases and small selling transactions also have better time - time ability and profitability . In the multivariate linear regression , this paper continues to study several different dimensions which may affect the performance of the excess earnings , and find that the higher the equity concentration , the lower the net rate and the higher the excess earnings of the relative transaction . In the future , how to regulate insider trading will become an important subject in academic and regulatory research .

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】