创业板高管减持行为研究

发布时间：2018-08-25 08:25

【摘要】：自创业板首批公司上市交易以来,出现大量高管减持,引起各方关注。本文以创业板高管减持行为为研究对象。从内部人交易的角度出发,两方面研究创业板高管减持是否利用了内部消息。首先通过高管减持的动因研究高管在进行减持决策上是否拥有外部投资者所没有的信息优势,对公司进行价值判断；其次通过交易日前后的累计超常收益研究高管是否利用私有信息精准选择减持时机。通过对创业板高管减持动机进行分析,发现我国创业板高管凭借对公司未来发展前景的信息优势进行选择性减持,发展前景差的公司很有可能成为减持对象。股权集中度高的公司高管减持意愿较强。通过对创业板高管减持时交易前后短窗口的研究发现,高管减持股票时表现出非常强的时机把握能力,减持前后累计超常收益呈现出先升后降的倒V形状,累计超常收益在[-20,-1]和[0,-20]期间分别高达4.65%和-0.32%,交易日当天的超常收益显著为正,且卖出当天的平均累计超常收益高于交易目前后20日内任意一天的超常收益,可见创业板高管在交易中确实利用了内部消息,进行了精准的时机选择。研究结果不支持信息层级假说,即高管的职位对他们通过内部信息获得超常收益没有显著影响。上述发现对投资者改进交易策略具有重要作用,聪明的外部投资者可以通过观察高管的交易行为来调整自己的投资策略。高管的减持决策传达了公司前景不佳的信号,高管交易的超常收益表明如果高管利用内部信息选择交易时机,获取较稳定的超常收益,说明他们的交易包含重要的信息量。研究结果同样对监管部门评估现行监管政策的有效性及调整监管强度具有重要启示意义。高管通过交易获得丰厚超常收益,往往说明存在大量普遍甚至非法地利用内部信息交易,而这表明交易监管的有效性较差,市场交易的不公平性问题严重,监管机构应通过强化及时披露、严惩内幕交易等方式,采取更为严厉的管制措施,减少高管利用内部信息获得超常收益。
[Abstract]:Since the first batch of companies listed on the gem, there have been a large number of senior management reduction, causing concern. This article takes the gem executive reduction behavior as the research object. From the perspective of insider trading, two aspects of the gem executives to reduce the use of internal information. First of all, through the motivation of executive reduction, the paper studies whether the executives have the advantage of information that external investors do not have in the decision of reducing their holdings, and makes a value judgment on the company. Secondly, through the accumulated extraordinary income before and after trading day, the executives use private information to select the timing of reduction. Through the analysis of the motivation of gem executives' reduction, it is found that the gem executives of our country can reduce their holdings selectively on the basis of the information advantages of the company's future development prospects, and the companies with poor development prospects are likely to be the objects of reduction. High degree of equity concentration of the company executives have a strong willingness to reduce their holdings. Through the research on the short window before and after trading when the gem executives reduce their holdings, it is found that the senior executives show a very strong ability to grasp the opportunity when they reduce the stocks, and the accumulated extraordinary returns before and after the reduction show the inverted V shape of first rising and then descending. The accumulative extraordinary returns are as high as 4.65% and -0.32 in [-20] and [0 ~ (-20)] periods, respectively. The abnormal returns on the trading day are significantly positive, and the average accumulated extraordinary returns on the day of sale are higher than those on any day within 20 days after the current trading, Visible gem executives in the transaction did use internal information, accurate timing. The results do not support the information hierarchy hypothesis that executives' positions have no significant impact on their extraordinary returns through internal information. The findings play an important role in improving trading strategies, and smart external investors can adjust their investment strategies by observing executives' trading behavior. The decision to reduce the holding of senior executives sent a signal that the company's prospects are not good. The extraordinary returns of executive transactions indicate that if executives use internal information to select trading opportunities and obtain more stable abnormal returns, it means that their transactions contain important amounts of information. The results also have important implications for regulators to evaluate the effectiveness of current regulatory policies and adjust the intensity of supervision. Executives gain extraordinary profits through trading, often indicating that there are a large number of widespread or even illegal use of internal information transactions, and this shows that the effectiveness of transaction regulation is poor, and the market trading unfairness problem is serious. Regulators should take tougher controls by stepping up timely disclosure and punishing insider trading so as to reduce executives' use of internal information for extraordinary returns.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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