内部人交易及其信息优势获利的实证研究

发布时间：2018-02-26 11:07

本文关键词： 内部人交易时机选择能力所有权结构信息不对称公司治理　出处：《暨南大学》2014年博士论文　论文类型：学位论文

【摘要】：从2006年起我国监管部门允许上市公司的内部人（公司的董事、监事、高级管理者及持有一定比例股份的大股东）在二级市场上买卖自己公司的股票，同时要求公司的内部人按规定及时披露交易信息，并通过限制短线交易、设置内部人交易敏感期等一系列法规，进一步完善了我国证券市场的上市公司信息披露制度。尽管我国的监管部门针对内部人交易已经建立起较为完善的法律法规，但是在我国目前经济制度背景下，内部人交易是否能利用自己的信息优势获得超额收益？内部人交易超额回报的高低受到哪些因素的影响？内部人交易超额回报的形成是否为内部人控制权私利的表现形式之一？我国资本市场的公司治理机制，特别是所有权特征在其中起到什么样的作用？这些问题重要而富有争议，因此成为本文的研究主题。本文以沪深交易所披露的2006~2012年的内部人交易数据为样本，以内部人交易的时机选择能力为研究起点，检验了我国上市公司内部人交易超额收益获取能力及市场择时能力的存在性；通过实证检验信息不对称与内部人交易超额收益的关系、公司停牌事件与内部人交易超额收益的关系，发现内部人利用内幕信息获利的证据，证明了内部人交易的控制权私利的性质。公司治理水平低下是内幕交易形成的重要环境因素，因此文章最后从所有权结构的角度分析并验证了公司治理对内部人交易的影响。文章的主要结论如下： 1．与国外研究结论类似，，我国内部人交易以卖出为主，卖出交易次数约为买入次数3倍；在内部人交易超额收益方面，发现内部人的卖出比买入更显著，可能与我国制度因素有关；内部人买入交易的超额收益与随后两期的业绩显著相关，这说明内部人买入利用了公司估值信息优势；内部人买入交易的超额收益与管理层的薪酬水平显著负相关，内部人的薪酬水平是其买入的影响因素之一；从证券市场不同板块特点看，发现近80%的内部人交易发生在深圳市场，其中中小板的交易量占所有交易量的50%，中小板公司内部人交易行为非常突出，这可能与民营上市公司的股权性质、负债水平、融资渠道等诸多因素有关。 2．根据内幕交易形成机制分析，内部人具有信息优势，在条件合适（公司治理环境差）情况下，内部人可能利用重大信息公告的契机，买卖公司股票获利。文章检验了公司信息不对称与内部人交易获利的关系，发现信息环境越透明，公司内部人交易的超额收益越低。在公司重大信息公告与内部人交易获利关系方面，通过分析短窗口期间内部人交易的超额收益与公司停牌事件的联系，发现在内部人交易前后1个月日历时间，40%的公司发生了停牌，即全年1/6的交易时间内，2/5的公司发生了停牌事件，这说明了内部人交易与公司停牌事件的密切联系；进一步分析，相比没有停牌的公司，窗口期[-20，20]内停牌公司的买入、卖出累计超额收益显著高；在内部人交易后不久即发生停牌的公司（即窗口期[0，20]）其卖出累计超额收益更高。这些证据说明了我国内部人利用内幕信息获利的控制权私利性质。 3．所有权结构对内部人交易影响：在所有权性质方面，国有企业与民营企业相比买入意愿低，但买入交易的超额收益高；对于卖出交易，国有企业与民营企业的卖出意愿无明显差别，国有企业的卖出超额收益更高。在股权集中度方面，发现股权高度集中公司卖出交易的超额收益也越高，股权高度集中的国有公司买入意愿更强，这体现了大股东的控制权私利性质；内部人交易与两权（现金流权、控制权）分离度的关系方面，发现两权分离度越大，内部人买入意愿、卖出意愿越强烈，说明两权分离度越大的公司代理问题越严重。股权制衡类指标，反映第2-10大股东相对控股股东持股比例越高，内部人买卖意愿越低，说明第2-10大股东有制衡大股东的作用。本文研究的贡献在于： 1．通过检验公司信息环境（或者信息不对称）与内部人交易超常收益的关系，对内部人交易超额收益的形成原因给出解释。 2．将公司的停牌事件与内部人交易事件结合，为内部人交易利用内幕信息获取超额收益提供了新的证据。 3．从公司所有权结构这一治理本质特征出发，从所有权性质、股权集中度、两权（现金流权、控制权）分离度、所有权制衡等多个角度，深入全面研究了所有权与内部人交易的关系。 4．本文的研究为新兴市场国家内部人现象和公司治理的研究提供了有意义的国际比较参考。
[Abstract]:China's regulatory authorities to allow the company insiders from 2006 (the company's directors, supervisors, senior managers and holding a certain proportion of shares of major shareholders) the sale of their own company in the two stock market at the same time, ask the company according to the provisions of timely disclosure of insider trading information, and by limiting short-term trading, set up internal the transaction sensitive period and a series of laws and regulations, to further improve the information disclosure of Listed Companies in China's securities market system. Although China's regulators for insider trading has established relatively perfect laws and regulations, but in China's current economic system background, whether insider trading can use their information advantage over return? Insider trading excess returns the level of the factors which influence the formation of insider trading? Whether excess returns form internal gain control One of them is the mechanism of corporate governance in China's capital market, especially the role of ownership.
Insider trading data of 2006~2012 based on the Shanghai and Shenzhen Stock Exchange disclosure as sample to insider trading timing ability as the research starting point, to test the existence of insider trading in China's listed companies to obtain excess returns ability and market timing ability; experience relationship between information asymmetry and insider trading excess returns through empirical examination the company suspended, relationship between events and insider trading for excess returns, found using the insider information from the evidence, that the nature of insider trading of privatebenefits. Low level of corporate governance is an important environmental factor in the formation of insider trading, so the article from the perspective of ownership structure to analyze and verify the effect of corporate governance the insider trading. The main conclusions are as follows:
Conclusion 1. with foreign similar research, insider trading in China to sell, sell the number of transactions for the purchase of the number of about 3 times; in the insider trading of excess earnings, that sell insiders than buying more significant, may be related to China's institutional factors; significantly related to excess returns and then two insiders buying. The performance of the internal use of the valuation of the company to buy information superiority; excess earnings management and insider buy transactions the salary level was significantly negatively correlated, internal salary level is one of the factors that influence the buying; from different plate characteristics of the securities market, found that nearly 80% of the insider trading in the Shenzhen market among them, small and medium-sized board trading volume accounted for 50% of all transactions, insider trading board of small and medium-sized companies are very prominent, which may be the nature of equity and private listed companies, debt level, The financing channels are related to many factors.
2. according to the analysis of the formation mechanism of insider trading, insider information has the advantage, in appropriate conditions (corporate governance environment) cases, people may use the internal information announcement of major opportunity, the sale of shares of profit. This paper tests the relationship of information asymmetry and insider trading profit, found that the more transparent information environment, insider trading the company's excess returns are low. In the company's announcement of important information and insider trading profit relationship, the suspension events are linked through excess revenue and company analysis of short window period of insider trading, insider trading was found before and after 1 months of calendar time, 40% of the companies in the suspension, namely the 1/6 trading hours the 2/5 event, the suspension, which explains the close contact with the insider trading and the suspension of events; further analysis, compared with no suspension of the company, the window period of [-2 0,20] in the suspension of the company to buy and sell the cumulative excess return was significantly higher; shortly after the suspension of the company's insider trading is in after (IE window [0,20]) sell the cumulative abnormal return is higher. The evidence shows that China's internal control over the use of private properties of insider information to profit.
3. effect of ownership structure on Insider Trading: the nature of ownership, state-owned enterprises and private enterprises compared to the willingness to buy low, but buying excess returns; for sale transaction, the state-owned enterprises and private enterprises will sell no obvious difference in the state-owned enterprises to sell excess income higher. In terms of concentration of equity, found equity of focused companies sell transactions in excess of the higher income, the highly concentrated ownership of state-owned companies buying willingness stronger, which reflects the nature of the major shareholder of the private benefits of control; insider trading and two rights (cash Liuquan, control) relationship between the degree of separation, found that the greater the degree of separation of two rights, insider buy wishes, willingness to sell more strongly, that the separation of the two rights agency problems more serious. The greater the degree of the equity balance index, reflecting the 2- 10 shareholders relative holdings shareholding ratio is higher, The lower the willingness of the insider to buy and sell, the role of the top 2- 10 shareholders is to balance the large shareholders.
The contributions of this study are as follows:
1., by examining the relationship between the information environment (or asymmetric information) and the abnormal return of insider trading, we explain the reasons for the abnormal return of insider trading.
2. combine the company's stop events with insider trading events and provide new evidence for insider trading to use insider information to obtain excess returns.
3., starting from the essence of corporate ownership structure, the relationship between ownership and insider trading is thoroughly studied from the perspectives of ownership nature, ownership concentration, two rights (cash flow right, control right) separation and ownership balance.
4. the study of this paper provides a meaningful international reference for the study of human phenomena and corporate governance in emerging market countries.

【学位授予单位】：暨南大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F275;F832.51

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