锚定偏差能够影响内部人交易吗——基于股价历史高点的经验证据  

Does Anchoring Bias Affect Insider Trading?Empirical Evidence Based on Historical Highs of Stock Prices

作　　者：丁志国[1] 张宇晴[1] 黄禹喆 Ding Zhiguo;Zhang Yuqing;Huang Yuzhe(College of Business and Management,Jilin University,Changchun 130000,Jilin,China)

机构地区：[1]吉林大学商学与管理学院,吉林长春130000

出　　处：《金融经济学研究》2022年第2期20-39,共20页Financial Economics Research

基　　金：国家社会科学基金青年项目(19CJY060)

摘　　要：通常认为内部人会基于信息优势进行交易,但内部人也会受到认知偏差的影响。以2006—2020年沪深A股上市公司为研究对象,利用股价历史高点检验内部人交易中是否存在锚定效应,研究表明,内部人会在股价接近一年内最高点时进行减持,远离一年内最高点时进行增持,内部人锚定偏差能够影响其交易行为,而且这种具有锚定偏差的交易行为在短期内不能获得显著的超额收益,导致跟随内部人交易的外部投资者遭受损失。进一步研究发现,不同类型内部人受锚定偏差的影响程度存在差异,高管更容易锚定股价历史高点进行交易。公司投资行为也会受到内部人锚定偏差的影响,表现为投资效率的下降。研究结论有效补充了行为金融和内部人交易理论,也有助于市场参与者更好地理解内部人交易行为。It is generally believed that insiders trade based on information superiority,but insiders are also subjected to the impacts of cognitive biases.The A-share listed companies from 2006 to 2020 in Shanghai and Shenzhen are taken as the study objects,and the historical highs of stock prices are used to examine whether there is an anchoring effect in insider trading.The study results show that insiders will divest their holdings when the stock price is close to the highest point in a year,and increase their holdings when the price is far from the highest point in the year.The anchoring bias of insiders can impact their trading behavior.Such trading behavior,which is affected by anchoring bias,will not bring significant excess returns in the short term,and will cause the external investors who trade by following the lead of insiders to suffer losses.Further analysis reveals that different types of insiders are affected by anchoring bias at different levels.Top Executives are more likely to anchor their estimate to the historical highs of stock prices and trade accordingly.The investment behavior of companies is also affected by the anchoring bias of insiders,which is manifested as a decline in investment efficiency.The study conclusion is an effective complement to the theories on behavioral finance and insider trading,which also help market participants get a better comprehension of insider trading behavior.

关 键 词：内部人交易 锚定效应 行为金融 股价历史高点 

分 类 号：F832.51[经济管理—金融学]