公司内部人具有交易时机的选择能力吗?——来自中国上市公司内部人卖出股票的证据  

Can Insiders"Time"the Market When They Sell Their Corporate Stock?Evidence from China's Stock Market

作　　者：曾庆生[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《金融研究》2008年第10期117-135,共19页Journal of Financial Research

基　　金：国家自然科学基金项目(70702009);上海市哲学社会科学规划课题(2007EJB008)的阶段性成果;教育部人文社会科学研究基地重大项目(批准号:05JJD630028)

摘　　要：本文以内部人卖出股票的交易为对象,研究发现从短窗口来看,上市公司内部人卖出本公司股票时表现出很强的时机把握能力。回归分析发现,在卖出股票时,除董事长和总经理外的内部董事和经理的超常回报显著高于监事和独立董事,董事长和总经理的超常回报可能低于监事和独立董事;内部人本人交易的超常回报显著高于内部人直系亲属;小规模公司内部人的超常回报显著高于大规模公司内部人;国有控股公司内部人的超常回报可能高于其他公司内部人。本文经验证据表明,内部人的时机选择能力可能来自于其掌握的非公开信息,且受公司信息透明度影响。This paper studies the inside trading of the stock and finds that the insiders of listed-companies have excellent ability to handle the time of trading when they sell their own companies＇ stocks. Regression analysis shows that when selling stocks, non-independent directors and managers of the company except for Chairman and CEO can get more abnormal return than that of the supervisors and independent directors of the company, and the Chairman and CEO＇s return may be even lower than that of supervisors and independent directors, and insiders＇ own return is significantly higher than that of insiders＇ family members. Insiders of small firms and state-controlled firms may get more abnormal return than those insiders from larger companies. The empirical evidence suggests that insiders＇ ＂timing＂ ability may come from the non-public information on their companies, and is limited by the company＇s information transparence.

关 键 词：内部人交易 超常回报 短窗口 信息层级假说 

分 类 号：F276.6[经济管理—企业管理] F832.51[经济管理—国民经济]