股票分拆与内幕人交易  

Stock Splits and Insider Trading

作　　者：梁德音[1] 芮萌[2] 汪叔夜[3] 

机构地区：[1]香港城市大学会计学系 [2]香港中文大学工商管理学院 [3]中国香港九龙红韵香港理工大学会计及金融学院

出　　处：《中国会计与财务研究》2010年第1期64-108,共45页China Accounting and Finance Review

基　　金：本文作者特别感谢两位匿名审稿人,在美国盐湖城举行的财务管理协会国际年会的与会者,在西班牙马德里举行的欧洲财务管理会议的与会者,以及在中国北京举行的国际金融会议的与会者,感谢他们提出的有益意见.作者感谢香港理工大学的项目资助（No.G-T619）.

摘　　要：本文利用每日交易、内幕交易和高频买卖价差数据，研究股票分拆和内幕交易对香港市场股票价格的影响。我们发现股票分拆对价格有正面影响，这一结果可归因为股票分拆传达了利好信号、并改善了股票的流动性。其次，我们发现在分拆公告前三到四个月以及分拆后的一段时间内，内幕交易活动异常频繁。考虑到公司一般在公告前数月做出股票分拆的决定，这一现象意味着基于私人信息的内幕人交易先行于信息的公开披露。最后，本文发现内幕交易和股票分拆结合在一起可导致显著正的累积异常收益。总体而言，我们的结果表明上市公司利用股票分拆作为旨在增加流动性、且将公司股价调整至最优交易区间的一种信号机制。We use daily trading, insider trading, and high-frequency intraday bid-ask data to investigate the effect of stock splits and insider trading on share prices in Hong Kong. We find positive price reactions to stock splits and conclude that these may be attributable to the favourable signals that stock splits send and the improved liquidity they provide. Second, we find abnormally high levels of insider trading activity three to four months before the split announcement and in the post-announcement period. As firms usually make their stock split decisions several months before making the announcement, this finding suggests that insiders trade on private information in advance of public disclosure. Moreover, we find that the combination of insider purchases and stock splits induces cumulative abnormal returns that are significantly positive. Overall, our results indicate that firms use stock splits as a signalling mechanism aimed at increasing liquidity and realigning the firm＇s share price to an optimal trading range.

关 键 词：股票分拆 内幕人交易 流动性 信号 

分 类 号：F721.5[经济管理—产业经济] F83