信息不对称、交易窗口与上市公司内部人交易回报  

Information Asymmetry,Trading Windows and Abnormal Return of Insider Trading of Listed Companies in China

作　　者：曾庆生[1] 张耀中[2] 

机构地区：[1]上海财经大学,上海200433 [2]南京审计学院,江苏南京211815

出　　处：《金融研究》2012年第12期151-164,共14页Journal of Financial Research

基　　金：上海市社会科学规划课题(2007EJB008);全国优秀博士学位论文作者专项(2007B75);2012上海市浦江人才计划;教育部重点研究基地重大项目(11JJD790008);国家自然科学基金项目(70702009)资助

摘　　要：从信息不对称角度出发,通过比较定期财务报告披露前窗口与其他窗口内的内部人交易短期和中期超常回报差异,以检验内部人在报告披露前窗口的交易是否利用了非公开信息。证据表明,中小板公司内部人在定期报告披露前窗口利用信息优势获取了短期和中期相对超常回报,而主板公司内部人交易不存在此现象。与法律监管效应一致,中小板公司内部人亲属在报告披露前窗口利用信息优势交易赚取短期回报的动机强于内部人本人,内部人本人在报告前窗口的锁定期交易未利用信息优势,而在非锁定期交易利用了信息优势。From the perspective of information asymmetry, we compare the short - and mid - term abnormal return of insider trading in the window between balance sheet date and financial reporting disclosure date （ ＇ BSD - FRDD window＇ ） and that of insider trading in other windows to test whether insiders use private information when trading in BSD - FRDD window. The evidence shows that insider of companies listed in the small and mediumsized board（ ＇ SMSB＇ ） use private information to get relatively high short and mid -term abnormal return when they trade in the BSD - FRDD window, while this phenomenon disappears in companies listed in the main board. Consistent to the effect of Chinese regulations, in SMSB＇s companies, the insider relatives＇ motivation to use private information to get short - term abnormal return when trading in BSD - FRDD window is stronger than that of insiders themselves. And within BSD -FRDD window, insiders from these companies trade with private information in the non -blackout period, while don＇t do it in the blackout period.

关 键 词：信息不对称 交易窗口 中小板公司 内部人交易回报 

分 类 号：F830.91[经济管理—金融学]