卖空者与内幕交易——来自中国证券市场的证据  

Short Sellers and Insider Trading: Evidence from the Chinese Securities Market

作　　者：苏冬蔚[1,2] 彭松林 SU Dongwei;PENG Songlin(School of Economics,Jinan University;Guangzhou Rural Commercial Bank)

机构地区：[1]暨南大学经济学院,广东广州510632 [2]广州农村商业银行,广东广州510623

出　　处：《金融研究》2019年第9期188-206,共19页Journal of Financial Research

基　　金：国家自然科学基金(71673110和71972087);教育部人文社科基金(16YJA790044);中央高校基本科研业务费专项资金(19JNLH05)的研究资助

摘　　要：本文研究上市公司内部人减持、年报、诉讼、分析师评级、停复牌以及高送转等重大公告前后卖空交易行为的变化,系统考察卖空者是否参与内幕交易以及何种因素影响卖空者参与内幕交易,发现卖空率较高的股票具有较低的未来收益,表明卖空者拥有信息优势,属知情交易者;卖空者拥有非常精确的择时交易能力,在重大利空公告前显著增加卖空量,而在利好公告前则显著减少卖空头寸,表明卖空者作为知情交易者的信息优势源自内幕消息;公司内、外部投资者的信息不对称程度越低或公司所在地的法治水平越高,卖空者参与内幕交易的行为就越少。因此,监管机构应密切关注公司重大消息发布前后卖空量的异常变动,同时,完善信息披露规则、健全证券分析师制度并强化法律法规的执行力度,才能有效防范卖空者参与内幕交易。The research on short sales predominantly focuses on two areas.The first is the effect of short selling on the stability,liquidity,pricing efficiency,and price discovery of stock markets.The second is the effect of short selling on corporate financial decisions,such as capital structure,investment policy,earnings management,and firm innovations.The general findings indicate that short sales can reduce price bubbles, promote market stability,and improve pricing efficiency.They can also serve as an effective external corporate governance mechanism that improves the efficiency of corporate finance and investment,reduces earnings management,and enhances innovation expenditures and outputs.However,issues such as the source of short sellers' information and whether short selling leads to insider trading remain the subject of intense debate. Using 2010 to 2015 data for all Chinese A shares,this article provides one of the first studies on the sources of short sellers' information advantage and how short selling affects stock market returns.In particular, it analyzes short selling behavior before and after major corporate announcements,including insider sales of restricted shares,annual reports,lawsuits,analyst upgrades or downgrades,suspension and resumption of trading,and stock dividends.This article sheds light on whether short sellers are involved in insider trading and what factors affect their involvement. This article tests five hypotheses.First,stocks with a higher percentage of short sales have lower expected returns,indicating that short sellers are informed traders.Second,short sellers significantly increase ( decrease) trading before the announcement of important negative ( positive) corporate news.Third,short sellers are more likely to engage in insider trading in firms with lower market capitalization and fewer analyst recommendations because these firms suffer more information asymmetry.Fourth,short sellers are more likely to engage in insider trading in firms with more private equity holdings.Five,short s

关 键 词：卖空者 知情交易者 内幕交易 信息不对称 证券市场 

分 类 号：F832.51[经济管理—金融学]