信息优势、机构投资者异常交易与解禁股减持  

Information Advantage,Abnormal Transaction of Institutional Investor and Sales of Lockup-expiration Shares

作　　者：张萌 鲁桂华[1] 张永珅 Zhang Meng;Lu Guihua;Zhang Yongshen(School of Accountancy,Central University of Finance and Economics,Bejjing 100081)

机构地区：[1]中央财经大学会计学院,北京100081

出　　处：《管理评论》2020年第3期265-278,288,共15页Management Review

摘　　要：本文以我国A股2012-2018年解禁股减持为研究事件,对"大非"和法人股东减持前后机构投资者的异常交易进行研究。结果发现,相对于减持之后,机构投资者在减持之前的超常净卖出显著更高;减持规模与机构投资者的超常净卖出显著正相关;相对于小规模减持,机构投资者对大规模减持会表现出更明显的择时行为;减持股票的未预期盈余与机构投资者的超常净买入显著正相关;相对于减持后,减持前股票的未预期盈余与机构投资者超常净买入的正相关关系更显著。以上结果说明解禁股减持期间,机构投资者的异常交易是因为具有信息优势。进一步检验发现,机构投资者在解禁股减持期间的收益显著为正,且信息优势与其收益显著正相关;当分析师关注度较低时,机构投资者的信息优势将更显著。基于上述结果,分析了机构投资者在中国资本市场信息传递中所扮演的角色,为监管机构制定公平披露准则提供有效的经验证据。This paper studies the abnormal transaction of institutional investor during the share reduction by major shareholders and cor-porate shareholders based on the case of the sales of lockup-expiration shares in Chinese A share market during 2012-2018.The resultsshow that during the period of the sales of lockup-expiration shares,the reason of abnormal trading by institutional investors lies in theirinformation advantage.Further analysis shows that the returns of institutional investors during the period of the sales of lockup-expirationshares are significantly positive.In addition,the information advantage is positively correlated with their returns.When analysts are lessconcerned,the information advantage of institutional investors will be more significant.The above results highlight the role played by in-stitutional investors in information transmission in China’s capital market,and they provide effective empirical evidence for regulators todevelop fair rule of disclosure.

关 键 词：信息优势 异常交易 解禁股减持 超常净买入(卖出) 

分 类 号：F83[经济管理—金融学]