经济政策不确定性与内部人寻租:来自内部人交易超额收益的证据  

Economic Policy Uncertainty and Insider Rent-Seeking:Evidence from Insider Trading Profitability

作　　者：张洪辉 平帆 章琳一 Zhang Honghui

机构地区：[1]江西财经大学会计学院/会计发展研究中心,330013 [2]中国人民大学商学院,100872

出　　处：《会计研究》2020年第6期147-157,共11页Accounting Research

基　　金：国家自然科学基金项目(71962010);教育部人文社科青年项目(18YJC790227,19YJC790182)的资助.

摘　　要：本文利用内部人交易超额收益数据,分析了经济政策不确定性下内部人寻租行为。研究发现:经济政策不确定性显著提升内部人交易超额收益,有助于内部人寻租。在影响路径上:经济政策不确定性加剧了信息不对称,信息效应在其中发挥着作用;经济政策不确定性导致了监督困难,引发了更加严重的代理问题,代理效应也发挥着作用。在截面上,投资者关注会缓解经济政策不确定性与内部人寻租的关系,市场化进程会缓解内部人利用经济政策不确定性的寻租行为,是否属于受保护行业也会影响经济政策不确定性与内部人寻租的关系。本文的研究结果,丰富了内部人交易行为特征及影响因素研究,扩展了经济政策不确定性研究领域,有利于理解经济政策不确定性对最微观经济活动个体——人的影响,为经济政策的出台及施行提供了经验证据和理论支持。This paper uses profitability data of insider trading to analyze and study the relationship between EPU and insider rent-seeking.The findings are as follows:The EPU significantly increases the profitability of insider trading and helps insiders to seek rent.The channel analysis show that EPU affects information asymmetry and this intensifying effect increasing the profitability of insider trading;The EPU leads to the difficulty of supervision,which leads to the serious agency problem of insiders,and thus higher insider trading profitability.In terms of cross-section,enterprises that are less focused by investors and located in regions with low marketization level,the positive effect of EPU on profitability of insider trading is more pronounced.Locating in protected industries can also intensify the association between EPU and insider rent-seeking.The results of this paper enrich the research on the behavior characteristics and influencing factors of insiders trading,widen the research on EPU,and help to understand the impact of EPU on the most micro-economic activity individuals-people.

关 键 词：经济政策不确定性 内部人交易 超额收益 信息效应 代理效应 

分 类 号：F120[经济管理—世界经济] F832.51