上市公司内部人真的具有择时能力吗——由实证检验到理论猜想  

Do Insiders Really Have the Ability to Choose the Right Time:From an Empirical Test to Theoretical Conjecture

作　　者：丁志国[1] 张宇晴[1] 赵晶[2] DING Zhi-guo;ZHANG Yu-qing;ZHAO Jing

机构地区：[1]吉林大学商学与管理学院,长春130012 [2]东北师范大学经济与管理学院,长春130117

出　　处：《吉林大学社会科学学报》2022年第2期68-81,236,共15页Jilin University Journal Social Sciences Edition

基　　金：国家社会科学基金青年项目(19CJY060)。

摘　　要：上市公司内部人是否能够利用内部信息进行择时交易并获取超额收益,关乎市场公平,一直都是学术界和实务界关注的热点问题。基于2006—2019年沪深A股上市公司股东减持交易的实证研究发现:内部人整体上不但没有获得超额收益,而且收益均值明显低于外部投资者,内部人整体上并不具有择时能力;不同类型内部人的超额收益存在显著差异,实际控制人获得的超额收益最高,短期显著为正但长期出现反转,而高管的超额收益最低且始终为负。理论猜想认为:内部信息给上市公司内部人带来的不是择时能力而是估值偏差,不同内部人主体的差异来自估值的空间效应,实际控制人的超额收益并非源于内部信息带来的择时能力,而是来自减持行为本身给市场带来的信息冲击效应。研究结论能够既帮助投资者提高投资决策的科学性,也能够为政府主管部门监管内部人交易提供理论依据和数据支持。It has been a hot issue in academic and in practice whether insiders can make use of internal information to trade at the right time and obtain excess returns,which is related to market fairness.Based on the empirical research of shareholders’ reduction of A-share listed companies in Shanghai and Shenzhen Stock Exchange from 2006 to 2019,we find that,on the whole,insiders did not obtain excess returns,and their average returns were significantly lower than external investors instead.The finding indicates that insiders did not really possess the ability of timing.There are significant differences in the excess return of different types of insiders.Actual controller has the highest excess return,which is significantly positive in the short term but reverse in the long term,while the executive has the lowest excess return,which is always negative.Theoretical conjecture holds that what internal information brings to insiders is not timing ability but valuation deviation,and short-sighted behavior and liquidity are not the reasons for the w rong timing choice of insiders to reduce their holdings.The difference between insiders comes from the spatial effect of valuation.The excess returns of actual controller are not from timing ability brought by internal information,but from the information impact effect brought to the market by the reduction behavior itself.The conclusion can help investors make decisions more scientifically,and provide theoretical basis and data support for the government to supervise insider trading.

关 键 词：内部人 股票减持 择时能力 信息优势 估值偏差 

分 类 号：F832.51[经济管理—金融学] F275