减持新规能提升股票定价效率吗?——基于交易预披露视角的分析  

Can the New Regulation on the Reduction of Holdings Improve the Efficiency of Stock Pricing?--An Analysis from the Perspective of Transaction Pre-disclosure

作　　者：潘京臣 蔡曦 顾露露[1] PAN Jingchen;CAI Xi;GU Lulu(School of Finance,Zhongnan University of Economics and Law,Wuhan 430072,China)

机构地区：[1]中南财经政法大学金融学院,湖北武汉430072

出　　处：《大连理工大学学报（社会科学版）》2023年第4期63-72,共10页Journal of Dalian University of Technology(Social Sciences)

基　　金：国家自然科学基金面上项目“海外投资集群化、外部化与‘逆向技术溢出’效应研究——基于信息科技企业的全球价值链分析”(71472187);国家自然科学基金面上项目“中美科技战与企业创新研究:基于被制裁企业的国内供应商视角”(72172158)。

摘　　要：为进一步规范上市公司内部人减持行为,证监会于2017年5月修订实施了减持新规,规定内部人必须预披露减持计划。从内部人交易预披露视角出发,选取2014~2020年沪深A股上市公司数据,建立双重差分模型实证研究了减持新规对股票定价效率的影响。研究发现:减持新规显著提升了上市公司股票定价效率;减持新规主要通过降低信息不对称、促进投资者搜集信息并参与交易来提升股票定价效率。异质性分析发现,减持新规的政策效应在分析师关注和机构投资者持股较低的公司中更强。研究结论表明,进一步完善内部人交易信息披露制度,不仅能有效规范内部人的违规交易,也有利于改善资本市场信息环境,提高市场发展质量。In order to further regulate the reduction of holdings by insiders of listed companies,the China Securities Regulatory Commission revised and implemented a new regulation on the reduction of holdings in May 2017,stipulating that insiders must disclose their holding reduction plans in advance.From the perspective of transaction pre-disclosure,based on the data of A-share listed companies in Shanghai and Shenzhen from 2014 to 2020,a Difference-in-Differences Model is established to empirically study the impact of the new regulation on shareholding reduction on stock pricing efficiency.The results show that the new regulation on reduction of holdings has significantly improved the efficiency of stock pricing,and the regulation mainly improves the efficiency of stock pricing by reducing information asymmetry and encouraging investors to collect information and participate in transactions.Heterogeneity analysis finds that the policy effect of the new regulation on the reducing of holdings is stronger in companies with lower analyst attention and institutional investor ownership.The research concludes that further improving the information disclosure system of insider transactions can not only effectively regulate the illegal transactions of insiders,but also help to improve the information environment of the capital market and improve the quality of market development.

关 键 词：减持新规 定价效率 内部人交易 预披露 

分 类 号：F830.9[经济管理—金融学]