论文部分内容阅读
本文用2007—2011年中国A股上市公司内部人交易的数据,研究了高管、机构投资者和大股东买卖本公司股票的行为与公司信息环境的关系。以盈余质量、分析师跟踪人数和股价波动性衡量信息环境,我们发现信息不对称程度更高时,内部人交易的获利能力更强。进一步研究发现,上述结论只在内部人净卖出、高管交易以及中小板和创业板交易时才成立。研究结果表明,我国上市公司的内部人(主要是高管)拥有信息优势,能够利用私有信息获得超额收益;这种优势在信患环境更差时更明显。
Based on the data of insider trading of Chinese A-share listed companies from 2007 to 2011, this paper studies the relationship between the behavior of senior management, institutional investors and major shareholders in buying and selling the shares of the Company and the environment of corporate information. Measuring the information environment based on earnings quality, analyst tracking and stock price volatility, we find that insider trading is more profitable when information asymmetry is higher. Further research found that the above conclusion only in the net insider selling, executives and small plates and GEM transactions was established. The results show that insiders (mainly executives) in our listed companies have the advantage of information and can use private information to gain excess returns. This advantage is more obvious when the environment of credit suffers worse.