創(chuàng)業(yè)板高管減持行為研究
發(fā)布時間：2018-08-25 08:25
【摘要】：自創(chuàng)業(yè)板首批公司上市交易以來,出現(xiàn)大量高管減持,引起各方關(guān)注。本文以創(chuàng)業(yè)板高管減持行為為研究對象。從內(nèi)部人交易的角度出發(fā),兩方面研究創(chuàng)業(yè)板高管減持是否利用了內(nèi)部消息。首先通過高管減持的動因研究高管在進(jìn)行減持決策上是否擁有外部投資者所沒有的信息優(yōu)勢,對公司進(jìn)行價值判斷；其次通過交易日前后的累計超常收益研究高管是否利用私有信息精準(zhǔn)選擇減持時機(jī)。通過對創(chuàng)業(yè)板高管減持動機(jī)進(jìn)行分析,發(fā)現(xiàn)我國創(chuàng)業(yè)板高管憑借對公司未來發(fā)展前景的信息優(yōu)勢進(jìn)行選擇性減持,發(fā)展前景差的公司很有可能成為減持對象。股權(quán)集中度高的公司高管減持意愿較強(qiáng)。通過對創(chuàng)業(yè)板高管減持時交易前后短窗口的研究發(fā)現(xiàn),高管減持股票時表現(xiàn)出非常強(qiáng)的時機(jī)把握能力,減持前后累計超常收益呈現(xiàn)出先升后降的倒V形狀,累計超常收益在[-20,-1]和[0,-20]期間分別高達(dá)4.65%和-0.32%,交易日當(dāng)天的超常收益顯著為正,且賣出當(dāng)天的平均累計超常收益高于交易目前后20日內(nèi)任意一天的超常收益,可見創(chuàng)業(yè)板高管在交易中確實(shí)利用了內(nèi)部消息,進(jìn)行了精準(zhǔn)的時機(jī)選擇。研究結(jié)果不支持信息層級假說,即高管的職位對他們通過內(nèi)部信息獲得超常收益沒有顯著影響。上述發(fā)現(xiàn)對投資者改進(jìn)交易策略具有重要作用,聰明的外部投資者可以通過觀察高管的交易行為來調(diào)整自己的投資策略。高管的減持決策傳達(dá)了公司前景不佳的信號,高管交易的超常收益表明如果高管利用內(nèi)部信息選擇交易時機(jī),獲取較穩(wěn)定的超常收益,說明他們的交易包含重要的信息量。研究結(jié)果同樣對監(jiān)管部門評估現(xiàn)行監(jiān)管政策的有效性及調(diào)整監(jiān)管強(qiáng)度具有重要啟示意義。高管通過交易獲得豐厚超常收益,往往說明存在大量普遍甚至非法地利用內(nèi)部信息交易,而這表明交易監(jiān)管的有效性較差,市場交易的不公平性問題嚴(yán)重,監(jiān)管機(jī)構(gòu)應(yīng)通過強(qiáng)化及時披露、嚴(yán)懲內(nèi)幕交易等方式,采取更為嚴(yán)厲的管制措施,減少高管利用內(nèi)部信息獲得超常收益。
[Abstract]:Since the first batch of companies listed on the gem, there have been a large number of senior management reduction, causing concern. This article takes the gem executive reduction behavior as the research object. From the perspective of insider trading, two aspects of the gem executives to reduce the use of internal information. First of all, through the motivation of executive reduction, the paper studies whether the executives have the advantage of information that external investors do not have in the decision of reducing their holdings, and makes a value judgment on the company. Secondly, through the accumulated extraordinary income before and after trading day, the executives use private information to select the timing of reduction. Through the analysis of the motivation of gem executives' reduction, it is found that the gem executives of our country can reduce their holdings selectively on the basis of the information advantages of the company's future development prospects, and the companies with poor development prospects are likely to be the objects of reduction. High degree of equity concentration of the company executives have a strong willingness to reduce their holdings. Through the research on the short window before and after trading when the gem executives reduce their holdings, it is found that the senior executives show a very strong ability to grasp the opportunity when they reduce the stocks, and the accumulated extraordinary returns before and after the reduction show the inverted V shape of first rising and then descending. The accumulative extraordinary returns are as high as 4.65% and -0.32 in [-20] and [0 ~ (-20)] periods, respectively. The abnormal returns on the trading day are significantly positive, and the average accumulated extraordinary returns on the day of sale are higher than those on any day within 20 days after the current trading, Visible gem executives in the transaction did use internal information, accurate timing. The results do not support the information hierarchy hypothesis that executives' positions have no significant impact on their extraordinary returns through internal information. The findings play an important role in improving trading strategies, and smart external investors can adjust their investment strategies by observing executives' trading behavior. The decision to reduce the holding of senior executives sent a signal that the company's prospects are not good. The extraordinary returns of executive transactions indicate that if executives use internal information to select trading opportunities and obtain more stable abnormal returns, it means that their transactions contain important amounts of information. The results also have important implications for regulators to evaluate the effectiveness of current regulatory policies and adjust the intensity of supervision. Executives gain extraordinary profits through trading, often indicating that there are a large number of widespread or even illegal use of internal information transactions, and this shows that the effectiveness of transaction regulation is poor, and the market trading unfairness problem is serious. Regulators should take tougher controls by stepping up timely disclosure and punishing insider trading so as to reduce executives' use of internal information for extraordinary returns.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F275
本文編號：2202320
[Abstract]:Since the first batch of companies listed on the gem, there have been a large number of senior management reduction, causing concern. This article takes the gem executive reduction behavior as the research object. From the perspective of insider trading, two aspects of the gem executives to reduce the use of internal information. First of all, through the motivation of executive reduction, the paper studies whether the executives have the advantage of information that external investors do not have in the decision of reducing their holdings, and makes a value judgment on the company. Secondly, through the accumulated extraordinary income before and after trading day, the executives use private information to select the timing of reduction. Through the analysis of the motivation of gem executives' reduction, it is found that the gem executives of our country can reduce their holdings selectively on the basis of the information advantages of the company's future development prospects, and the companies with poor development prospects are likely to be the objects of reduction. High degree of equity concentration of the company executives have a strong willingness to reduce their holdings. Through the research on the short window before and after trading when the gem executives reduce their holdings, it is found that the senior executives show a very strong ability to grasp the opportunity when they reduce the stocks, and the accumulated extraordinary returns before and after the reduction show the inverted V shape of first rising and then descending. The accumulative extraordinary returns are as high as 4.65% and -0.32 in [-20] and [0 ~ (-20)] periods, respectively. The abnormal returns on the trading day are significantly positive, and the average accumulated extraordinary returns on the day of sale are higher than those on any day within 20 days after the current trading, Visible gem executives in the transaction did use internal information, accurate timing. The results do not support the information hierarchy hypothesis that executives' positions have no significant impact on their extraordinary returns through internal information. The findings play an important role in improving trading strategies, and smart external investors can adjust their investment strategies by observing executives' trading behavior. The decision to reduce the holding of senior executives sent a signal that the company's prospects are not good. The extraordinary returns of executive transactions indicate that if executives use internal information to select trading opportunities and obtain more stable abnormal returns, it means that their transactions contain important amounts of information. The results also have important implications for regulators to evaluate the effectiveness of current regulatory policies and adjust the intensity of supervision. Executives gain extraordinary profits through trading, often indicating that there are a large number of widespread or even illegal use of internal information transactions, and this shows that the effectiveness of transaction regulation is poor, and the market trading unfairness problem is serious. Regulators should take tougher controls by stepping up timely disclosure and punishing insider trading so as to reduce executives' use of internal information for extraordinary returns.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F275
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