摘要
内部人交易既可以向市场传递公司内在价值和业绩前景信息,也可以凭借其信息优势获取超额收益。本文以2007—2020年A股上市公司为样本,实证检验了内部人交易与股票错误定价的关系。研究发现,内部人交易的信息效应能够有效缓解资本市场上的股票错误定价,且这种作用在股价高估组和内部人卖出组表现更为显著。路径检验发现,内部人交易通过提升信息透明度和改善投资者情绪两条途径缓解了股票错误定价程度。进一步研究发现,董事会成员和有政府履历的内部人交易具有更强的信息效应,而存在股权质押与多个大股东则削弱了内部人交易对股票错误定价的缓解作用。研究结果表明,内部人交易传递的私有信息有利于改善市场定价效率,对内部人交易加强监管的同时,提高内部人交易信息披露,有利于提升我国资本市场定价效率。
Insider trading can not only transmit the information of the company’s intrinsic value and performance prospect to the market, but also obtain excess returns by virtue of its information advantage. Taking a-share listed companies from 2007 to 2020 as samples, this paper empirically examines the relationship between insider trading and stock mispricing. The results show that the information effect of insider trading can effectively alleviate stock mispricing in the capital market, and this effect is more significant in the group of stock price overvaluation and the group of insider selling. The path test shows that insider trading alleviates stock mispricing by enhancing information transparency and improving investor sentiment. Further research shows that insider trading with board members and government experience has stronger information effect, while stock pledge and multiple major shareholders weaken the moderating effect of insider trading on stock mispricing. The results show that the private information delivered by insider trading is conducive to not only improving the pricing efficiency of the market and strengthening the supervision of insider trading, but also improving the pricing efficiency of China’s capital market with the disclosure of insider trading information.
作者
王生年
曾婉慧
WANG Shengnian;ZENG Wanhui
出处
《暨南学报（哲学社会科学版）》
CSSCI
北大核心
2022年第11期105-122,共18页
Jinan Journal(Philosophy and Social Sciences)
基金
国家自然科学基金项目“分析师关注与资产定价效率——基于会计异象的视角”(71862029)。
关键词
内部人交易
股票错误定价
信息透明度
投资者情绪
insider trading
mispricing of stocks
information transparency
investor sentiment
