信息型市场操纵与财富转移效应研究——基于上市公司内部人减持的视角

Information-based Market Manipulation and Wealth Transfer Effect: Evidence from Insiders’ Shares Selling

首例信息型市场操纵的刑事案件"徐翔案"于2017年判决,具有里程碑意义。与传统的短线操纵不同,信息型市场操纵涉及上市公司与二级市场机构的联合操纵,操纵者利用信息发布与传播,配合公司行动连续交易,联合操纵股价,炒作持续时间更长、影响范围更广,更容易诱使大量资金跟风交易,因而更有可能发生财富转移。由于减持是现阶段上市公司重要股东实现财富转移的主要渠道,文章基于内部人减持视角,系统研究了信息型市场操纵与财富转移的行为特征、动机与经济后果。研究发现,内部人减持期间存在明显的信息操纵迹象,主要方式包括减持前发布"高送转""业绩预增""并购重组"等利好信息;操纵的动机是为了精准刺激股价,掩护操纵者高位减持套现,实现财富转移效应最大化;经济后果是企业经营秩序受到严重破坏,产业资本加速脱离实体经济。文章还从减持预谋、反向交易和利好信息的欺诈属性三个维度揭示了上述行为的市场操纵本质。文章为研究资本市场交易行为如何影响实体经济提供了新证据,对于完善上市公司股份减持制度和实现资本市场高质量发展具有重要启示。

Recently,a large number of cases show that information-based market manipulation has become a serious problem in China’s capital market.Information-based market manipulation involves the distribution of information as a mean of boosting stock prices.Different from traditional market manipulation,information-based market manipulation involves both listed companies and institutional investors in the secondary market.Institutional investors usually collude with executives from listed companies to disseminate information to boost share prices before dumping their holdings.Information-based market manipulation has longer-term and wider-ranging effects on the stock market,which is more likely to mislead market participants and wealth transfer.Prior research indicates that insiders time their trades strategically around voluntary disclosures to maximize their wealth.However,there is little evidence to show the association between information-based market manipulation and wealth transfer.This is the question we want to examine in this paper.Instead of treating voluntary disclosures as exogenous,we consider information disclosure as a strategic plan that allows insiders to profitably trade in their companies’stocks.Specifically,we investigate whether managers change the timing or content of information disclosure in response to insider trading considerations.Using insider selling activities in China’s A-share market between 2008 and 2016,this paper examines the effect of information-based market manipulation and wealth transfer,including its characteristics,motivation and economic consequences.Empirical analysis shows that information-based market manipulation happens during insider selling,as shown by the distribution of good news and abnormal stock price movements.The motivation of information-based market manipulation is wealth transfer.Taking advantage of the release of misleading good news,insiders sell their shares when stock prices go up.Insider selling activities cannot be explained by liquidity improvement as insiders would buy these stocks when stock prices go down.As to economic consequences,stock prices continue to fall and the future performance get worse after informationbased market manipulation.This reflects that the distribution of good news during insider selling tends to deceive investors.The contribution of this paper is threefold.Firstly,it reveals a new path that the captical market may affect the real economy.We find that managers may distort companies’production and operation activities in order to sell their shares at a high price.Secondly,it expands the existing literature on market manipulation by studying the relationship between information-based market manipulation and wealth transfer during the period of insiders’shares selling.This paper is the first empirical study on information-based market manipulation based on big data in China,which supplements the existing literature mainly based on case analysis or theoretical analysis.Thirdly,the results show that information disclosure arbitrage may be the root of market mispricing,which provides new evidence for the debate and reasons about the divergence between the virtual economy and the real economy.The findings of this paper also have important implications for the regulation of information-based market manipulation and insider trading.