高管及其亲属买卖公司股票时“浑水摸鱼”了?——基于信息透明度对内部人交易信息含量的影响研究

Do Executives and Their Relatives Fish in Troubled Water when Trading Their Own Companies' Stocks?An Empirical Study on the Influence of Information Transparency on Insider Trading's Informativeness

本文以2007-2011年"深交所"主板和中小板公司的内部人交易为研究对象,采用"深交所"信息披露考评结果和公司盈余管理水平来衡量信息透明度,并检验了其对公司高管及其亲属交易的信息含量的影响。研究发现:低信息透明度的公司高管交易获得了显著的超常回报,而高信息透明度的公司高管交易无显著的超常回报,且公司信息透明度的好转(或恶化)能显著降低(或提高)高管交易的信息含量;但是,信息透明度对高管亲属的交易回报无显著影响,所有公司高管亲属的交易均获得了显著超常回报。这表明,公司高管可能主要是基于其对公司未来中长期业绩的预测优势进行交易,而高管亲属更可能是利用其拥有的尚未公开的重大信息进行交易。为此,建议监管部门应该致力于上市公司信息质量的提高,以减少高管在交易时"浑水摸鱼"的机会,并警惕高管亲属进行内幕交易。

Based on a sample of insider trading of companies listed on Shenzhen's main board and SME board from 2007 to 2011,this paper regards Shenzhen Securities Exchange'srating of information disclosure and earnings management level as proxies of information transparency and tests the effect of information transparency on the informativeness of the trading of executives and their relatives,namely medium-term and long-term returns.It comes to the following conclusions:the trading of executives with low information transparency could lead to significant abnormal returns,but executives with high information transparency could not;and the increase/decrease in corporate information transparency could enhance/weaken the informativeness of executive trading;however,information transparency has no significant effect on the trading returns of executives' relatives and the trading of all executives' relatives results in substantial abnormal returns.The results implicate that executive trading may be mainly based on their superiority of forecast of future medium-term and long-term corporate performance,while relative trading perhaps is more based on nonpublic inside information.It suggests that market regulators should devote to advance information quality of listed companies to decrease insiders' opportunity to fish in troubled water when trading their companies' stocks and take precaution against relatives' insider trading.