摘要
本文在内部人交易的框架下研究上市公司股东的减持行为。以中信证券为案例的实证分析发现,减持公告有显著为负的市场效应,这说明,市场将减持视为利空信息。多因素分析发现,减持前股东持股比例与公告效应之间具有显著的负相关,这和不对称信息环境中内部人利用未公开信息进行交易获利的假说一致。但是,减持交易的规模与公告效应之间具有正相关,则表明内部人出售股票满足流动性需求的愿望越强烈,公告效应越弱。因此,市场基于对内部人减持动机的判断做出反应。
After the ownership structure reform, many stakeholders began to sell former illiquid shares and these selling activities can be classified as insider trading. Case study based on CITIC Securities （600030） shows that the announcement of insider selling conveys negative information to market and is accompanied by significant negative share price reaction. This is consistent with the hypothesis that insiders use unpublicized information to trade in market with information asymmetry. At the same time, the volume of trade is positively related to the announcement effect which means that with the increase of the tendency to satisfy liquidity need by selling stocks, the negative effect of insider selling will reduced.
出处
《经济管理》
CSSCI
北大核心
2009年第7期122-129,共8页
Business and Management Journal ( BMJ )
基金
中央财经大学211工程三期科研基金项目资助(项目名称:现代金融学科体系的创新与发展)
关键词
减持
不对称信息
流动性需要
insider selling
information asymmetry
liquidity need
