大股东交易对市场定价效率的促进——基于错误定价与成长性驱动交易的视角

Can Large Shareholder Trades Improve Stock Pricing Efficiency?

中国证券市场发生了一系列制度性变革后,大股东在二级市场上的交易越来越普遍。他们的交易行为能否提高市场的定价效率、使公司股票价格反应更多关于企业未来成长性的信息?通过对2006年下半年至2009年底中国证券市场上发生的大股东交易事件为样本的实证研究发现,(1)大股东交易行为与公司股票定价错误有关,价值高估时大股东净买入率低,价值低估时净买入率则高;(2)大股东净买入率与企业成长性显著正相关,当企业未来发展前景很好时,大股东的买入行为显著多于卖出行为。上述研究结果表明,大股东参与市场交易能促使股票价格向内在价值回归,使价格反映出更多关于企业未赖成长性的信息。

Large shareholder trades at open-markets become more and more prevail after a series of institutional reforms in China＇s capital market.Can these trades improve stock pricing efficiency and incorporate more information on firms＇ prospects？ Through empirical analysis using the sample of large shareholder trades occurring in China＇s capital markets from July 1,2006 to December 31,2009.We find that the large shareholder trades negatively correlate with the deviation of the firm＇s market value from its true value,whether the deviation arises from industry-level misevaluation or firm-specific misevaluation.We also find that the net buying rate of the large shareholder trades are positively related to the corporate growth,that is,when the future of an enterprise is promising,big shareholders are more likely to buy than to sell.All these findings suggest that large shareholder trades will push prices towards fundamental value and incorporate more information about the firm＇s prospects.