信息泄露与机构投资者信息发现优势——来自中国上市公司资产注入的证据

Information Leaking and Information Discovery Advantage of Institutional Investors——Evidence from Asset Injection of Listed Companies of China

机构投资者主要存在两种信息优势,一种是抢先私有信息发现优势,另一种是对公开信息的解释优势;已有文献更多的是关注机构投资者对公开信息的解释优势,此处用从分笔高频交易数据库中分离出机构投资者交易记录的方法,利用一组特殊的样本———资产注入;探讨了机构投资者的抢先私有信息发现优势,发现信息泄露主要由机构投资者的私有信息引起,机构投资者在事件公告前超常买入,并引起了公告前股票价格的变化;为个人投资者的投资行为提供了预警和为证监会的监管提供了借鉴。

Institutional investors mainly have two kinds of information advantage,one is private informationdiscovery advantage in advance and the other is interpretation advantage of public information. The existedliterature mostly concerns about the interpretation advantage of public information of institutional investors. Throughseparating transaction records of institutional investors from high-frequency transaction database for per account andby using a special group of samples of asset injection,this paper discusses private information discovery advantageof institutional investors in advance and reveals that information leaking is chiefly caused by private information ofinstitutional investors and that institutional investors extraordinarily purchase before asset injection disclosure,whichlead to the change of stock price. This paper provides early warning for investment behaviors of individual investorsand provides reference for the management of China Securities Regulatory Commission.