我国创业板上市公司高管和大股东减持股份的动因及后果——从风险偏好转向风险规避的“偏好逆转”行为研究

On Motives and Consequences of Executive and Large Shareholder Stock Sales in ChiNext Stock Market The Empirical Study of the Risk Preference Change from Risk-take to Risk-averse

创业板公司高管和大股东不断减持其股份套取现金,引发诸多争议。本文从财务绩效、股权结构、市场态势、减持后果等方面研究高管和大股东的减持套现行为。研究发现:第一,无论如何,大股东和高管面对高额收益,具有强烈的减持动机;第二,在高管减持过程中,其减持比例与公司成长性成反比,并具有明显的择机特征;第三,在大股东减持过程中,其减持比例与公司盈利能力及资产质量成反比,但与股价高低无关,表明无论股价高低,其仍然减持套现获取高额收益;第四,第一大股东对其他大股东与高管的减持行为无制约作用;第五,高管和大股东的减持行为导致市值下降,造成投资者损失。尽管公司的成长性和盈利能力对高管和大股东减持具有一定抑制作用,但面对巨额的确定性收益,其选择了减持套现以规避风险,表明具有冒险和创业精神的创业板上市公司的高管和大股东从风险偏好转向风险规避。

Insider trading is one of most debatable topics. Whether it helps or destroys the efficiency of the market remains a question. Recently, stock sales by executive and large shareholder in ChiNext Stock Market caused many controversies. By December, 2011, the total amount of the stock sales by the insiders（ the executives and large shareholders）was more than 541 million shares. One of the most surprising events was the stock sales car- ried out by the executive of Lepu Medical on March 23ra, 2011. This event consists of a stock sale of 15 million shares of the firm, valued 409 million RMB. The executives and large shareholders are supposed to be highly moti- vated and passionate in this market which is d However, they chose to cash in their holdings, esigned to cultivate their fast growing and innovative enterprises. disregarding the finn＇s value, financial growth, performance and ownership structure. Are these actions a rational decision or not？ Therefore, this paper attempts to study this abnormality with the following questions in mind： Are executives and large shareholders on the ChiNext market highly motivated toward their stock sales？ What are the reasons be- hind their stock sales？ What are the consequences of their stock sales？ With an effort to solve these puzzles, this paper further examines whether insiders can earn abnormal returns by analyzing the immediate market reaction be- fore and after their transactions. By using cumulative abnormal return （CAR）model, we examine the returns before and after 15 days the stock sales, and, thus, the consequences of these stock sales can verified. In addition, we study the impacts of firm＇s financial performance, ownership structure, and market performance on these transac- tions. The model for examining these effects is also constructed. One of the improvements we made for this model is to use principal components analysis to construct indexes to comprehensively measure growth, profitability, cash generation and operating risk for each firm in the sample. We also incorporate event study into our design. We conclude with the following findings： First, the motivation of selling stocks by either executive or large shareholder is highly significant. Second, only the executives have better timing ability to sell their stocks, and their sales are negatively related to their firms＇ financial growth. Third, the abnormal return of stock sales by the ex- ecutives is higher than that by the large shareholders. The average 30-day cumulative abnormal return for executives and large shareholder are 2.46% and -0. 02% , respectively. Fourth, large shareholder stock sales are negatively related to their firms＇ financial growth and quality. Moreover, both of their sales are not affected by the current stock prices. Fifth, the top shareholders＇ holdings affect neither executive nor large shareholder sales. Lastly, both of their sales cause a decrease in the market value of their finns significantly, and the large shareholder＇s stock sales would cause a greater impact on the market（ the CAR value dropped - 1.26% for executives and - 1.63% for large shareholders）. The pattern of cumulative abnormal returns before and after 15 days of the stock sales follows an inverse ＂U＂ shape. These findings, confirmed with Kahneman＇s Prospective Theory, prove that when the execu- tives and large shareholders face enormous amount of returns that are relatively certain, they tend to be conservative about their choices which result in selling of their stocks. This shows that their preferences have been changed from risk-take to risk-averse. In response to these abnormalities, we give the following suggestions for policy considerations ： First, lower the stock holdings of the executives before firm＇s initial public offering to reduce the chance and impact of their stock sales. Second, increase competition for control, forcing the executive and the large shareholder to restrict each other＇s stock sales. Third, limit the sales of executives and large shareholders by extending the lock-up period. Fourth, strengthen audit policies by emphasizing on the importance of firm＇s sustainable financial growth and per- formance. Lastly, develop a strict delisting mechanism to create greater pressure on the firms with an effort to im- prove their financial and managerial quality.