高管增持的市场效应存在非理性因素的实证检验

Empirical Test of Non- rationality Reaction in Market from Top Managers' Increasing Ownership

该文通过事件研究方法,运用2013年我国A股上市公司高管内部人交易的股票数据,实证检验了高管增持的市场反应.研究发现,在高管增持公告的当天和后两天内,所增持股票实现了显著为正的异常收益,而第三天的异常收益为负,但在此之后还存在显著为正的异常收益.这一实证发现暗示,我国外部投资者面对高管增持交易时,可能存在非理性行为.

The event study method was used in this paper to investigate the market reaction from top managers′increasing ownership of stocks in Chinese A share stock market in 2013 . The findings are that stocks bought by top managers exhibit positive abnormal return in the day when the announcements are released and in the following two days. However,such stocks generate significantly negative abnormal return after that time. Our findings imply that non-rationality does play a role in the market reaction from top managers′increasing ownership.