上市公司信息环境与内部人交易

Information Environment and Insider Trading

本文用2007—2011年中国A股上市公司内部人交易的数据，研究了高管、机构投资者和大股东买卖本公司股票的行为与公司信息环境的关系。以盈余质量、分析师跟踪人数和股价波动性衡量信息环境，我们发现信息不对称程度更高时，内部人交易的获利能力更强。进一步研究发现，上述结论只在内部人净卖出、高管交易以及中小板和创业板交易时才成立。研究结果表明，我国上市公司的内部人（主要是高管）拥有信息优势，能够利用私有信息获得超额收益；这种优势在信息环境更差时更明显。

Using insider trading data of Chinese listed firms from 2007 to 2011, we in vestigate the impact of information environment on insider trading profits. Measuring infor- mation environment by earnings quality, analyst following and stock return volatility, we find a positive relation between information asymmetry and insider excess gains. Further evidence implies that the above result only exists when insiders sell more （net sales）, managers trade, and insiders trade in SME board as well as GME hoard. We conclude that insiders, especially managers in Chinese listed firms have private information and can earn more in a firm with worse information environment.