中国资本市场财务私有信息套利的异质性分析

Heterogeneity Analysis of Financial Private Information Arbitrage in Chinese Capital Market

虽然会计准则国际趋同压缩了中国资本市场财务私有信息套利空间,但是操纵性应计利润绝对值与股价同步性之间的关系依然没能呈现显著正相关。实证研究发现,在中国资本市场,曾经被ST的公司相较于业绩长青的公司具有更高的盈余管理水平、更为严重的财务私有信息套利行为,而这种私有信息套利往往存在于正向盈余管理的情形中。据此,投资者应留意曾经ST公司的各种市场消息,判别真伪,提前预判,谨慎投资;监管机构应加强对于曾经ST公司信息披露的持续跟踪和监督,打击各种内幕交易和恶意炒作行为。

Although accounting standards convergence has squeezed the space of financial private information arbitrage, the asso- ciation between the absolute values of discretional accruals and the synchronicity of stock prices is still not significantly positive. The heterogeneity analysis results of this paper show that, in Chinese capital market, ever - ST companies have higher level of earnings management and more severe financial private information arbitrage. Moreover, the private information arbitrage behav- iors exist in circumstances of upper earnings management. According to these results, investors should pay more attention to the information of ever - ST companies, judging carefully, predicting in advance and investing prudently, and governing bodies should continuously track and oversee those ever - ST companies against insider trading and speculation.