大股东减持与机构投资者交易行为研究

Trading Behavior of Institutional Investors around Major Shareholders' Selling Events

基于2010～2015年间的A股日收益数据和资金流量日度数据，对大股东减持事件前后的机构投资者交易行为进行研究。实证结果表明大股东利用内部人优势精准选择了减持时机，减持前30天超额收益达到2．98％。机构投资者能够利用自身的信息优势提前获取大股东减持的信息，通过大量卖出被减持股票来避免损失。大股东减持意愿越强烈，减持事件前后超额收益越低，机构投资者资金净流出也越多。中小投资者的利益受到了大股东内部人优势和机构信息优势的双重侵害。

By using daily return data combined with daily money flow data in A share market from 2010 to 2015, this paper investigates the trading behaviors of institutional inves- tors around the events of major shareholders＇ selling. Empirical results indicate that major shareholders can do their selling in a timing way because of the privilege of being insiders Furthermore, institutional investors can acquire private information about the selling events before their formal publication and sell these stocks. If the major shareholders have stronger incentive to sell their holdings, the institutional investors will sell more such stocks. Unin- formed investor＇ s interest is violated by both the major shareholders and institutional inves- tors.