资产定价的信息弯曲效应——基于内部人减持的经验证据

Information Bending Effect of Asset Pricing:Based on the Empirical Evidence of Insiders'Holdings Reduction

由于所拥有信息的类型和数量存在差异,交易主体间的投资逻辑表现为异质性,导致资产定价偏差,因此即使是内部人交易,也并不能够总是获得超额收益。基于2006—2020年中国上市公司内部人减持数据,研究内部人交易过程中的资产定价偏差信息弯曲效应。将内部信息细分为决策信息和经营信息两种类型,在此基础上研究发现,资产定价过程存在信息弯曲效应。即内部经营信息会产生负向资产定价偏差,而决策信息则具有正向的纠正作用;资产定价的信息弯曲效应,受环境不确定性、信息透明度和机构投资者持股比例等因素的显著影响;短期内外部投资者对内部人减持行为反应强烈,但长期来看这种由内而外的定价偏差会被纠正。研究结论在理论方面从内部信息的视角考察资产定价机制,丰富了资产定价的研究框架;在实践方面从定价偏差的科学角度解释了内部人减持异象,能够为提高资本市场信息效率提供重要的理论依据和数据支持。

Due to the differences in the types and amount of information owned,the investment logic among transaction entities is heterogeneous,leading to asset pricing deviation.Therefore,even insiders cannot always obtain excess returns in transactions.Based on the insiders'reduction data of listed companies in China from 2006 to 2020,the asset pricing deviation—information bending effect in insiders'transactions is studied.The internal information is subdivided into two types:decision-making information and business information,and on this basis,it is found that there is an information bending effect in the asset pricing process.That is,the internal business information may lead to negative asset pricing deviation,while the decision-making information has the effect of correcting pricing deviation.The information bending effect of asset pricing is significantly affected by environmental uncertainty,information transparency and institutional investors'shareholding ratio.Further research finds that external investors have a strong reaction to insiders'holdings reduction in the short turn,but in the long run,this kind of pricing deviation will be corrected from the inside out.The research conclusions examine the asset pricing mechanism from the perspective of internal information in theory,and enrich the research framework of asset pricing.In practice,the vision of insiders'reduction is explained from the scientific perspective of pricing deviation,which can provide important theoretical basis and data support for improving the information efficiency of the capital market.