本文關(guān)鍵詞： 內(nèi)部人交易 時機選擇能力 所有權(quán)結(jié)構(gòu) 信息不對稱 公司治理　出處：《暨南大學(xué)》2014年博士論文　論文類型：學(xué)位論文

【摘要】：從2006年起我國監(jiān)管部門允許上市公司的內(nèi)部人（公司的董事、監(jiān)事、高級管理者及持有一定比例股份的大股東）在二級市場上買賣自己公司的股票，同時要求公司的內(nèi)部人按規(guī)定及時披露交易信息，并通過限制短線交易、設(shè)置內(nèi)部人交易敏感期等一系列法規(guī)，進一步完善了我國證券市場的上市公司信息披露制度。盡管我國的監(jiān)管部門針對內(nèi)部人交易已經(jīng)建立起較為完善的法律法規(guī)，但是在我國目前經(jīng)濟制度背景下，內(nèi)部人交易是否能利用自己的信息優(yōu)勢獲得超額收益？內(nèi)部人交易超額回報的高低受到哪些因素的影響？內(nèi)部人交易超額回報的形成是否為內(nèi)部人控制權(quán)私利的表現(xiàn)形式之一？我國資本市場的公司治理機制，特別是所有權(quán)特征在其中起到什么樣的作用？這些問題重要而富有爭議，因此成為本文的研究主題。 本文以滬深交易所披露的2006~2012年的內(nèi)部人交易數(shù)據(jù)為樣本，以內(nèi)部人交易的時機選擇能力為研究起點，檢驗了我國上市公司內(nèi)部人交易超額收益獲取能力及市場擇時能力的存在性；通過實證檢驗信息不對稱與內(nèi)部人交易超額收益的關(guān)系、公司停牌事件與內(nèi)部人交易超額收益的關(guān)系，發(fā)現(xiàn)內(nèi)部人利用內(nèi)幕信息獲利的證據(jù)，證明了內(nèi)部人交易的控制權(quán)私利的性質(zhì)。公司治理水平低下是內(nèi)幕交易形成的重要環(huán)境因素，因此文章最后從所有權(quán)結(jié)構(gòu)的角度分析并驗證了公司治理對內(nèi)部人交易的影響。文章的主要結(jié)論如下： 1．與國外研究結(jié)論類似，，我國內(nèi)部人交易以賣出為主，賣出交易次數(shù)約為買入次數(shù)3倍；在內(nèi)部人交易超額收益方面，發(fā)現(xiàn)內(nèi)部人的賣出比買入更顯著，可能與我國制度因素有關(guān)；內(nèi)部人買入交易的超額收益與隨后兩期的業(yè)績顯著相關(guān)，這說明內(nèi)部人買入利用了公司估值信息優(yōu)勢；內(nèi)部人買入交易的超額收益與管理層的薪酬水平顯著負相關(guān)，內(nèi)部人的薪酬水平是其買入的影響因素之一；從證券市場不同板塊特點看，發(fā)現(xiàn)近80%的內(nèi)部人交易發(fā)生在深圳市場，其中中小板的交易量占所有交易量的50%，中小板公司內(nèi)部人交易行為非常突出，這可能與民營上市公司的股權(quán)性質(zhì)、負債水平、融資渠道等諸多因素有關(guān)。 2．根據(jù)內(nèi)幕交易形成機制分析，內(nèi)部人具有信息優(yōu)勢，在條件合適（公司治理環(huán)境差）情況下，內(nèi)部人可能利用重大信息公告的契機，買賣公司股票獲利。文章檢驗了公司信息不對稱與內(nèi)部人交易獲利的關(guān)系，發(fā)現(xiàn)信息環(huán)境越透明，公司內(nèi)部人交易的超額收益越低。在公司重大信息公告與內(nèi)部人交易獲利關(guān)系方面，通過分析短窗口期間內(nèi)部人交易的超額收益與公司停牌事件的聯(lián)系，發(fā)現(xiàn)在內(nèi)部人交易前后1個月日歷時間，40%的公司發(fā)生了停牌，即全年1/6的交易時間內(nèi)，2/5的公司發(fā)生了停牌事件，這說明了內(nèi)部人交易與公司停牌事件的密切聯(lián)系；進一步分析，相比沒有停牌的公司，窗口期[-20，20]內(nèi)停牌公司的買入、賣出累計超額收益顯著高；在內(nèi)部人交易后不久即發(fā)生停牌的公司（即窗口期[0，20]）其賣出累計超額收益更高。這些證據(jù)說明了我國內(nèi)部人利用內(nèi)幕信息獲利的控制權(quán)私利性質(zhì)。 3．所有權(quán)結(jié)構(gòu)對內(nèi)部人交易影響：在所有權(quán)性質(zhì)方面，國有企業(yè)與民營企業(yè)相比買入意愿低，但買入交易的超額收益高；對于賣出交易，國有企業(yè)與民營企業(yè)的賣出意愿無明顯差別，國有企業(yè)的賣出超額收益更高。在股權(quán)集中度方面，發(fā)現(xiàn)股權(quán)高度集中公司賣出交易的超額收益也越高，股權(quán)高度集中的國有公司買入意愿更強，這體現(xiàn)了大股東的控制權(quán)私利性質(zhì)；內(nèi)部人交易與兩權(quán)（現(xiàn)金流權(quán)、控制權(quán)）分離度的關(guān)系方面，發(fā)現(xiàn)兩權(quán)分離度越大，內(nèi)部人買入意愿、賣出意愿越強烈，說明兩權(quán)分離度越大的公司代理問題越嚴重。股權(quán)制衡類指標，反映第2-10大股東相對控股股東持股比例越高，內(nèi)部人買賣意愿越低，說明第2-10大股東有制衡大股東的作用。 本文研究的貢獻在于： 1．通過檢驗公司信息環(huán)境（或者信息不對稱）與內(nèi)部人交易超常收益的關(guān)系，對內(nèi)部人交易超額收益的形成原因給出解釋。 2．將公司的停牌事件與內(nèi)部人交易事件結(jié)合，為內(nèi)部人交易利用內(nèi)幕信息獲取超額收益提供了新的證據(jù)。 3．從公司所有權(quán)結(jié)構(gòu)這一治理本質(zhì)特征出發(fā)，從所有權(quán)性質(zhì)、股權(quán)集中度、兩權(quán)（現(xiàn)金流權(quán)、控制權(quán)）分離度、所有權(quán)制衡等多個角度，深入全面研究了所有權(quán)與內(nèi)部人交易的關(guān)系。 4．本文的研究為新興市場國家內(nèi)部人現(xiàn)象和公司治理的研究提供了有意義的國際比較參考。
[Abstract]:China's regulatory authorities to allow the company insiders from 2006 (the company's directors, supervisors, senior managers and holding a certain proportion of shares of major shareholders) the sale of their own company in the two stock market at the same time, ask the company according to the provisions of timely disclosure of insider trading information, and by limiting short-term trading, set up internal the transaction sensitive period and a series of laws and regulations, to further improve the information disclosure of Listed Companies in China's securities market system. Although China's regulators for insider trading has established relatively perfect laws and regulations, but in China's current economic system background, whether insider trading can use their information advantage over return? Insider trading excess returns the level of the factors which influence the formation of insider trading? Whether excess returns form internal gain control One of them is the mechanism of corporate governance in China's capital market, especially the role of ownership.
Insider trading data of 2006~2012 based on the Shanghai and Shenzhen Stock Exchange disclosure as sample to insider trading timing ability as the research starting point, to test the existence of insider trading in China's listed companies to obtain excess returns ability and market timing ability; experience relationship between information asymmetry and insider trading excess returns through empirical examination the company suspended, relationship between events and insider trading for excess returns, found using the insider information from the evidence, that the nature of insider trading of privatebenefits. Low level of corporate governance is an important environmental factor in the formation of insider trading, so the article from the perspective of ownership structure to analyze and verify the effect of corporate governance the insider trading. The main conclusions are as follows:
Conclusion 1. with foreign similar research, insider trading in China to sell, sell the number of transactions for the purchase of the number of about 3 times; in the insider trading of excess earnings, that sell insiders than buying more significant, may be related to China's institutional factors; significantly related to excess returns and then two insiders buying. The performance of the internal use of the valuation of the company to buy information superiority; excess earnings management and insider buy transactions the salary level was significantly negatively correlated, internal salary level is one of the factors that influence the buying; from different plate characteristics of the securities market, found that nearly 80% of the insider trading in the Shenzhen market among them, small and medium-sized board trading volume accounted for 50% of all transactions, insider trading board of small and medium-sized companies are very prominent, which may be the nature of equity and private listed companies, debt level, The financing channels are related to many factors.
2. according to the analysis of the formation mechanism of insider trading, insider information has the advantage, in appropriate conditions (corporate governance environment) cases, people may use the internal information announcement of major opportunity, the sale of shares of profit. This paper tests the relationship of information asymmetry and insider trading profit, found that the more transparent information environment, insider trading the company's excess returns are low. In the company's announcement of important information and insider trading profit relationship, the suspension events are linked through excess revenue and company analysis of short window period of insider trading, insider trading was found before and after 1 months of calendar time, 40% of the companies in the suspension, namely the 1/6 trading hours the 2/5 event, the suspension, which explains the close contact with the insider trading and the suspension of events; further analysis, compared with no suspension of the company, the window period of [-2 0,20] in the suspension of the company to buy and sell the cumulative excess return was significantly higher; shortly after the suspension of the company's insider trading is in after (IE window [0,20]) sell the cumulative abnormal return is higher. The evidence shows that China's internal control over the use of private properties of insider information to profit.
3. effect of ownership structure on Insider Trading: the nature of ownership, state-owned enterprises and private enterprises compared to the willingness to buy low, but buying excess returns; for sale transaction, the state-owned enterprises and private enterprises will sell no obvious difference in the state-owned enterprises to sell excess income higher. In terms of concentration of equity, found equity of focused companies sell transactions in excess of the higher income, the highly concentrated ownership of state-owned companies buying willingness stronger, which reflects the nature of the major shareholder of the private benefits of control; insider trading and two rights (cash Liuquan, control) relationship between the degree of separation, found that the greater the degree of separation of two rights, insider buy wishes, willingness to sell more strongly, that the separation of the two rights agency problems more serious. The greater the degree of the equity balance index, reflecting the 2- 10 shareholders relative holdings shareholding ratio is higher, The lower the willingness of the insider to buy and sell, the role of the top 2- 10 shareholders is to balance the large shareholders.
The contributions of this study are as follows:
1., by examining the relationship between the information environment (or asymmetric information) and the abnormal return of insider trading, we explain the reasons for the abnormal return of insider trading.
2. combine the company's stop events with insider trading events and provide new evidence for insider trading to use insider information to obtain excess returns.
3., starting from the essence of corporate ownership structure, the relationship between ownership and insider trading is thoroughly studied from the perspectives of ownership nature, ownership concentration, two rights (cash flow right, control right) separation and ownership balance.
4. the study of this paper provides a meaningful international reference for the study of human phenomena and corporate governance in emerging market countries.

【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F275;F832.51

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