我國創(chuàng)業(yè)板企業(yè)內(nèi)部人交易擇時行為研究

李應(yīng)求+李依帆

摘要 利用深圳證券交易所2012年1月1日至2013年12月31日期間的創(chuàng)業(yè)板企業(yè)內(nèi)部人的交易數(shù)據(jù)，從間接與直接兩個角度考慮創(chuàng)業(yè)板企業(yè)的內(nèi)部人交易與信息優(yōu)勢利用的關(guān)系.從間接角度來看，創(chuàng)業(yè)板企業(yè)的內(nèi)部人賣出能夠有效預(yù)測未來股票走勢，來獲取超額收益；而買入則不具有顯著的擇時能力，不能獲取正的超額收益，這與主板企業(yè)具有相同特點；但其中創(chuàng)業(yè)板小額買入可取得長期收益，這與主板企業(yè)有所不同.從直接角度來看，創(chuàng)業(yè)板企業(yè)內(nèi)部人在賣出中充分利用了估值判斷優(yōu)勢，抓住高估值偏差的市場機會套現(xiàn)，這與主板企業(yè)的特點相同；而創(chuàng)業(yè)板企業(yè)的內(nèi)部人買入交易決策與估值判斷、業(yè)績預(yù)測這兩種信息優(yōu)勢利用的關(guān)系都不密切，這與主板企業(yè)的特點有所不同.

關(guān)鍵詞 創(chuàng)業(yè)板；內(nèi)部人交易；擇時行為；信息優(yōu)勢

中圖分類號 F832.5文獻標(biāo)識碼 A

AbstractUsing the GEM enterprises insiders transactions dates in the Shenzhen Stock Exchange from January 1， 2012 to December 31，2013，we considered the relationships between the GEM company insider trading and information advantage from both the direct and indirect perspective. From the indirect perspective， we got that sell transactions of the GEM companies insiders had the predictive ability on the future trend of the stock to obtain excess returns； while buying transaction did not have a significant timing selection capacity and could not get a positive excess return， which is similar with the listed companies of the main board； thereinto the smallscale buying transaction of the GEM companies insiders can get longterm excess returns， which is different with listed companies of the main board. From the direct perspective， we found GEM company insiders' sell trading made full use of the advantages of the valuation judgment to seize the high valuation bias cash market opportunities， which is similar with the listed companies of the main board； And GEM listed companies insiders' buying trading decisions had no relationship with valuation judgment and performance prediction these two types of information superiority， which is different from the characteristics of the listed companies of the main board.

Key words GEM； insider trading； market timing behavior； information superiority

1引言

國內(nèi)外關(guān)于內(nèi)部人交易與信息優(yōu)勢關(guān)系的研究主要分為兩個方面：一是研究內(nèi)部人交易的超額收益，間接推定內(nèi)部人與信息優(yōu)勢利用的關(guān)系；二是直接考察內(nèi)部人是否利用估值判斷和業(yè)績預(yù)測等信息優(yōu)勢來進行內(nèi)部交易.間接考察的文獻一般采用事件研究法，考察交易前后一段時間的股價走勢，以此判斷內(nèi)部人交易的擇時能力及獲利性.國外的學(xué)者研究得到結(jié)論：董事在買入和賣出交易中都能獲得超額收益，而且買入股票交易包含的信息含量……