股票市场机构和内部人交易信息披露的信息含量研究
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摘要
随着我国证券市场的日趋规范,信息披露制度也日益完善。投资者面对市场上纷繁复杂的信息,需要甄别出对自己决策有用的信息。被公认为专业理性投资主体的“机构投资者”和掌握上市公司内部信息资源的公司内部人(主指上市公司高层管理人员)的公开交易信息是否具有信息含量?其相应的投资行为是否一定具有合理性?对市场上的其他投资者有没有参考借鉴意义?投资者模仿这些交易行为能否取得异常收益?
本文基于上述问题,以沪深两市2006年7月至2008年2月间机构和内部人公开的交易信息为研究对象(基于信息而不是交易本身),运用事件研究法、抽样、回归及相关价值分析等方法,检测机构和内部人公开交易信息的信息含量及其投资行为的合理性。
基于股价和成交量变动的检验发现,不论大盘上涨还是下跌,机构纯买入信息在短期内存在显著的超额收益,具有显著信息含量;且其信息含量大小受到参与买入的机构数量的影响。对细分样本的研究发现机构净买入信息具有一定的信息含量,但不如纯买入信息显著。机构纯卖出与机构净卖出信息一样,在短期内均不能取得异常收益,不具有信息含量。基于股票价值评估的研究发现,机构买入行为具有内在合理性,对其他投资者具有参考价值,而机构卖出行为的合理性并不明显。基于BHAR的分析进一步肯定了机构买入行为具有合理性和预见性的结论;但机构卖出行为在大盘上涨过程中,可以取得超收益;而在大盘下跌趋势下,其行为的合理性及对后市的预见性并不十分显著。表明机构卖出行为在一定程度上受大盘趋势变动的影响。
对内部人买入与卖出信息公布前后的市场反应研究发现,内部人买卖组合不能取得显著的异常收益,买入、卖出信息均不具有信息含量。基于BHAR分析得出,长期而言,内部人买入信息可以取得略高于大盘的超收益,尽管这种超额收益并不显著,但仍可供长线投资者参考借鉴。内部人卖出行为的合理性并不显著,不能取得长期的超收益,对中长期投资者无明显的参考作用。
Along with the maturity of our securities market, the publication system of information is much better than before. Facing abundant and complicated information, investors need to screen out the useful ones for his decision-making. Institutional investors are believed as rational and professional investors, insiders (mainly indicate the managers of public company) possess preferential information about their companies, whether their trading information have information content? Whether their investment behavior is rational? Does there any usefulness of reference for outsiders? Can outsiders get abnormal returns by imitating them?
This paper based on above questions, according to the public trading information of institutional investors and insiders from Jul 2006 to Feb 2008, using the method of events study、sample、regression and value analysis to inspect information content of these information and rationality of their investment behavior.
The inspections based on volatility of price and volume find that: no matter what the market is bear market or dull market, there are significant abnormal returns in the short-term after the information of institutional investors' pure buying transaction publiced and it has significant information content, which is affected by the number of institutions. After studying the subsection sample, we find out the information about net buying transaction also have information content but weaker than the pure buying sample. There are no abnormal returns in the short-term after the publication of institutional investors' pure selling transactions and net selling transactions, also there is no information content. Evaluation of sample stocks suggests that buying behavior of institutional investors is rational and has reference value for other investors; while there is no significant rationality in the selling behavior of institutional investors. The analysis based on BHAR further affirmed rationality and predictive power of institutional investors' buying behavior; and suggests that in the long-term, there exist abnormal returns of institutional investors' selling transaction in the dull market; while the selling of institutional investors doesn't present significant rationality and predictive power in the bear market. It suggests that: to a certain extent, the institutional investors' selling behavior affected by the trends of market.
Study on the market reaction to the publication of insiders' buy transactions and sell transactions documents that there are no abnormal returns in the insider buy and sell transactions, the information both of insider buying and selling has no information content. The results of analysis based on BHAR points out that: in the long-term, the information of insider buy transactions can get abnormal returns, although it is not significant it still can take reference for other investors. The insider's sell behavior is not significant rationality and it can't reach abnormal returns in the long-term, has no reference value for other investors.
本文基于上述问题,以沪深两市2006年7月至2008年2月间机构和内部人公开的交易信息为研究对象(基于信息而不是交易本身),运用事件研究法、抽样、回归及相关价值分析等方法,检测机构和内部人公开交易信息的信息含量及其投资行为的合理性。
基于股价和成交量变动的检验发现,不论大盘上涨还是下跌,机构纯买入信息在短期内存在显著的超额收益,具有显著信息含量;且其信息含量大小受到参与买入的机构数量的影响。对细分样本的研究发现机构净买入信息具有一定的信息含量,但不如纯买入信息显著。机构纯卖出与机构净卖出信息一样,在短期内均不能取得异常收益,不具有信息含量。基于股票价值评估的研究发现,机构买入行为具有内在合理性,对其他投资者具有参考价值,而机构卖出行为的合理性并不明显。基于BHAR的分析进一步肯定了机构买入行为具有合理性和预见性的结论;但机构卖出行为在大盘上涨过程中,可以取得超收益;而在大盘下跌趋势下,其行为的合理性及对后市的预见性并不十分显著。表明机构卖出行为在一定程度上受大盘趋势变动的影响。
对内部人买入与卖出信息公布前后的市场反应研究发现,内部人买卖组合不能取得显著的异常收益,买入、卖出信息均不具有信息含量。基于BHAR分析得出,长期而言,内部人买入信息可以取得略高于大盘的超收益,尽管这种超额收益并不显著,但仍可供长线投资者参考借鉴。内部人卖出行为的合理性并不显著,不能取得长期的超收益,对中长期投资者无明显的参考作用。
Along with the maturity of our securities market, the publication system of information is much better than before. Facing abundant and complicated information, investors need to screen out the useful ones for his decision-making. Institutional investors are believed as rational and professional investors, insiders (mainly indicate the managers of public company) possess preferential information about their companies, whether their trading information have information content? Whether their investment behavior is rational? Does there any usefulness of reference for outsiders? Can outsiders get abnormal returns by imitating them?
This paper based on above questions, according to the public trading information of institutional investors and insiders from Jul 2006 to Feb 2008, using the method of events study、sample、regression and value analysis to inspect information content of these information and rationality of their investment behavior.
The inspections based on volatility of price and volume find that: no matter what the market is bear market or dull market, there are significant abnormal returns in the short-term after the information of institutional investors' pure buying transaction publiced and it has significant information content, which is affected by the number of institutions. After studying the subsection sample, we find out the information about net buying transaction also have information content but weaker than the pure buying sample. There are no abnormal returns in the short-term after the publication of institutional investors' pure selling transactions and net selling transactions, also there is no information content. Evaluation of sample stocks suggests that buying behavior of institutional investors is rational and has reference value for other investors; while there is no significant rationality in the selling behavior of institutional investors. The analysis based on BHAR further affirmed rationality and predictive power of institutional investors' buying behavior; and suggests that in the long-term, there exist abnormal returns of institutional investors' selling transaction in the dull market; while the selling of institutional investors doesn't present significant rationality and predictive power in the bear market. It suggests that: to a certain extent, the institutional investors' selling behavior affected by the trends of market.
Study on the market reaction to the publication of insiders' buy transactions and sell transactions documents that there are no abnormal returns in the insider buy and sell transactions, the information both of insider buying and selling has no information content. The results of analysis based on BHAR points out that: in the long-term, the information of insider buy transactions can get abnormal returns, although it is not significant it still can take reference for other investors. The insider's sell behavior is not significant rationality and it can't reach abnormal returns in the long-term, has no reference value for other investors.
引文
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