我国证券市场内幕信息操纵行为理论研究

构建基于我国证券市场内幕信息操纵的数理模型,通过分析内幕信息操纵期间不同市场参与者的交易策略,得出他们的获益情况。研究结果表明,内幕信息操纵者并非一定获取正的操纵收益,其存在操纵失败的可能性。内幕信息的精度、正反馈交易者"追涨杀跌"的倾向等是影响不同市场参与者收益的重要因素。最后,有针对性地提出抑制内幕信息操纵行为的对策。     

证券市场非完全知情交易者是风险助推者吗?——基于Kyle模型的分析

跟庄散户等非完全知情交易者的交易行为会影响证券市场上的其他参与者。本文基于Kyle模型的拓展研究表明:当市场流动性下降时,知情交易者会减少交易;部分知情的噪声交易加入后会使得知情交易者的预期收益下降;当非完全知情交易者的委托单流恰好完全跟踪股票价值时,内幕信息持有者的信息将不能操纵股价波动。从抑制知情交易者的内幕交易行为的角度讲,非完全知情交易者有助于推动证券市场交易的透明化、公正化,进而减少整个市场潜在的金融风险。     

股票杠杆交易行为及收益分析——基于融资融券交易数据

作为重要金融工具,股票杠杆交易对于资本市场效率的提高具有重要意义.本文通过融资融券的交易数据研究中国股票杠杆交易行为及收益情况,从信息披露、盈余质量及公司估值三个层面,本文发现参与融资融券的杠杆交易者更多选择信息披露质量差、盈余质量低的公司,且交易的股票估值偏高.通过构建投资组合,我们发现这种杠杆交易行为获得超额收益.本文进一步从业绩预告和证监会处罚两个视角进行检验,发现杠杆交易者可能是通过内幕信息获得收益.本文打开杠杆交易的黑箱,为监管层监管杠杆交易的合理性和必要性提供了依据,也为在打造规范、透明、有活力的资本市场过程中,如何让金融工具更好地服务于资本市场提供了参考.     

中国股票市场内幕信息操纵的市场反应及改革措施

内幕信息操纵作为证券市场主要的违法违规行为之一,严重影响了证券市场的正常运行。本文根据1996—2016年的内幕信息操纵案件,从知情交易者的获益情况、股票收益的波动性特征、股票流动性、市场相关性指标、公司股权结构等五个维度出发,对内幕信息操纵的市场反应进行分析,最后根据内幕信息操纵的成因和市场反应提出了具有针对性的政策建议。     

中国股市内幕交易的法律责任

证券市场是一个信息不对称的市场,而其中内幕交易的存在,更加大了信息的不对称性,严重损害了中小投资者的权益。内幕交易是指因地位或职务上的便利而能掌握内幕信息的人,直接或间接地利用该内幕信息进行证券买卖,获取不正当的经济利益;或泄露该内幕信息,使他人非法获利的行为。内幕交易违背了公平原则,严重损害了投资者的权益,破坏了证券市场的健康运行。 与国外成熟市场相比,中国股市的内幕交易行为更具普遍性、隐蔽性,具有更大的破坏力。内幕交易者并非简单地利用内幕信息提前买入股票,而是通过操纵股价获取更大的暴利。本文通过对禁止内幕交易法律的国际比较,提出了我国证券市场内幕交易监管的法律思考。     

卖空者与内幕交易——来自中国证券市场的证据

本文研究上市公司内部人减持、年报、诉讼、分析师评级、停复牌以及高送转等重大公告前后卖空交易行为的变化,系统考察卖空者是否参与内幕交易以及何种因素影响卖空者参与内幕交易,发现卖空率较高的股票具有较低的未来收益,表明卖空者拥有信息优势,属知情交易者;卖空者拥有非常精确的择时交易能力,在重大利空公告前显著增加卖空量,而在利好公告前则显著减少卖空头寸,表明卖空者作为知情交易者的信息优势源自内幕消息;公司内、外部投资者的信息不对称程度越低或公司所在地的法治水平越高,卖空者参与内幕交易的行为就越少。因此,监管机构应密切关注公司重大消息发布前后卖空量的异常变动,同时,完善信息披露规则、健全证券分析师制度并强化法律法规的执行力度,才能有效防范卖空者参与内幕交易。     

正反馈交易模型与中国股市价格波动--对DSSW模型的扩展讨论

DSSW模型描述了在理性交易者和非理性交易者数量相等的设定下,正反馈交易者的交易行为以及金融资产价格的波动情况.针对中国股市特征,建立了扩展的六状态DSSW模型,讨论了信息交易者利用信息优势,借助正反馈交易者的跟风行为,操纵股价大幅波动,获取超额收益的行为.利用该模型分析了“庄家”内幕交易的五个阶段及其特征,据此提出建议:完善信息披露机制,加强对特殊波动股票的监控,改变股票盈利模式,树立价值投资理念.     

基于信息与交易的中国股票市场操纵模型分析

考虑到知情操纵者会利用正反馈交易者的交易特征进行交易操纵的现实情况,本文建立了基于信息与交易的中国股票市场操纵模型。通过分析不同交易者的交易策略,获得了各期的均衡价格与最大操纵收益。进而着重讨论了融资融券的保证金比例和交易者的理性程度等因素对最大操纵收益的影响,并运用数值模拟检验了理论结果。研究表明这些因素对最大操纵收益起到重要的调控作用,在此基础上给出政策建议以有效抑制市场操纵行为。     

盈余管理的负面效应及其治理对策——从长安汽车业绩疑问谈起

盈余管理与会计欺诈有许多相似之处。但通过盈余管理来操纵业绩更加具有隐蔽性、复杂性，其发生范围更为广泛，危害也更大。必须采取加大对内幕交易的监管力度，以把盈余管理的负面效应减少到最小。完善会计制度，规范上市公司信息披露制度，是控制盈余管理负面效应的重要措施。     

会计信息披露时机与内幕交易——基于年报首季报披露时差与异常超额交易量的实证研究

考虑到资金成本、市场的系统性风险和被监管的可能性,内幕交易者最可能利用两个相隔时间很短的定期报告进行内幕交易。因为这种交易模式最隐蔽,最安全。同时,因承担了高成本和高风险,内幕交易需要巨额的交易量才能获得超额收益。本文正是利用内幕交易的这些特征,找到了极好的研究样本（年报亏损下年首季报盈利且年报首季报先后公布的样本）和控制样本（年报亏损下年首季报盈利但年报首季报同时披露的样本或者年报亏损下年首季报仍然亏损且年报首季报先后公布的样本）,通过异常的超额交易量验证了内幕交易的存在。本文研究表明,在信息披露监管政策中,不仅要考虑信息披露的及时性和充分性,还应考虑信息披露过程是否为内幕交易提供了可乘之机。     

股权结构与上市公司应计和真实盈余管理行为

过高的股权集中度会导致显著更高的应计盈余操控行为,而对真实盈余管理行为的影响总体上不显著;无论对于应计盈余操控还是真实盈余操控,机构持股均具有较好的抑制作用;国有控股会导致显著更高的应计盈余操控,但在真实盈余操控方面,更多地体现在异常酌量费用方面;国有控股上市公司管理层持股越高,其应计盈余管理行为越显著,而在真实盈余管理行为方面,显著影响更多体现在异常现金流和异常生产成本方面.     

External financing and earnings management: Evidence from international data

Corporate financing conditions in the external capital market are significantly affected by information asymmetry, while internal financing is not. Given that earnings information influences market perceptions regarding firms’ quality, firms relying on external financing should have incentives to manage earnings to improve their financing conditions. This study investigates the effect of corporate external financing behavior on earnings management. Using a sample comprising 75,790 observations of 12,874 firms in 43 countries, we find that accrual-based and real earnings management are positively associated with firms’ reliance on external financing. This positive relationship holds especially true for firms that rely on equity rather than debt financing. We argue that reliance on external financing (especially equity financing), which is subject to problems arising from information asymmetry, generates a motive for earnings management.     

投资者注意力、应计误定价与盈余操纵

基于应计误定价视角,以投资者认知特征分析为切入点,本文检验了投资者注意力、应计误定价及盈余操纵间的关系。研究发现:(1)投资者注意力具有认知效应,投资者注意力的提高能够显著提高其对盈余构成信息的认知效率,并降低市场中投资者对应计信息的定价高估;(2)投资者注意力具有治理效应,即投资者对股票的充分注意能够显著降低管理层主观的盈余操纵行为。综合而言,投资者注意力具有"认知效应"和"治理效应",投资者注意力调节了投资者的认知效率并提升了对会计盈余构成信息的定价效率,进一步影响了管理层主观的盈余操纵行为。深化投资者注意力的研究具有很高的理论价值和现实意义。     

An exploratory study of earnings management detectability,analyst coverage and the impact of IFRS adoption: Evidence from China

Analysts serving as external monitors to managers is a topic of considerable interest in the analyst coverage literature. There are two outcomes of analyst coverage studies: curbing and stimulating earnings management. However, recent studies (such as Yu, 2008) only provide evidence supporting the curbing side. Given the fact that the data of these studies focus on developed markets and the finding of Rodríguez-Pérez and Hemmen (2010) that external governance mechanisms may stimulate earnings management in an opaque information environment, we conjecture whether stimulating side would be dominant in emerging markets. China offers a valuable setting for us to test the question. Using the data of China capital market from 2003 to 2009, we find that analyst coverage stimulates earnings management through above-the-line items (ALIs) where earnings management cannot be easily detected, and curbs earnings management through below-the-line items (BLIs) where earnings management can be easily detected. We also find that the adoption of International Financial Reporting Standards (IFRS) in China does create many new opportunities for managers’ earnings management but does not significantly improve the monitoring effect of analyst coverage. We only find that compared to those without analyst coverage, firms with analyst coverage have a lower level of earnings management through BLIs after IFRS adoption. These findings suggest that information opacity may weaken the monitoring effect of external corporate governance mechanisms and high quality accounting standards in the literal sense may not enhance the monitoring effect of external corporate governance mechanisms if it is not compatible with the market’s institutional environment. In addition, we find that firms with earnings meeting the benchmark have a lower level of earnings management, which indicates that bright-line accounting based rules used in emerging capital markets may constrain the managers’ behavior.     

中国式卖空机制与高管减持——基于融资融券分步扩容的准自然实验

本文以我国的融资融券制度为背景,结合双重差分模型,研究卖空机制对上市公司高管减持行为的影响。研究发现,相对于非融券标的,可融券标的公司高管的月减持比例在允许卖空后下降22%,这种抑制作用在小规模、高盈余平滑度以及非国有公司中体现得更为明显。其次,成为可融券标的后,股价定价效率提高,高管减持收益显著下降。进一步地,本文将高管的减持行为分为定期性与投机性两类,发现卖空机制显著抑制了高管基于信息优势和股价偏差的投机性减持行为。     

Do external labour market incentives constrain bad news hoarding? The CEO's industry tournament and crash risk reduction

We find that a CEO's industry tournament incentives (CITI) induce a CEO to undertake strategies that reduce the propensity of a firm to incur future stock price crash risk. CITI also has a mitigating effect on accounting techniques (such as, accrual manipulation, real earnings management, and financial restatement) used as channels for obfuscation and, therefore, is associated with a lower tendency to withhold bad news. CITI is more effective in reducing crash risk propensity when there is lower information quality and weaker external monitoring. Results are robust to firm governance controls, gender monitoring, and the specific personal attributes of CEOs. In short, CITI imposes on CEOs an incentive to brand themselves according to sustained visibility concepts.     

On the Relation between Conservatism in Accounting Standards and Incentives for Earnings Management

This paper studies the role of conservative accounting standards in alleviating rational yet dysfunctional unobservable earnings manipulation. We show that when accounting numbers serve both the valuation role (in which potential investors use accounting reports to assess a firm's expected future payoff) and the stewardship role (in which current shareholders rely on the same reports to monitor their risk‐averse manager), current firm owners have incentives to engage in earnings management. Such manipulation reduces accounting numbers' stewardship value and leads to inferior risk sharing. We then show that risk sharing, and hence contract efficiency, can be improved under a conservative accounting standard where, absent earnings management, accounting earnings represent true economic earnings with a downward bias, compared with under an unbiased standard where, absent earnings management, accounting earnings represent true economic earnings without bias.     

Does external finance pressure affect corporate disclosure of Chinese non-state-owned enterprises?

We examine whether external finance pressure influences information disclosure of Chinese non-state-owned enterprises (NSOEs), which are often entrepreneurial firms. Existing Chinese stock exchange regulations stipulate that firms need to meet certain earnings performance criteria to qualify for rights issue or avoid delisting. These regulatory criteria create pressures for firms in need for external equity financing to manipulate earnings in order to meet and beat the performance targets. To examine this, we exploit an exogenous event of Chinese accounting standards change in 2007, when firms are given greater accounting disclosure discretion. Following this change, we find evidence consistent with increased earnings manipulation among NSOEs that barely meet these performance targets. This effect is also more pronounced among such NSOEs with weaker political connections, which increases their dependence on the capital market for external financing. Our findings have policy implications for the financing of NSOEs and entrepreneurial firms in emerging economies.     

Can third-party online sales disclosure help reduce earnings management? Evidence from China

Alternative data plays an increasingly important role in investment and commodities market analysis. This study empirically investigates the effect on earnings management of disclosure of third-party online sales as a type of alternative data. We show that earnings management is reduced with the public disclosure of a firm’s third-party online sales data in a well-known Chinese financial database. Our results are robust to a series of endogeneity corrections and robustness checks. We also find that the negative association between third-party online sales disclosure and earnings management is more pronounced in firms with an opaque external information environment, weaker corporate governance, a higher proportion of online sales relative to total sales, and when sales are more likely to be the target of manipulation. Our results indicate that third-party online sales disclosure reduces earnings management by decreasing its benefits and increasing the risk of its detection. Our findings yield important implications for regulators and policy makers.     

Does alternative data reduce stock price crash risk? Evidence from third-party online sales disclosure in China

This study empirically investigates the effect of releasing alternative data on firm-specific price crash risk. Using the public launch of a firm's third-party online sales data in a well-known Chinese financial database as an exogenous shock, we find that stock price crash risk significantly decreases with the disclosure of third-party online sales data. The results are robust to a series of endogeneity corrections and robustness checks. We also find that the reduction of stock price crash risk is due to the decrease in managers' bad news withholdings and the increase in the accuracy of market expectations. In addition, the negative association between third-party online sales disclosure and crash risk is more pronounced for firms with weaker external governance, higher earnings volatility, greater likelihood of sales manipulation, and lower book-to-market ratio. Our findings yield important implications for a comprehensive understanding of the information disclosure effect of online sales data in the capital market and the mechanisms to reduce stock price crash risk.