内部人交易与持续经营审计意见——来自财务困境类上市公司的经验证据

股改完成后内部人交易日益常态化,内部人交易受到监管层和市场各方的关注。为了降低事后被查处的可能性,发生内部人交易的财务困境类上市公司可能会要求审计师签发更好的审计意见。基于2007至2013年上市公司内部人交易数据,研究发现:财务困境类上市公司内部人交易与持续经营审计意见显著负相关;审计师对上市公司经济依赖的程度越高,内部人卖出交易与持续经营审计意见负相关关系越显著。更进一步地,内部人交易与持续经营审计意见负相关的关系主要体现在股权制衡度较低、分析师跟进数量较少以及机构投资者持股比例较低的上市公司,表明上述公司治理机制有效地遏制了财务困境类上市公司发生内部人交易后胁迫审计师签发干净审计报告的行为。     

中国上市公司内部资本市场有效吗?——来自H股多分部上市公司的证据

从理论上说,外部资本市场无效或低效的情况下,企业集团可以通过构建内部资本市场有效配置资源。本文采用基于资产回报的现金流敏感性法,对H股多分部上市公司内部资本市场效率进行了直接测度。针对2000～2011年532个样本的面板数据的研究显示,上市公司内部资本市场总体有效,大部分上市公司能够通过内部资本市场持续有效地配置资源,部分上市公司具有出色的"挑选胜者"的能力。本文的研究结论符合理论预期,不仅为我国发展企业集团的经济政策提供了经验证据,而且为进一步的研究奠定了理论和方法基础。     

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。     

股指期货与股票现货市场竞争关系研究——来自中国的经验证据

本文利用模拟生态学中种群间动态关系的Lotka-Volterra模型,对沪深300股指期货同股票现货市场在交易规模方面的竞争关系进行实证分析。研究结果表明,沪深300股指期货推出初期,股指期货市场与股票现货市场在交易规模方面存在竞争性的交易转移效应;随着股指期货市场相关规则的不断健全和完善,股指期货市场与股票现货市场在交易规模方面由竞争关系转变为共存关系,出现交易引资效应。同时,研究还发现,股指期货市场与股票现货市场之间关系由竞争性转变为共存性的重要原因是股指期货市场监管力度的加大,股指期货市场投资者结构的优化,以及股指期货市场期现套利交易的盛行。     

市场操纵降低了中国股票市场的信息效率吗——来自沪市A股高频交易数据的经验证据

本文以尾市交易操纵为研究对象,尝试对中国股票市场可疑的尾市操纵行为进行识别与监测,并基于监测结果实证分析市场操纵如何影响市场信息效率。具体来看,本文利用沪市A股2013-2018年的日内高频交易数据,基于股票尾市交易相关指标异常变化特征,构建了尾市交易操纵识别模型,实证检验了市场操纵对信息效率的影响。研究结果表明,市场操纵对信息效率存在不利影响,市场操纵后股票流动性和股票波动性的异常变化是影响信息效率的关键传导路径,上述结论在考虑内生性问题后依然稳健。此外,研究还发现,国有企业、上市公司信息披露质量较高的情形下,市场操纵对信息效率不利影响程度较小。     

中国上市公司内部资本市场有效吗？--来自H股多分部上市公司的证据北大核心CSSCI

从理论上说,外部资本市场无效或低效的情况下,企业集团可以通过构建内部资本市场有效配置资源。本文采用基于资产回报的现金流敏感性法,对H股多分部上市公司内部资本市场效率进行了直接测度。针对2000～2011年532个样本的面板数据的研究显示,上市公司内部资本市场总体有效,大部分上市公司能够通过内部资本市场持续有效地配置资源,部分上市公司具有出色的"挑选胜者"的能力。本文的研究结论符合理论预期,不仅为我国发展企业集团的经济政策提供了经验证据,而且为进一步的研究奠定了理论和方法基础。     

交易制度变更的流动性效应——来自中国股票市场的经验证据

股票交易制度变更的初衷是为了更好实现其基本目标,即市场的流动性、透明性、有效性和市场价格的稳定性及交易的低成本。本文对中国股票市场相关交易制度的变更进行梳理,并利用事件研究法实证分析交易制度变更对市场流动性水平的影响,实证结果表明,中国股票市场交易制度变更显著影响市场流动性水平,宽松的交易制度有助于降低投资者的交易成本,从而有利于提高整个市场的流动性水平。     

债券市场参与者关注公司环境信息吗?——来自中国重污染上市公司的经验证据

本文将环境信息与信用评级、信用利差纳入同一研究框架,以重污染行业上市公司发行的公司债为样本,检验环境信息披露政策在债券市场中是否得到利益相关者的回应。研究发现,企业环境信息披露水平与信用评级显著正相关,但这种显著性仅存在于环境绩效水平较好的上市公司;总体上,企业环境信息披露水平与债券信用利差的负相关关系不具有统计上的显著性,进一步细分后,在环境绩效水平较优的上市公司,环境信息披露水平与信用利差显著负相关,而在环境绩效水平较差的上市公司,环境信息披露水平与信用利差显著正相关。研究结果为企业环境信息披露对负债成本的影响机制提供了新的经验证据。     

Stock Price Behavior over Trading and Non-trading Periods: Evidence from the Taiwan Stock Exchange

This paper examines the stock price behavior in the trading and non-trading periods for stocks listed on the Taiwan Stock Exchange over 1971-96. The results indicate that the trading-time return variances are higher than the non-trading-time return variances especially for the larger trading-volume quintiles. This result is consistent with the private information hypothesis. Moreover, open-to-open return variances are higher than close-to-close return variances. Since both the opening and the closing transactions are conducted by the call auction procedure, the results are consistent with the trading halt hypothesis but not with the trading mechanism hypothesis.     

Are interim management statements redundant?

In 2004 the Transparency Directive increased the reporting frequency by mandating the Interim Management Statement (IMS). However, only nine years later, the EU announced that it was making quarterly reporting voluntary again, arguing that IMSs are redundant as they are unlikely to contain any additional information not already required by the Market Abuse Directive (MAD). The current paper tests this argument empirically. For that it collects data on trading statements from a post-MAD pre-IMS year and uses these statements to predict which IMSs are genuinely incremental firm announcements (‘incremental IMSs’) and not simply substitutes for otherwise disclosed trading statements (‘non-incremental IMSs’). It then calculates three-day abnormal return variability and abnormal trading volume associated with incremental and non-incremental IMSs and it makes three observations. First, the introduction of IMSs coincided with a substantial reduction in other trading statements consistent with a large substitution effect between IMSs and non-periodic trading statements. Second, incremental third-quarter IMSs, but not incremental first-quarter IMSs, exhibit significantly positive abnormal return variability and abnormal trading volume, suggesting that the withdrawal of IMSs will involve the loss of some relevant information. Third, higher abnormal return variability and trading volume for non-incremental IMSs, relative to incremental IMSs, are consistent with the argument that a MAD-only regime will ensure the release of most relevant information.     

Insider Trading and Financing Constraints

Insider trading may alleviate financing constraints by conveying value‐relevant information to the market (the information effect) or may exacerbate financing constraints by impairing market liquidity and distorting insiders’ incentives to disclose value‐relevant information (the confidence effect). We examine the significance of these two contrasting effects by investigating the link between insider trading and financing constraints as measured by the investment‐cash flow sensitivity. We find that, overall insider trading exacerbates financing constraints; however the information effect dominates the confidence effect for insider purchases. Only trades by executive directors are significantly related to financing constraints.     

Trading time and trading activity: evidence from extensions of the NYSE trading day

The New York Stock Exchange extended its trading hours by 30 min in 1974 and in 1985; the first extension resulting in a delayed close and the second in an early open. We find a shift in volume to the new period after each extension. Additionally, there is a larger increase in volume after the 1985 extension than after the 1974 extension. We argue that the second effect is explained by the first. The extension at the end of the day allows some investors to postpone their trades, which results in occasional information cancellation or discovery; this mutes the effect of the extension on volume. In contrast, the extension at the start of the day allows some investors to accelerate trades, which precludes information cancellation or discovery and its negative effect on volume. This explanation suggests that the effect of an extension on volume depends, at least in part, on its timing.     

Do Attention-Grabbing Stocks Attract All Investors? Evidence from China

Abstract:

Using a unique and comprehensive data set of China’s Shenzhen Stock Exchange, we test whether all investors adopt attention-grabbing stocks. Only the less-wealthy individuals, the Small Group, are found to have the tendency to pursue attention-grabbing stocks, such as abnormal-volume stocks, extreme-return stocks, and initial public offering stocks. By contrast, wealthy individuals, such as the Middle and Large Groups, are the sellers of attention-grabbing stocks and prefer non-attention-grabbing stocks, thereby exhibiting a behavior resembling that of institutional investors. The wealth levels of individual investors may account for such heterogeneous trading behavior. Heterogeneous trading behavior may address one reason why only the less-wealthy individuals do poorly in China’s stock market. Accordingly, we suggest that the Small Group manage the stock selection problem through consultancy with investment institutions.     

The Impact of Portfolio Diversification on Trading Rules Profits: Some Evidence for UK Share Portfolios

This paper demonstrates how the autocorrelation structure of UK portfolio returns is linked to dynamic interrelationships among the component securities of that portfolio. Moreover, portfolio return autocorrelation is shown to be an increasing function of the number of securities in the portfolio. Since the security interrelationships seemed to be more a product of their history of non-synchronous trading than of systematic industry-related phenomena, it should not be possible to exploit the high levels of return persistence using trading rules. We show that rules designed to exploit this portfolio autocorrelation structure do not produce economic profits.     

A股市场新版停牌制度实施效果的实证研究

本文使用A股市场2008年10月1日至2011年11月1日的停复牌和交易数据,通过构造与“停牌日”样本相对应的“非停牌日”样本,利用多元回归分析了不同类型停牌的异常交易行为,以信息释放和价格发现效率为标准评价新版停牌制度。研究表明：例行停牌阻碍了交易的连续性;异常波动停牌虽放大了复牌日股票的成交量和波动率．但有效地降低了股票的异常收益率,同时坏消息复牌后价格调整速度相对较慢;重大事项停牌存在严重的“消息泄露”,仅能起到事后警示的作用,复牌并没有消除信息的不确定,同时坏消息复牌后的价格发现效率较低。     

非首发保荐人变更信息披露市场敏感性反应实证研究

以上市公司非首发保荐人变更信息披露市场敏感性反应作为研究对象,通过理论和实证分析来研究非首发保荐人变更信息披露的市场敏感性反应。研究发现,其窗口期平均累积超常收益率都为负,非首发保荐人变更信息披露引起负的市场敏感性反应;保荐人变更信息披露市场敏感性反应和证券市场类别、上市公司的风险性、收益性、成长性有关系,但不显著。同时还发现保荐人变更信息披露前存在信息泄露,信息披露日前的平均累积超常收益率都为负,说明保荐人变更信息在信息披露前就有了不同程度的泄露,内幕消息让一些投资者提前做出了反应。     

Trade Size Preference of Informed Traders in Indian Equity Markets

This study utilized high frequency transactions data to analyze the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behavior varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behavior also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns, and low volatility. This study also provides a rationale for such varied behavior of informed traders.