盈余信息披露、投资者行为与市场内幕交易*

本文以2008—2017年的季报、半年报和年报盈余公告信息为研究对象，利用Fama MacBeth横截面回归方法考察了公司高管和机构投资者的内幕交易行为。研究发现：（1）我国股票市场的盈余漂移异象在盈余公告前后具有明显的非对称性，股价倾向于在盈余公告前（后）对“好（坏）消息”反应过度、对“坏（好）消息”反应不足；（2）盈余公告前，机构投资者的资金净流入（出）与公司的未预期盈余之间呈显著正相关关系；（3）盈余漂移异象在不同板块之间存在明显的分化效应，在盈余公告前，主板市场对“好消息”的反应程度弱于中小板和创业板，而在盈余公告后正好相反。

EARNINGS INFORMATION DISCLOSURE,INVESTOR BEHAVIOR AND MARKET INSIDER TRADING

This paper takes the 2007 2017 earnings announcement within the quarterly, semi annual and annual reports as the research object, and uses the Fama MacBeth cross sectional regression to examine the insider trading behavior of the company executives and institutional investors. The findings are as follows: (1) The earnings announcement drift in the China's stock market has obvious asymmetry characteristics before and after the earnings announcement, and the stock price tends to overreact to “good (or bad) news” and underreact to “bad (or good) news” before (or after) the earnings announcement. (2) Before the earnings announcement, there was a significant positive correlation between the net cash flow of institutional investors and the company's unexpected earnings. (3) The earnings announcement drift has an obvious differentiation effect between different sectors. Before the earnings announcement, the main board market reacted to the “good news” weaker than the small and medium sized board and the GEM; but after the earnings announcement, the phenomenon is totally opposite.