An investigation of causality between insider transactions and stock returns

Prior research shows that corporate insiders engage in profitable transactions by trading securities of their own firms. The main purpose of this study is to examine whether insider transactions and stock returns have causality relationships at the firm level for a sample of 2,521 firms during the period 1988 to 1998. We find a large impact of stock returns on subsequent insider transactions at both the aggregate and firm levels. The impact appears to be negative which suggests that insiders buy after stock price decreases and sell after stock price increases. Our findings on the predictive content of insider transactions for subsequent stock returns are primarily consistent with prior literature. We observe a positive but weak relationship between insider transactions and future stock returns.     

Cournot duopoly and insider trading with two insiders

We study the effect of competition among insiders in an extension of the static Kyle [Kyle, A. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315–1335] model of insider trading introduced by Jain and Mirman (JMC) [Jain, N., & Mirman, L.J. (2002). Effects of insider trading under different market structures. The Quarterly Review of Economics and Finance, 42, 19–39]. In the JMC model competition in the real sector is introduced. In this paper we introduce competition in the stock sector in the JMC model by assuming that there is a manager who is responsible for making the real decisions of the firm as well as an ‘owner’ who has the same information as the manager but has no managerial responsibilities. In this way we can study the interaction between competition in the real sector and competition in the financial sector. We show that the stock price set by the market makers reveals more information than in the JMC model and that the expected equilibrium values of the manager’s profits sometimes decline and sometimes increase depending on the exogenous parameters of the model. Moreover, we prove that due to the competition in the financial sector, the level of output produced by the firm is less than in JMC. Finally, we also study the effect of financial competition in the case in which the market makers receive only one signal and analyze the comparative statics in this case.     

Insider trading in a two-tier real market structure model

This paper investigates the real and financial effects of insider trading in the spirit of Jain and Mirman (2000). Unlike the existing literature, the production of one real good is costly and depends mainly on the price of an intermediate good produced locally by a privately owned firm. The results show that the output level of the final good chosen by the insider as well as the price of the intermediate good set by the privately owned firm are both higher than it would be in the absence of insider trading. Furthermore, the parameters of both real markets affect the stock price. Next, a second insider, operating in the firm producing the final good, is added to the benchmark model. Competition among insiders decreases the production of the final good by the publicly owned firm and the price of the intermediate good with respect to the benchmark model. Moreover, it affects the insiders’ trades and increases the amount of information revealed in the stock price.     

Contracting on the Stock Price and Forward-Looking Performance Measures

Abstract

We examine the use of earnings, forward-looking performance measures and stock prices in managerial compensation. When the firm's owner and its manager have identical time preferences, the stock price is not useful for motivating the manager, as it is a noisy aggregation of a forward-looking measure and future earnings. In contrast, when the owner and the manager have conflicting time preferences, the noisy stock price is useful for contracting. If the manager has no access to banking and cannot trade the firm's shares, the timeliness of the stock price dominates the extra risk imposed by its noise. At the same time, forward-looking performance measures (such as customer satisfaction) can induce a desirable allocation of management effort between the short term and long term more efficiently than the stock price can. Forward-looking performance measures and the stock price are thus not direct substitutes in rewarding farsighted effort.     

Filtration enlargement-based time series forecast in view of insider trading

This survey reviews filtration enlargement models in view of insider trading. Although filtration enlargement aptly models insiders' informational advantage, the theoretical results have not attracted the attention of the empiricists, owing mainly to the lack of a bridge transforming the results to testable hypotheses, and/or the absence of econometrics method linking the hypotheses and the data. This survey provides a feasible avenue to estimate insider information and to detect trading from a relatively sophisticated theoretical model, where the dynamics of publicly available data (e.g., stock price) implies insider information before the information is completely digested. We complete the survey with an empirical illustration based on simulated data.     

重大事件披露、股价异常波动与内幕交易——基于重大信息披露违规公司的经验证据

规范化的信息披露是证券市场正常运转的基石。本文利用重大事件披露违规公司研究信息披露违规背后是否存在股价异常波动与内幕交易现象，并将样本公司按照处分类型和公司类型分类检验。研究表明，总体样本公司的股票存在显著的内幕交易行为，并呈现出牛市背景下的新特征：受到公开谴责的公司股票内幕交易程度显著高于受到公开处罚的公司股票，ST公司股票的内幕交易程度显著高于非ST公司股票。     

媒体报道、会计稳健性与股价崩盘风险

新闻媒体的信息传播和监督治理功能在减少信息不对称、缓解管理者囤积坏消息等方面发挥着重要作用。以沪深A股上市公司2012—2018年非平衡面板数据为样本,通过OLS回归分析上市公司股价崩盘风险是否会受到媒体报道及会计稳健性的影响。实证结果表明,媒体报道和会计稳健性与股价崩盘风险呈显著负相关关系,会计稳健性可以强化媒体报道对股价崩盘风险的影响。进一步分析发现,媒体报道与股价崩盘风险之间的负相关主要集中在正面新闻报道较多的公司和诉讼或声誉风险较高的公司。     

The 180-day lock-up period and insiders’ equity selling

This article examines how insiders who provide capital and advisory services determine the proportion of common stock to be sold during an IPO and shows that, after the IPO, a high-value investee's insiders continue to hold a significant fraction of its equity stake relative to a low-value investee's insiders. The result is consistent with the signaling of the insider trader reputation, the lock-up argument, and the only least-cost separating equilibrium that survives the intuitive criterion.     

信息披露与内部人股票交易获利策略——以六起内部人股票交易为基础的案例研究

本文以近期A股市场内部人股票交易活跃的六家公司为例,通过考查信息披露与内部人股票交易间的关系,解释内部人股票交易的获利策略。研究发现,在允许内部人交易本公司股票的情况下,信息披露与内部人股票交易关系密切,内部人存在利用私有信息和策略性信息披露两类获利策略。信息权力是内部人股票交易的获利基础,公司业绩是影响内部人股票交易获利策略选择的重要因素,而法律诉讼风险并没有对我国内部人股票交易和信息披露产生明显约束作用。这些发现对完善我国资本市场内部人股票交易行为规范具有一定借鉴意义。     

An equilibrium model of insider trading in continuous time

We study a Bayesian–Nash equilibrium model of insider trading in continuous time. The supply of the risky asset is assumed to be stochastic. This supply can be interpreted as noise from nonrational traders (noise traders). A rational informed investor (the insider) has private information on the growth rate of the dividend flow rewarded by the risky asset. She is risk averse and maximizes her inter-temporal utility rate over an infinite time-horizon. The market is cleared by a risk neutral market maker who sets the price of the risky asset competitively as the conditional present value of future dividends, given the information supplied by the dividend history and the cumulative order flow. Due to the presence of noise traders, the market demand does not fully reveal the insider’s private information, which slowly becomes incorporated in prices. An interesting result of the paper is that a nonstandard linear filtering procedure gives an a priori form for the equilibrium strategy to be postulated. We show the existence of a stationary linear equilibrium where the insider acts strategically by taking advantage of the camouflage provided by the noise which affects the market maker’s estimates on private information. In this equilibrium, we find that the insider’s returns on the stock are uncorrelated over long periods of time. Finally, we show that the instantaneous variance of the price under asymmetric information lies between the instantaneous variance of the price under complete and incomplete information. The converse inequalities hold true for the unconditional variance of the price.     

新会计准则下高质量会计信息的实现策略

本文认为,完善的资本市场要求高质量的会计信息,虚假的信息是在破坏市场的质量和形象。在资本市场上通过粉饰财务报表,欺骗广大投资者和债权人,会增加公司股票的融资成本而降低股价。财政部新颁布的会计准则对会计信息的诚实度和透明度做出严格规范,高质量的会计信息能够促进资本市场的完善和发展,对企业和资本市场都有较强的规范作用。     

Equity‐based incentive contracts and behavior: Experimental evidence

Equity ‐ based incentive contracts provide managers with dual incentives, motivating both effort and fraud. We report the results from an experiment in which manager subjects make effort and fraud decisions that affect a firm's value. The main treatment variable is the incentive contract, which can be of either the simple equity or stock option type. We find that both effort and fraud are increasing in a manager's share of equity and decreasing in the strike price of an option. Interestingly, the stock option contract induces relatively more fraud than the simple equity contract, even though the two induce the same effort.     

B2C中的信誉评级模型研究

通过对信誉评级累加模型进行分析,指出了该模型具有诚信激励效用递减现象,并且分析了该现象存在的内在机理及条件;然后,提出了三种解决措施,以便减轻甚至防止诚信激励效用递减现象。通过仿真,证实了它们的有效性。     

Two-period model of insider trading with correlated signals

In this article, we extend the one-period model of Jain and Mirman (1999) for asset trading with two correlated signals to a two period model. We then prove the existence and uniqueness of the Bayesian linear equilibrium. Finally, we perform comparative statics analysis with respect to Kyle (1985). Our findings reveal that adding another correlated signal (the real signal) to the total order flow of Kyle (1985), increases the amount of information incorporated in the stock price at each period and decreases the insider’s expected profits at each period.     

基于EVA的国有商业银行股权激励机制探讨

随着商业银行股份制改革的不断深化和推进,解决内部人控制问题已成为商业银行法人治理结构完善的关键一步。而造成内部人控制的关键因素就是由于商业银行目前经营层薪金较低所导致的。因此针对这一问题的重要性,本文从目前薪金制度的缺陷入手,分析了推行股权激励在商业银行薪酬制度改革中的合理性;并针对目前我国的制度缺陷和股票期权自身的不足,提出了基于经济增加值(EVA)的股票期权激励,以解决商业银行目前薪金激励机制中的不足。     

论对我国公司经理权的法律约束

金融危机给全球经济带来了巨大冲击,中国也不能例外,在此背景下重新审视公司治理问题就显得尤为必要。本文选取了"经理层控制公司"的问题,首先论述了经理权为商事代理权的性质,进而着重论述了在我国法中应如何对经理权进行约束,提出了在权力本源上、权力运行中以及责任体系上对其进行法律约束的综合体系。     

Friend or foe? Employee ownership and CEO dismissal

This paper examines 2 research questions. First, does the level of employee stock ownership impact the likelihood of dismissing poorly performing chief executive officers (CEOs)? Second, does the level of employee stock ownership affect the likelihood of appointing an outsider or an insider after the dismissal of an incumbent CEO? We suggest that employee stock ownership reinforces the firm performance—CEO dismissal link because employee shareholders' welfare consisting of fixed claims (wages, bonuses, etc.), residual claims (dividends, increase in stock value, etc.), and human capital (generic and idiosyncratic) are highly linked to their firm performance. Moreover, under conditions of poor performance, employee shareholders are likely to favor an outsider CEO because he or she is more likely to initiate and implement drastic changes to the strategy of the firm, and therefore, he or she is more likely to improve firm performance. Drawing on a longitudinal sample of French firms, we find that employee stock ownership strengthens the negative relationship between firm performance and CEO dismissal likelihood. We find also that the higher employee ownership, the more likely that the underperforming CEO is replaced by an outsider. In contrast, employee ownership has no moderating impact on the likelihood of insider CEO appointment.     

Risk aversion,public disclosure,and partially informed outsiders

In this paper, we examine the impact of public disclosure and partially informed outsiders on a risk-averse insider’s trading behavior, market efficiency, and market depth. In our model, under disclosure requirements, except for the final auction, market depth is the same at every auction. When informed outsiders are risk-neutral, in contrast to the case of a risk-averse insider with no informed outsiders, the insider is more concerned about the uncertainty about future price risk. When the number of informed outsiders increases, market liquidity improves, and the insider increases the variance of her random component to conceal her trading strategy. However, since the insider is relatively more risk-averse, she pays less attention to doing this on her own. Besides, the order flow provided by informed outsiders and randomly added by the insider injects additional liquidity into the market. When informed outsiders are risk-averse, compared to risk-neutral informed outsiders, an insider is most concerned about trading risks brought by informed outsiders at the beginning of trading. Furthermore, whether the trader is an insider or informed outsider, the more risk-averse trader has lower expected profits. Moreover, outsiders’ greater risk aversion leads to a smaller market depth.     

社会责任投资与价值投资相悖吗?——基于国际经验的比较

社会责任投资促进了公司绩效评价模式的变革。从美国和亚太地区的经验来看,社会责任投资的整体表现更好;社会责任形象较好公司股票价格表现更佳;强有效的资本市场一方面将推动社会责任形象好的公司股票获得更高估值,另一方面也将促使上市公司在社会责任领域投入更多资源。长远来看,社会责任投资与价值投资并不相悖。社会责任投资在中国的发展之路还属于起步阶段,中国上市公司对企业社会责任持有非常积极的观点,但中国资本市场并没有给企业社会责任积极评价。     

Price Behavior of Qualified Companies around the Audit Report and Report Announcement Days: The Case of Taiwan

This study investigates the stock price behavior of companies with qualified opinions around (1) the audit report day and (2) the report announcement day. Using a sample of 106 Taiwanese public companies during 1999–2007, we find negative abnormal returns 5 days following the audit report day. Returns that are more negative are associated with a decrease in insider ownership during several months before the audit report day. These results imply that investors can infer qualified opinions or that there is information leakage of qualified opinions. We also find that the average cumulative abnormal return over the 20 days following the announcement day of qualified reports is about ?25%, which is much more pronounced than that in Anglo‐Saxon countries. We ascribe this finding to a rule unique to Taiwan: qualified companies are likely to be subject to mandatory delisting if they cannot restate reports with unqualified opinions.