Insider trading returns and dividend signals

The literature shows that insider trading activities and dividends contain information content and serve as signals to firm value. If insider return is a proxy for information asymmetry, we should expect a positive relation between dividends and insider returns. Using a sample of unambiguous (good and bad) news concerning earnings and dividend announcements from Hong Kong firms, we show that information asymmetry is stronger for bad news firms with insider sales than good news firms with insider purchases. In addition, we improve the methodology of Khang and King [Khang, K., & King, T. H. D. (2006). Does dividend policy relate to cross-sectional variation in information asymmetry? Evidence from returns to insider trades. Financial Management, 35, 71–94] and provide evidence that dividend is a credible signal for measuring information asymmetry.     

内幕交易监管、投资者交易策略与市场利益分配

当证券市场实施内幕交易监管后,投资者的交易策略可能会发生改变,市场利益的分配也会发生相应的改变。文章在一个实施内幕交易监管的框架下,对内部人的利益分配进行了研究,发现内部人的利益不仅与内幕交易监管力度和执行能力有关,还与市场流动性、交易者类型、信息准确度和市场波动性等因素密切相关。同时,由于监管有效性幻觉和内部人分层现象的存在,内部人利益在一定时期内还可能出现反常变动。     

Contractual restrictions on insider trading: a welfare analysis

Summary. This paper analyzes the welfare effects of permitting firms to negotiate contractually the right to allow corporate insiders to trade shares in the firm on private information. A computational framework is employed to (i) analyze formally the effects of insider trading on managerial investment choice, the informational efficiency of stock prices, and the welfare of all investor types; and (ii) examine the effectiveness of various compensation schemes (such as stock and insider trading rights) to mitigate conflicts of interest between managers and shareholders. I show that shareholders will typically choose not to grant insider trading rights to managers. This decision is socially optimal. Received: September 23, 2000; revised version: December 12, 2000     

Real and financial effects of insider trading with correlated signals

Summary. In this paper we study the real and financial effects of insider trading in a Static, Kyle-type model. In our model the insider is also the manager of the firm. Hence the insider chooses both the amount of the real output to be produced and the amount of the stock of the firm to trade. The aim of the paper is to study the relationship between financial decisions and real decisions. In particular, we examine how insider trading on the stock market affects the real output and price and how the real decision making affects the financial variables, such as the extent of insider trading, stock prices, and the stock pricing rule of the market maker. In the model, the market maker observes two correlated signals: the total order flow and the market price of the real good. We study the informativeness of the stock price and the effects on insider's profits. We also construct a compensation scheme that aligns the interests of the insider and the firm. Finally, we generalize the pricing rule set up by a competitive market maker and analyze the comparative statics of the model. Received: October 3, 1999: revised version: December 1, 1999     

企业融资中的控制权安排与企业家的激励

在企业融资中,企业家不仅关心项目的货币收益,而且关心非货币收益,而投资者仅仅关心货币收益。考虑到双方的融资合同是不完全的且企业家受到财富约束,一份初始的激励合同通常无法解决双方存在的潜在利益冲突。作为一个结果,控制权安排(即谁做出关键性决策)是金融合同的一个重要维度。Aghion-Bolton(1992)集中于事后有效率。他们证明了,条件控制在一些环境下是均衡的控制权安排。然而,Hart(2001)提出了一个质疑:他们的模型忽略了一个重要的变量,即努力。通过引入企业家的事前努力,本文解释了为什么控制权在坏状态而不是在好状态转移给投资者。更进一步,本文发现,金融约束的程度大小决定了项目的均衡控制权安排。     

Incentives and managerial effort under competitive pressure: An experiment

We investigate how increased competition affects firm owners׳ incentives and managers׳ efforts in a laboratory experiment. Each owner offers a compensation scheme to his manager in two different conditions: under monopoly and under Cournot duopoly. Following acceptance of the compensation, the manager chooses an effort level to increase the probability of a cost-reduction which affects the firm׳s profit. According to standard theoretical predictions the entry of a rival firm in a monopolistic industry affects negatively both the incentive compensation and the effort level. Our experimental findings show that the entry of a rival firm has two effects on managerial effort: an internalization effect which affects positively the level of effort and an income effect which has a negative impact on effort. The combined outcome of these two effects is neutral with respect to managerial effort: we observe that when competition reduces the firm׳s profit, the owner reacts by offering lower incentives but despite the lower incentives the manager still accepts the contract offer and exerts the same level of effort than under the monopoly condition.     

The Interaction Between Efficiency Wage Theories and Labour Turnover Costs

We develop a simple model to illustrate how the effects of turnover costs on wages can be reinforced by an efficiency wage effect. The insider–outsider theory explains why labour turnover costs allow the insiders to earn higher wages than outsiders. According to the efficiency wage theory, higher wages enhance the insiders' productivity. Therefore, the costs of replacing an insider by a low–paid, low–productivity outsider are increased, which allows the insiders to raise their wages further. Again, higher wages increase insiders' productivity, which allows them to earn still higher wages, and so on. Thus, the existence of a link between effort and wages can reinforce the effects of labour turnover costs on wages.     

上市公司内部人交易披露延迟及其经济后果研究——来自上海股票市场的经验证据

文章研究了我国上市公司内部人交易信息披露延迟的现状及其影响因素,以及披露延迟对内部人交易市场反应的影响。研究发现,整体而言,内部人交易存在披露延迟;交易披露延迟时间的长短与交易方向、交易是否处于信息敏感期、公司流通股比例、交易规模有关;在信息披露延迟严重的买入样本组,内部人职务对披露延迟产生了影响。市场给予内部人卖出股票负面评价而对买入股票的反应不显著;内部人交易的市场反应不受信息披露延迟影响。     

内幕交易的经济学分析

该文探讨了中国市场的内幕交易理论,在此基础上提出了4个可检验的假说:(1)内幕交易在中国必定存在;(2)内幕交易在中国比成熟市场更加严重;(3)重大事件中内幕交易的严重程度和管理层付出呈正比关系;(4)内幕交易多围绕利好消息.利用1078个并购重组事件和其他上市公司重大事件为样本,该文运用事件研究法,证实了上述假说.在此基础上,提出了中国内幕交易立法和监管的思路.     

Optimal employment contracts with bankruptcy constraints

Consider the optimal incentive compatible contract offered by a firm with private information to its risk-averse employees. If the firm is subject to a binding limited liability or bankruptcy constraint then the contract will yield underemployment in low productivity states (relative to full-information efficiency). Such contracts either yield underemployment in all states, or excessively high variability in employment.     

EFFECTS OF ASYMMETRIC INFORMATION WITHIN A FIRM ON OLIGOPOLISTIC MARKET OUTCOMES

I analyze the implications of the Laffont–Tirole type agency problems on oligopolistic market outcomes. In the model, a firm's marginal cost is decreasing in managerial effort and is subject to an additive shock. Both managerial effort and the realization of the shock are a manager's private information. A firm first offers a menu of contract to its manager, and then competes in the product market. As in the model of single principal and single agent, the incentive contracts implement efforts that are distorted downward relative to full information. In this model, with multiple agency relationships, an additional source for upward distortion of effort emerges as a result of the interaction in the product market. The results are robust to whether firms compete in price or quantity.     

Openness, managerial incentives, and heterogeneous firms

This paper examines the effects of trade openness on managerial incentives and firm-level productivity by incorporating the principal-agent mechanism into the heterogeneous firm trade framework inter alia Melitz (Econometrica 71:1695?C1725, 2003). We show that opening up to trade generally leads to a steeper optimal managerial incentive scheme (and hence, higher firm productivity) via a new mechanism by which selection of heterogeneous firms into the export market plays a key role. This is because trade openness unambiguously increases the variation of firm profits by reallocating profits towards ex post low-cost exporters, leading to a higher stake of the market game faced by the principals. Interestingly, it is further shown that, whilst falling variable trade costs unambiguously increase managerial incentives, a reduction in fixed trade costs could possibly lead to weaker incentives and thus generate productivity losses due to an adverse inter-firm reallocation effect. Hence, the model establishes a causal link between the Melitz-type reallocation effect and the within-firm productivity changes, both of which have been identified as important sources of aggregate productivity gains from trade by recent empirical studies.     

内幕交易的经济学分析

本文探讨了中国市场的内幕交易理论,在此基础上提出了4个可检验的假说:(1)内幕交易在中国必定存在;(2)内幕交易在中国比成熟市场更加严重;(3)重大事件中内幕交易的严重程度和管理层付出呈正比关系;(4)内幕交易多围绕利好消息。利用1078个并购重组事件和其他上市公司重大事件为样本,本文运用事件研究法,证实了上述假说。在此基础上,提出了中国内幕交易立法和监管的思路。     

产权安排与企业内部的权力斗争

本文的一个基本假说是 :企业内部的权力斗争与企业的所有权安排有关。我们证明 ,在能力相同情况下 ,企业内部成员占有的股份越大 /经营能力越高 ,每个成员从事生产性活动的积极性越大 ,从事权力斗争的积极性越小 ;内部成员权力斗争的技能越高/控制权收益越大 ,每个成员的生产性努力越小 ,权力投资越大 ;并且 ,权力斗争受随机因素的干扰越小 ,当事人越善于权力斗争 ,控制权收益越大 ,则所有权的效应越显著。在能力不同的情况下 ,为了使能力低的成员不追求控制权 ,必须使他们拥有足够数量的股份 ;并且 ,增加高能力成员的股份也有助于减少低能力成员从事权力斗争的积极性。本文的基本政策含义是 ,解决国有企业的“内耗”问题 ,必须从改革产权制度着手     

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。     

Insider trading legislation and corporate governance

This paper analyzes the impact of insider trading legislation on corporate governance. In a context where large, dominant shareholders can monitor underperforming companies, managers have an incentive to give early warnings about adverse developments to dominant shareholders. This information is effectively a bribe to induce dominant shareholders to sell their stock and refrain from intervention. If insider trading is unregulated, dominant shareholders collude with management at the expense of small shareholders. The optimal regime forces the company to disclose all material information to the market. Private contracting between companies and shareholders leads to optimal insider trading regulation only if initial shareholders can enter a binding commitment, otherwise large shareholders and managers recontract at the expense of small shareholders. Enforcement also matters. European Union legislation requires inside information to be precise. Such a narrow definition creates a grey zone, where information is private but cannot be classified as inside information. As a result the effectiveness of corporate governance and firm value are reduced. Regulation in the US that treats shareholders with a stake exceeding 10% as insiders is potentially harmful.     

工业园区废弃物交易生态协作激励机制

在分析工业园区废弃物交易存在资产专用性和不确定性等问题的基础上,通过构建园区废弃物交易生态协作收益模型,分别探讨了社会最优条件下、单期交易条件下和关系契约条件下有助于废弃物交易双方生态协作的最优激励机制安排。研究结果表明:资产专用性和不确定性等导致单期交易下生态协作存在效率损失,此时根据生产效率分配协作租金可最大程度地减少生态协作效率损失;关系契约推动了生态协作效率的提升,利用企业可通过隐藏废弃物在利用环节的价值增值信息以及调节奖励支付规则等获得社会最优条件下的生态协作收益;废弃物交易双方越关注未来的预期收益,废弃物交易中的协作程度越高,废弃物交易双方获取的生态协作收益就越大;废弃物再利用的成本越高,越需要交易双方进行长期协作,越需要对园区进行政策干预。     

Managerial pay adjustments: Decomposition and impact on firm productive efficiency

This paper decomposes managerial pay adjustments and examines their impact on firm productivity based upon Taiwanese firm panel data. Pay adjustments are decomposed into components arising from three sources: a scheme based on the external labour market comparisons, a scheme derived from the changes in firm and manager characteristics, and transitory pay adjustments. The stochastic frontier model is used to test how these pay components affect firm productivity. Empirical results suggest that the pay adjustments based on the comparison between managers' actual pay and their market-clearing pay are positively related to the output and technical efficiency of the firms, whereas this productivity-boosting effect cannot be seen for other components. This paper shows the importance of the external labour market in connecting managerial pay to firm productivity, and provides a model for the research of managerial pay in an environment where the compensation structure does not have apparent stock incentives.     

内部人交易与股票市场回报——来自中国市场的证据

本文系统地分析了自2007年6月1日以来,我国上市公司内部人的公开市场交易行为。本文的结论表明,在实施了内部人交易监管法规以来,我国上市公司的内部人依然能够利用私有信息在二级市场上赚取超额收益。当内部人购买或出售公司股票时,股票市场都会出现异常反应。而这些超额收益的大小直接受到公司的股权集中度、企业是否为国有等因素的影响。公司治理结构越差,则内部人赚取的超额收益越多。依据上述结论,笔者提出了相应的政策建议。     

Technology choice,relative performance pay,and worker heterogeneity

We identify a new problem that may arise when heterogeneous workers are motivated by relative performance pay: if workers’ abilities and the production technology are complements, the firm may prefer not to adopt a more advanced technology even though this technology would costlessly increase each worker’s productivity. Due to the complementarity between ability and technology, under technology adoption the productivity of a more able worker increases more strongly than the productivity of a less able colleague. As a consequence, both workers’ motivation to exert effort is reduced. We show that this adverse incentive effect is dominant and, consequently, keeps the firm from introducing a better production technology if talent uncertainty is sufficiently high and/or monitoring of workers is sufficiently precise.