事前披露能够降低董监高减持的获利能力吗?——基于中国“减持新规”的实证检验

"事前披露"能否降低董监高交易的信息优势?中国证监会于2017年5月修订并实施的"减持新规"首次为上述命题的检验提供了独特的研究场景。通过"事件研究法",本文对"减持新规"颁布前后的董监高减持行为进行研究,考察事前披露减持计划是否会削弱董监高减持时的信息优势。实证结果表明,"减持新规"实施后董监高减持的短期超常回报显著低于"减持新规"实施前,这说明事前披露会抑制董监高交易的择时能力。进一步研究发现,当公司信息质量较差、所处地区的市场化程度较低、成长性较高、减持规模较大时,事前披露对董监高减持获利能力的削弱作用更强;"减持新规"实施对董监高减持超常回报的削弱主要体现在交易日与减持计划披露日间隔短的减持样本中。本文不仅在实证层面上验证了"事前披露"可以降低董监高交易的信息优势,丰富了内部人交易研究文献,也为我国"减持新规"的实施效果提供了证据和建议。

Can Pre-announcement Reduce the Profitability of Insider Selling？ Evidence from the “New Regulation of Insider Selling” in China

Can pre-announcement reduce the information advantage of insider trading？ This question has been discussed deeply in analytical research. In 2000, Fried proposed that pre-announcement can effectively reduce the profitability of insider trading, and as a regulatory method, it has the benefit of lower implementation costs. Subsequently, several papers used theoretical models to show that pre-announcement reduces the probability of insider trading by reducing insiders' information advantages (Huddart et al., 2000; Lenkey, 2014). However, there is no direct empirical evidence to answer this question, as few countries have issued regulations requiring pre-announcement of insider trading.
The “New Regulation of Insider Selling”, implemented by the China Securities Regulatory Commission in May 2017, provides a unique study setting for the empirical test of this question. The new regulation requires an insider to disclose the selling plan 15 days before the first sale of shares. The pre-announcement should include but is not limited to the number, source, time interval, type, price interval, and reasons for the selling of the shares. The new regulation also requires that the selling period of each pre-announcement should not exceed six months, the progress of the insider selling should be disclosed when more than half of the shares are sold or the selling time is more than half over, and the specific selling condition should be disclosed within two trading days after the implementation of the selling plan or the expiration of the disclosed selling period.
We focus on the selling behavior of directors, supervisors, and senior managers who sell their company's stock in the secondary market as disclosed by the Shenzhen and Shanghai Stock Exchanges from June 1, 2016, to April 25, 2018. Our sample includes 3,792 observations before the new regulation (June 1, 2016-May 26, 2017) and 2,522 observations after the new regulation (May 27, 2017-April 25, 2018). By using the event study method, we study insider selling before and after the implementation of the “New Regulation”, and examine whether pre-announcement of the selling plan weakens insiders' information advantage.
The empirical results show that the short-term abnormal return of insider selling after the implementation of the new regulation is significantly lower than before, which indicates that pre-announcement inhibits the timing advantage of insider trading. Further research shows that pre-announcement reduces insider selling's profitability more strongly when the information quality is poor, the degree of marketization is low, the growth opportunity is high, the scale of insider selling is large, or the interval between the pre-announcement date and insider selling date is short.
The contributions of this paper are as follows. First, by taking advantage of the unique research background of China's “New Regulation of Insider Selling”, it provides empirical evidence on the regulatory effect of pre-announcement on insider trading, which strongly supports and expands the existing theory. Second, unlike previous studies, which focused directly on the profitability of insider trading, this paper examines the weakening effect of pre-announcement on the profitability of insider trading and provides indirect evidence that insiders gain stock returns by using their information advantage. This result provides a useful supplement to the literature. Finally, by examining the effect of the “New Regulation of Insider Selling” on the trading of insiders with different characteristics, the conclusions of this study will help market regulators evaluate the effectiveness of their policies and further improve the efficiency of the capital market.