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。

Short Sellers and Insider Trading: Evidence from the Chinese Securities Market

The research on short sales predominantly focuses on two areas. The first is the effect of short selling on the stability, liquidity, pricing efficiency, and price discovery of stock markets. The second is the effect of short selling on corporate financial decisions, such as capital structure, investment policy, earnings management, and firm innovations. The general findings indicate that short sales can reduce price bubbles, promote market stability, and improve pricing efficiency. They can also serve as an effective external corporate governance mechanism that improves the efficiency of corporate finance and investment, reduces earnings management, and enhances innovation expenditures and outputs. However, issues such as the source of short sellers' information and whether short selling leads to insider trading remain the subject of intense debate.
Using 2010 to 2015 data for all Chinese A shares, this article provides one of the first studies on the sources of short sellers' information advantage and how short selling affects stock market returns. In particular, it analyzes short selling behavior before and after major corporate announcements, including insider sales of restricted shares, annual reports, lawsuits, analyst upgrades or downgrades, suspension and resumption of trading, and stock dividends. This article sheds light on whether short sellers are involved in insider trading and what factors affect their involvement.
This article tests five hypotheses. First, stocks with a higher percentage of short sales have lower expected returns, indicating that short sellers are informed traders. Second, short sellers significantly increase (decrease) trading before the announcement of important negative (positive) corporate news. Third, short sellers are more likely to engage in insider trading in firms with lower market capitalization and fewer analyst recommendations because these firms suffer more information asymmetry. Fourth, short sellers are more likely to engage in insider trading in firms with more private equity holdings. Five, short sellers are more likely to engage in insider trading in regions where law enforcement is relatively weak.
This article finds that stocks with higher excess short-selling ratios have lower future returns, indicating that short sellers are not liquidity traders. In fact, short sellers possess information advantages and should be classified as informed traders.In addition, short sellers have very accurate market timing capabilities in that they are able to increase the amount of short selling significantly before major announcements of bad news and to reduce the amount of short selling significantly before major announcements of good news. This suggests that the information advantage of short sellers as informed traders is derived from insider information. Furthermore, short sellers are more likely to engage in insider trading if the degree of information asymmetry between internal and external investors is large or if local law enforcement is weak. Overall, the results suggest that to curb short sellers from participating in insider trading, securities regulators should pay close attention to unusual changes in the volume of short sales immediately before and after companies' major news announcements. At the same time, securities regulators should continue to reform rules on information disclosure, strengthen analyst coverage, and improve the implementation of laws and regulations.
This article makes three major contributions. First, it is one of the first to examine whether short sellers in Chinese A-share markets possess an information advantage, the source of the advantage, and the effect of the advantage on expected stock returns. Second, whereas studies on short sale activities usually focus on one type of corporate announcement, this article investigates six types, namely insider sales of restricted shares, annual reports, lawsuits, analyst upgrades or downgrades, suspension and resumption of trading, and stock dividends. This article finds strong evidence that short sellers engage in insider trading. Third, this article analyzes the factors that affect short sellers' engagement in insider trading, shedding new light on how securities regulators can monitor trading behavior in stock markets.