内部人购买本公司股份行为披露的信息含量：基于后股改时期的证据

以后股权分置改革时期为研究背景，实证考察了内部人股份买入信息披露的信息含量及其影响因素。研究发现，投资者持有存在内部人股份买入信息披露公司股份获得的超额累积回报随着信息不确定性程度的增加而增大。当公司披露盈利亏损这一负面消息后，内部人股份买入信息会带来较大的盈利持续性预期调整，这一现象在信息不确定性程度较高的公司组最为明显。文章表明市场对上市公司盈余预期的调整会受到信息环境的影响，内部人购入本公司股份信息披露市场的反应强度与方向具有显著差异。该结论对帮助投资者更好地理解内部人股份交易行为披露的信息含量与会计信息的交互作用提供了进一步证据。

The Information Content of Disclosure of Insider Share Purchase:Evidence from Post-Share Split Reform Period

Under institutional background of share split reform, the paper offers empirical evidences on information contents of insiders’ share purchases and its determinants. My findings indicate that cumulative abnormal return earned by investors with information disclosure of insider’ share purchase is higher with the increase of information uncertainty. When negative news such as quarterly earning loss is announced, insider share purchases would bring more adjustment of earning persistence and this phenomenon is more obvious for firms with more information uncertainty. The study indicates that information environment will have an important effect on investors’ earning expectation adjustment towards “bad news” sustainability and then the intensity and direction of market reactions towards insiders’ share purchases. In conclusion, the paper provides evidences on the interaction about informativeness of insider trading and accounting information.