【作者】 张宇晴；

【导师】 丁志国；

【作者基本信息】 吉林大学 ， 金融学， 2023， 博士

【摘要】 自内部人全部取得在二级市场买卖股票的权利后,我国内部人的减持频率和减持规模呈现上升趋势,且表现出较强的获利能力。与此同时,资本市场中还出现了精准减持、清仓式减持、辞职减持、超额减持和过桥减持等现象,内部人似乎总是能够采用多元化的方式获取较高的收益。考虑到内部人减持行为对资本市场的冲击,证监会出台了一系列的法律法规,通过不断细化的减持条例对其增强约束和限制,然而资本市场中仍存在较多在政策红线边缘的内部人减持行为。内部人利用关于公司业绩、市场估值和未来发展状况的信息优势以及管理控制权优势进行减持,主动或被动地获取了一定的交易回报,严重损害了外部不知情投资者的利益,也影响了资本市场长期稳定健康发展。因此,为维护资本市场公开公平公正秩序,强化资本市场功能发挥,有必要基于现行有效的制度以及市场现状,深入研究内部人减持的决策逻辑与经济后果。本文聚焦内部人的减持行为,从两个方面展开系统性研究:一是对减持的决策逻辑进行检验,有利于明晰内部人在减持过程中“是否”以及“如何”利用内部信息进行交易,帮助市场参与者更好地了解和判断内部人的减持行为;二是从资本市场公平和效率两个方面对内部人减持的经济后果进行考察,公平和效率是资本市场中的重要议题,保障资本市场公平有助于最大化资本市场效率,资本市场效率的提升则能够推动资本市场更好地服务实体经济,赋能经济高质量发展。具体地,本文选取2007-2021年沪深A股全部上市公司内部人的减持数据,以内部人减持的决策逻辑为出发点,进一步深入分析内部人减持行为对资本市场公平和资本市场信息效率的作用效果和作用机制,与此同时还考虑了相关规定的政策实践效果,以期针对内部人减持给出更加全面、更加贴合现实的政策建议。研究的主要内容以及得到的研究结论如下所示:首先,从宏观经济政策、公司以及个人认知三个层面考察了内部人减持行为的决策逻辑,并具体区分了内部人类型及其减持规模,同时还检验了减持新规对内部人决策逻辑的影响效果。研究发现,内部人的减持规模与公司未来业绩变动情况和经济政策不确定性负相关,而与市场估值水平和股价历史高点比率正相关,表明内部人既会基于信息优势以及对宏观经济的研判能力进行减持,同时也会受到认知偏差的影响。大规模的内部人减持行为会受到未来业绩变动情况以及认知偏差的驱动,而小规模的减持行为则主要以市场估值水平以及宏观经济政策不确定性为依据。不同类型内部人的决策逻辑存在较大的差异,在所有的内部人中,高管更容易基于市场估值、股价历史高点以及经济政策不确定性进行减持,大股东则更多地依据公司未来业绩变动和经济政策不确定性进行减持,而其他股东的减持行为则并未表现出可观测的交易模式。在减持新规出台后,内部人减持的决策逻辑发生了较大的改变,内部人基于认知偏差以及宏观经济研判能力的减持动机得到了有效抑制,但并未对内部人基于业绩预测和估值判断信息优势的减持动机形成有效监管。除此之外,内部人减持的决策逻辑在不同性质、不同上市板块和不同生命周期阶段的公司中,以及不同市场状态下,也表现出较大的差异。其次,通过考察内部人减持的超额收益,分析内部人减持对资本市场公平的影响,并区分内部人类型、高管职务层级、高管性别以及大股东控制权进行异质性检验,同时检验了信息透明度的调节作用以及减持新规的政策实践效果,还考虑了在长时间窗口内,内部人减持行为与资本市场公平的关系。内部人的减持收益意味着对外部不知情投资者利益的侵占,研究发现,内部人通过减持能够获取较高的超额收益,表现出较强的获利能力,在一定程度上影响了资本市场公平。如果内部人为高管、董事长或总经理、女性高管以及实际控制人,那么他们的减持行为能够获得更高的交易回报,对资本市场公平的冲击程度更大。但是,提高公司信息透明度,能够抑制内部人减持行为的获利能力,且这一调节作用在多数类型内部人中均有效。在减持新规出台后,内部人的机会主义减持行为并未得到有效的治理,仍表现较高的频率和规模。进一步地,内部人减持对资本市场公平的冲击会随着时间的延长而减弱。最后,采用股价同步性衡量资本市场信息效率,分析内部人减持与资本市场信息效率的关系,在基于信息不对称视角对作用机制进行检验的同时,还考虑了噪音交易的影响,并进一步判定了减持新规的作用效果。研究发现,内部人减持在一定程度上有助于提升资本市场信息效率,且随着公司内部控制质量、市场关注度以及所在地区市场化水平的提升,这一关系将会被弱化。机制检验结果表明,内部人的减持行为主要通过降低信息不对称程度,进一步提升资本市场的信息效率。基于公司特征的异质性检验结果显示,当公司性质为非国有、处于上证主板以及具有较高的业务复杂度时,内部人减持对资本市场信息效率的提升作用更强。基于内部人类型的异质性检验结果显示,大股东的减持行为有助于提升资本市场信息效率,而高管的减持行为则会降低信息效率。内部人减持对资本市场信息效率的积极作用并未受到噪音交易的干扰,且在减持新规出台后,对信息披露制度的完善进一步推动了资本市场信息效率的提升。本文在内部人减持频率和规模不断提升的背景下,基于制度背景和市场现状,系统地识别了内部人减持的决策逻辑,并深入地分析了内部人减持对资本市场公平和效率的作用效果,基于理论分析与实证检验相结合的研究范式能够获得更贴合市场现实的结论。相关研究结论有利于市场参与者更好地了解内部人的减持行为,同时还能够为监管机构更有针对性施加约束和管制提供理论依据和数据支持。一方面,监管机构应加大对内部人减持的监管力度,提高限制条例的针对性和灵活性,加强对内部人恶意减持行为的监管以及违规行为的处罚力度。另一方面,监管机构应继续完善减持的信息披露制度,加强对减持计划信息披露全面性和准确性的要求,增加内部人减持预披露计划中的强制性内容,在有效抑制内部人减持行为对资本市场公平负面影响的同时,更好地发挥内部人减持行为的信息传递作用。除此之外,提高公司信息透明度有助于降低与外部投资者的信息不对称程度,缓解内部人减持行为对资本市场的冲击,因此应进一步增强公司信息披露的及时性和可靠性。更多还原

【Abstract】 Since insiders have all acquired the right to buy and sell stocks in the secondary market,the frequency and scale of insider holdings reductions in China have shown an upward trend and have demonstrated a strong profit-making ability.At the same time,there are also phenomena such as precise reduction,liquidation reduction,resignation reduction,excess reduction and bridge reduction in the capital market,and insiders always seem to be able to use diversified ways to obtain higher returns.Considering the impact of insider holding reduction behaviors on the capital market,the SFC has issued a series of laws and regulations to enhance constraints and restrictions on them through continuously refined regulations on holding reductions,yet there are still more insider holding reductions in the capital market that are on the edge of the policy red line.Insiders take advantage of information about the company’s performance,market valuation and future development status as well as management control to reduce their holdings,actively or passively obtaining certain trading returns,which seriously damages the interests of external uninformed investors and also affects the long-term stable and healthy development of the capital market.Therefore,in order to maintain the open,fair and just order of the capital market and strengthen the functioning of the capital market,it is necessary to study in depth the decision-making logic and economic consequences of insider holdings reduction based on the current effective system as well as the current market situation.This paper focuses on insider holdings and conducts a systematic study from two aspects: first,it examines the decision-making logic of insider holdings,which helps to clarify "whether" and "how" insiders make use of inside information to trade in the process of holding reductions,and helps market participants to better understand and judge insider holdings.The second is to examine the economic consequences of insider holdings in terms of capital market fairness and efficiency,which are important issues in capital markets.Specifically,this paper selects insider holding reduction data of all listed companies in Shanghai and Shenzhen A-shares from 2007 to 2021,takes the decision logic of insider holding reduction as the starting point,further analyzes the effect and mechanism of insider holding reduction on capital market fairness and capital market information efficiency,and also considers the effect of relevant regulations in practice,in order to give more comprehensive and realistic policy recommendations on insider holding reduction,The main content of the study and the research results obtained are as follows The main contents of the study and the conclusions obtained are as follows:First,we examine the drivers of insider ownership reduction behavior at three levels:macroeconomic policy,company,and individual perceptions,and specifically distinguish the types of insiders and their reduction sizes,and also examine the effect of the new regulations on insiders’ decision-making logic.The study finds that the size of insider holdings is negatively correlated with the future performance changes of companies and economic policy uncertainty,while positively correlated with the market valuation level and the historical high ratio of stock prices,indicating that insiders will reduce their holdings based on both their information advantage and their ability to make macroeconomic judgments,while also being influenced by cognitive biases.Large-scale insider holdings are driven by future performance changes and cognitive biases,while small-scale holdings are mainly based on market valuation levels and macroeconomic policy uncertainties.Among all insiders,executives are more likely to reduce their holdings based on market valuations,historical highs in share prices and economic policy uncertainties,while major shareholders are more likely to reduce their holdings based on future performance changes and economic policy uncertainties,while other shareholders do not exhibit observable trading patterns in their holdings.After the introduction of the new regulations,the decision-making logic of insider holdings has changed significantly,and the insiders’ motivation to reduce holdings based on cognitive bias and macroeconomic research and judgment ability has been effectively suppressed,but the insiders’ motivation to reduce holdings based on the information advantage of performance forecast and valuation judgment has not been effectively regulated.In addition,the decision logic of insider holdings reduction also shows a large difference among companies with different nature,different listed sectors and different life cycle stages,as well as different market states.Second,we analyze the impact of insider holdings on capital market equity by examining the excess returns of insider holdings,and distinguish between insider type,executive job hierarchy,executive gender,and majority shareholder control to test for heterogeneity,as well as examine the moderating effect of information transparency and the effect of the new regulations on holdings reduction in policy practice,and also consider the relationship between insider holdings reduction behavior and capital market equity over a long time window..The insider’s proceeds from holding reduction imply the appropriation of the interests of uninformed external investors.The study finds that insiders are able to obtain higher excess returns through holding reduction and show stronger profit-making ability,which affects capital market equity to a certain extent.If insiders are executives,chairman or general manager,female executives and effective controllers,they are able to obtain higher trading returns from their shareholding reductions and have a greater degree of impact on capital market equity.However,improving the transparency of company information can inhibit the profitability of insider holdings reductions,and this moderating effect is effective across different types of insiders.After the introduction of the new regulations on holding reduction,opportunistic holding reduction by insiders has not been effectively governed and still exhibits a higher frequency and scale.Further,the impact of insider holdings reduction on capital market fairness diminishes with time.Finally,the relationship between insider shareholding reduction and capital market information efficiency is analyzed by using stock price synchronization to measure capital market information efficiency.While testing the mechanism of action based on the information asymmetry perspective,the effect of noise trading is also considered and the effect of the new regulations on shareholding reduction is further determined.It is found that insider shareholding reduction helps to enhance capital market information efficiency to a certain extent,and this relationship will be weakened as the quality of the company’s internal control,market attention and the level of marketization of the region in which it is located increase.The results of the mechanism test indicate that insider ownership reduction further enhances the information efficiency of the capital market mainly by reducing the degree of information asymmetry.The results of the heterogeneity test based on firm characteristics show that the effect of insider ownership reduction on capital market information efficiency is stronger when the firm is non-state-owned,on the main board of the SSE and has a higher business complexity.The results of the heterogeneity test based on insider type show that the shareholding reduction by major shareholders helps to enhance capital market information efficiency,while the shareholding reduction by executives reduces information efficiency.The positive effect of insider shareholding reduction on capital market information efficiency is not disturbed by noisy trading,and the improvement of information disclosure system after the introduction of new regulations on shareholding reduction further promotes the improvement of capital market information efficiency.This paper systematically identifies the decision-making logic of insider holdings in the context of the increasing frequency and scale of insider holdings,based on the institutional background and the current market situation,and analyzes the effects of insider holdings on the fairness and efficiency of the capital market in depth,based on a research paradigm that combines theoretical analysis and empirical testing to obtain conclusions that are more relevant to the market reality.The findings of the study are helpful for market participants to better understand insider holding reduction behaviors,and also provide theoretical basis and data support for regulators to impose more targeted constraints and controls.On the one hand,regulators should increase the regulation of insider holdings,improve the relevance and flexibility of restrictive regulations,and strengthen the regulation of malicious insider holdings and the penalties for noncompliance.On the other hand,regulators should continue to improve the information disclosure system for shareholding reductions,strengthen the requirements for the comprehensiveness and accuracy of information disclosure on shareholding reduction plans,and increase the mandatory content in insider shareholding reduction predisclosure plans,so as to effectively curb the negative impact of insider shareholding reductions on the fairness of the capital market while better playing the role of information transmission of insider shareholding reductions.In addition,improving the transparency of company information can help reduce the degree of information asymmetry with external investors and mitigate the impact of insider shareholding reduction behaviors on the capital market,so the timeliness and reliability of company information disclosure should be further enhanced.更多还原