知情交易者应对法规的隐蔽性交易策略研究

For the transition of regulations which aim at restricting the stock transactions behavior of controlling shareholders and managements, this project will investigate the secret trading strategy of informed traders. Specifically, based on information asymmetry theory, rational expectation theory, corporate control theory, the project will build dynamic models which consider the trade-off among informed trading profits, private control benefits, and legal penalties exploiting theories developed in Kyle(1985) and Huddart et al. (2001), and prove the following propositions respectively: in order to avoid dissemination of private information, controlling shareholders prefer disclosing their trading intervals instead of exact trading dates; both related parties of controlling shareholders and relatives of managements will hide their trading behavior since their litigation risk is lower. Using certain statistical methodology, the project will develop empirical models to analyze the secret trading strategy of informed traders in response to informed trading regulations. Further, this project will examine hidden behavior of informed traders considering the impact of their ownership, board and relative shareholding characteristics. The project will enrich the theories which study strategies of delayed disclosure, contrarian trading, and timing since it analyzes trading strategy from the aspect of secret trading motivation trade-off which is induced by the change of informed trading rules. Besides, findings of this project could enable supervisory authorities to monitor informed trading effectively, and help financial intermediaries and other investors better understand the secret behavior of informed traders.

针对控股股东、高管股权交易法规变迁，本项目将研究知情交易者应对法规的隐蔽性交易策略。具体地，本项目将以信息不对称理论、理性预期理论、控制权理论为基础，应用Kyle（1985）和Huddart等（2001）的知情者交易策略模型，基于知情交易者交易收益、控制权私有收益及违规成本的权衡，建立动态博弈模型，论证控股股东未披露交易日期的隐蔽性交易策略，以及控股股东关联方、高管亲属的隐蔽性交易策略。本项目将应用相关统计方法，验证知情交易者应对法规的隐蔽性交易策略及其影响，进而，将从控股股东、高管股权特征、董事会席位特征、控股股东股权相对度角度，验证知情者特征与其隐蔽性交易策略的关系。由此，本项目研究将从知情者应对法规的隐蔽性交易动因权衡角度，发展延迟披露策略、反向交易策略、择机策略等相关理论，并将为证监会有效监督知情者隐蔽性交易行为提供政策依据，为金融中介、投资者解读知情者隐蔽性交易策略提供参考。

本项目研究了知情交易者应对法规的隐蔽性交易策略及其后果。针对中国市场经济环境及公司内部人交易法规变迁，本项目应用信息不对称理论、理性预期理论和控制权理论，基于知情交易者交易收益、控制权私有收益与违规成本的权衡，论证知情交易者应对法规的隐蔽性交易策略；同时，应用相关统计方法，检验相关命题。具体地，本项目主要研究了以下问题：限售股份解禁制度变化与内部人解禁的限售股份交易研究；卖空机制与内部人交易关系研究；基于内部人交易等自利动机的年报文本信息复杂性及应计操纵与年报文本信息语气操纵研究；基于地方政府GDP操纵与官员升迁的盈余操纵与内部人交易理论和方法的拓展研究，以及地方官员升迁、产业政策与投资效率研究；制度距离、外资持股与公司盈余质量及崩盘风险研究；质权人竞争与股权质押公司股价崩盘风险研究等。历经2016至2019年度，本项目按期圆满完成了既定研究计划，共发表论文10篇，其中，英文期刊4篇：Journal of Accounting & Economics 1篇，Journal of Accounting, Auditing & Finance等3篇。中文6篇：《管理世界》2篇，《会计研究》等4篇；另有4篇论文入选国际会议并报告，且投稿国际期刊中。1篇论文获2018 China International Conference in Finance (CICF) XiYue Best Paper Award(2018.07)；另1篇论文获上海市第十四届哲学社会科学优秀成果一等奖（2018.10）。本项目发展了内部人交易相关研究，并为证监会有效监督知情者隐蔽性交易行为提供政策依据，为金融中介、投资者解读知情者隐蔽性交易策略提供参考。