公司事件、信息优势与投资者交易

Do different investors have equal access to corporate information disclosure? Do different investors have various information advantages? How much benefit can investors acquire from information advantages? Does investor benefit stem from their abilities in interpreting public information or the dissemination of private information? These questions are closely followed not only by the securities regulators, but also academic researchers in corporate finance. .Based on the unique dataset of investor trading on account level, the project can precisely distinguish investor categories. Combining corporate events and natural experiments in China, we identify the process of information diffusion and pricing mechanism from the perspective of investors' information advantage and abnormal profits, and provide policy suggestions for regulators. Specifically, we first go beyond the limitation of previous studies with low-frequency trading data. We estimate exactly the information discrepancy among various investors, the magnitude and timeliness of investor trading around corporate events, and identify the potential causality. Second, by deeply analyzing corporate events including but not limited to management forecasts, investors' firm-site visits, and corporate illegal records, we systematically investigate investor responses to corporate events and in turn understand the motivations behind corporate decisions. Moreover, we will complement the academic studies in investor heterogeneity through investigating different investors' trading. By taking advantages of Chinese institutional features, we also enrich the understanding of emerging capital market.

公司事件是否向所有投资者公平披露？不同投资者在披露过程中是否具有相对信息优势？信息优势会带来多大程度的盈利差异，其来源是公开信息解读能力还是私有信息传递？这些既是监管部门关注的重大问题，也是财务理论的重要研究内容。.本项目基于可精确识别机构/个人投资者类型的账户级数据（来自券商与交易所），结合重要公司事件与中国独有的自然实验机会，从投资者信息优势与异常获利的角度，揭示信息融合与价格形成机制，并提出监管建议。第一、我们克服常规研究基于低频数据考察交易行为的局限，精确衡量事件前后不同投资者的信息差异、交易程度及反应及时性，并识别因果关系。第二、深入分析行为金融中较少涉及的管理层预测、投资者访问、公司违规违法等事件，并将不同事件提炼归纳，系统研究其对交易行为的影响，以反向深入理解公司决策背后的机制。整体上，投资者类型的精确识别将丰富异质性投资者的研究；基于中国制度背景的考察将丰富新兴市场的研究。

公司事件是否向所有投资者公平披露？不同投资者在披露过程中是否具有相对信息优势？信息优势会带来多大程度的盈利差异，其来源是公开信息解读能力还是私有信息传递？这些既是监管部门关注的重大问题，也是财务理论的重要研究内容。.本项目基于可精确识别机构/个人投资者类型的账户级数据（来自券商与交易所），结合重要公司事件与中国独有的自然实验机会，从投资者信息优势与异常获利的角度，揭示信息融合与价格形成机制，并提出监管建议。第一、我们克服常规研究基于低频数据考察交易行为的局限，精确衡量事件前后不同投资者的信息差异、交易程度及反应及时性，并识别因果关系。第二、深入分析行为金融中较少涉及的管理层预测、投资者访问、公司违规违法等事件，并将不同事件提炼归纳，系统研究其对交易行为的影响，以反向深入理解公司决策背后的机制。整体上，投资者类型的精确识别将丰富异质性投资者的研究；基于中国制度背景的考察将丰富新兴市场的研究。