摘要
考虑到资金成本、市场的系统性风险和被监管的可能性,内幕交易者最可能利用两个相隔时间很短的定期报告进行内幕交易。因为这种交易模式最隐蔽,最安全。同时,因承担了高成本和高风险,内幕交易需要巨额的交易量才能获得超额收益。本文正是利用内幕交易的这些特征,找到了极好的研究样本(年报亏损下年首季报盈利且年报首季报先后公布的样本)和控制样本(年报亏损下年首季报盈利但年报首季报同时披露的样本或者年报亏损下年首季报仍然亏损且年报首季报先后公布的样本),通过异常的超额交易量验证了内幕交易的存在。本文研究表明,在信息披露监管政策中,不仅要考虑信息披露的及时性和充分性,还应考虑信息披露过程是否为内幕交易提供了可乘之机。
Considering the cost of capital, system risk of the market and the probability of being punished, informed Traders prefer trading on the periodic financial reports and finishing the trade in a short time. It is the safest one on which the informed trading can based. The cost of informed trading are so high that the traders can only gain abnormal return by a huge trading volume, We get a proper test sample （the loss yearly financial report and the next 1st profit quarterly report are disclosed separately） and control samples （the loss yearly financial report and the next 1st profit quarterly report are disclosed simultaneously or the loss yearly financial report and the next 1st loss quarterly report are disclosed separately）. The empirical results show that the informed trading brings an abnormal ＂abnormal trading volume＂ which we define it as extra abnormal trading volume. It implies that a good disclosure policy should consider not only the timeliness and veracity, but also the safety, that is, not tend to offer an opportunity to informed traders.
出处
《中国会计评论》
CSSCI
2008年第2期207-222,共16页
China Accounting Review
关键词
披露时差
内幕交易
异常超额交易量
Timing, Informed Trading, Extra Abnormal Trading Volume
