摘要
以我国深交所年报问询函及其公司回复函为研究对象,考察了年报监管函件披露前后的内部人减持规模及其披露产生的市场反应,研究发现,(1)年报问询函回复期的内部人减持规模显著高于控制期,内部人存在利用回复期的信息优势进行交易的择时行为;(2)年报问询函及其公司回复函披露后均出现了负面股价反应,披露前发生内部人减持的样本负面股价反应更大,表明此类函件揭示了敏感信息,内部人通过提前减持规避未来股价下跌的损失;(3)及时对年报问询函做出回复有助于向投资者澄清问题,不论年报问询函回复期是否发生内部人减持,未逾期回复样本的市场反应均好于逾期回复样本。
Taking the enquiry letters of annual reports in China＇s Shenzhen Stock Exchange and the reply letters from the companies as the research samples, this paper investigates the scale of the reduced shares held by the insiders before and after the disclosure of the supervision letters in the annual reports and the market responses to these disclosures. The findings show that：（1） the scale of reduced share held by the insiders during the return period of the enquire letters in the annual reports is significantly higher than that during the control period, the insiders have the time-selecting behaviors that they would take the opportunity of their information advantage during the return period to conduct transactions;（2） after the enquiry letters in annual reports and the return letters, there appear negative stock price responses, and the samples of the insiders＇ reducing share holding before the disclosure have more significant negative share price responses, indicating that these letters would reveal sensitive information, so that the insiders try to avoid their losses caused by the future stock price decline through reducing their holding shares in advance;（3） timely responses to the annual report enquiry letters are conductive to clarifying the problems to the investors, whether the insiders reduce the shares they hold during the return period for the enquire letters of the annual reports or not, the market reaction to the samples of the letters with no overdue responses is all better than that to the sample letters with overdue responses.
作者
李琳
张敦力
夏鹏
LI Lin;ZHANG Dun-li;XIA Peng(Zhongnan University of Economics and Law, Wuhan 430073, Chin)
出处
《当代财经》
CSSCI
北大核心
2017年第12期108-119,共12页
Contemporary Finance and Economics
基金
财政部"全国会计领军人才培养工程特殊支持计划"
武汉市黄鹤英才计划
关键词
年报监管
内部人减持
市场反应
年报问询函
Annual report supervision
reducing holding-shares by the insiders
market response
annual report enquiry letters
