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西澳大学商学院于晶:卖空者是否影响内幕交易的信息量:基于SHO法规的实证研究

( 来源: 作者: 发布日期:2017-04-05 10:45:14)

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Biography

Jing Yu joined UWA Business School after graduating with a doctoral degree in banking and finance from in Nanyang Technological University, Singapore in 2009. She is currently the senior lecturer in Accounting and Finance Discipline at UWA Business School. Jing has diverse research interests in areas of corporate governance, international corporate finance, and empirical market microstructure. So far, her research articles have been published or accepted for publication in various leading accounting and finance journals such as Review of Finance, Contemporary Accounting Research and Journal of Banking and Finance. Her papers have won several best paper awards at international conferences and at the UWA Business School. Meanwhile, Jing supervised and are supervising many Honours, Masters and PhD students in completing their dissertations in the field of Finance. Jing’s teaching primarily focuses on corporate finance at various levels.

 

于晶,女, 于2009年南洋理工大学取得金融学博士学位,目前为西澳大学商学院金融会计系高级讲师(等同于国内的副教授职称)。研究领域主要集中在公司监管、世界金融经济和股票交易实证研究等方面。于晶教授在Journal of Banking and FinanceReview of Finance, Australian Journal of Management Contemporary Accounting Review等具有较高影响因子的SSCI期刊发表多篇论文,并参与多项课题研究。凭借丰富的研究经验,她的研究成果在西澳大学商学院以及国际会议上获得过多个最佳论文奖。她于2006年通过FRM所有考试,2013年获得CFA

 

卖空者是否影响内幕交易的信息量:基于SHO法规的实证研究

Do short sellers matter for insider trading informativeness? Evidence from the implementation of Regulation SHO

摘要:2005年至2007年之间实行的SHO法规对罗素3000股指随机选取的三分之一股票(试点股票)完全取消了针对卖空行为的价格测试。本文这起针对卖空行为所采取的外生事件和双重差分模型研究了卖空行为的增长对于公司内幕交易盈利的影响。研究发现:(1SHO法规期间试点股票的内幕交易(主要是出售股票)收益更大,而这种发现在法规SHO之前和之后均不存在。(2)试点项目的效应对于拥有内部信息的公司内幕交易和信息相对不对称的公司更为显著,说明增加的卖空行为加快了公司高管以信息为基础的交易。而且试点项目的效应主要集中于非管理层的内部交易以及当企业的盈利超出预期的情况。这样的发现表明公司高管在向卖空投资者学习和采集信息。(3)试点项目的效应在机构投资者持有量较低以及金融分析师关注较低的股票方面较为显著,这表明虽然内幕交易基于各个方面信息,但当其他可替代信息源稀缺时,卖空投资者所拥有的信息对于内幕交易更有价值。