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证监会2017年实施的《减持新规》强制要求内部人披露减持计划，但是对于计划是否执行或执行多少没有作出明确要求。已有研究发现减持预披露显著限制了我国内部人减持获利能力，但计划执行的弱约束是否留给内部人机会主义的交易空间尚不清楚。文章研究结果验证了这种可能性，即减持计划执行的弱约束给予了内部人利用私有信息赚取超额减持回报的机会。具体而言，当前次减持计划执行不力时，内部人在本次减持计划的交易中获得了显著更高的减持前超额回报；且当前后两次减持计划间隔时间短、公司信息不对称程度高时，该超额回报更为显著。这表明内部人在做出不执行减持计划的决策时很可能已经获取了公司尚未公开的好消息，从而通过披露新的减持计划获得更高的超额回报。进一步研究表明，这一结果无法用股价走势差异、内部人利用公开信息的能力差异等竞争性假说来解释。作为首篇揭示内部人减持计划执行不力动机的研究，文章不仅丰富了内部人交易的研究，而且对完善我国《减持新规》具有直接的借鉴意义。
Abstract：China's 2017“New Rules on Share Reduction”implemented by the CSRC mandatorily require insiders to disclose reduction plans but impose no explicit requirements on whether or to what extent these plans must be executed.Existing studies have found that pre-disclosure of reduction plans significantly limits insiders'profit-taking ability in China.However,it remains unclear whether the weak enforcement constraints provide room for opportunistic trading by insiders.This study confirms such possibilities:the weak enforcement of reduction plans allows insiders to exploit private information to earn excess returns from share reductions.Specifically,when previous reduction plans were poorly executed,insiders obtained significantly higher pre-reduction excess returns in subsequent reduction plan transactions.These excess returns were more pronounced when the interval between consecutive reduction plans was shorter and when corporate information asymmetry was higher.This suggests that insiders,when opting not to implement their reduction plans,were likely privy to undisclosed positive information,which they subsequently leveraged by announcing new reduction plans to capture higher excess returns.Further analysis shows that these results cannot be explained by alternative hypotheses such as differences in stock price trends or insiders'ability to leverage public information.As the first study to reveal the motivations behind insiders'poor execution of reduction plans,this paper not only enriches research on insider trading but also provides direct implications for improving China's“New Rules on Share Reduction”.
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(1)对内部人的监管本身存在成本,如Demarzo等[5]撰写的论文较早对内部人监管成本进行了讨论。
(2)即被告并不否认原告所主张之事实的真实性,同时,也提出其他的理由来说明为什么自己不应承担责任。
(3)已有文献(如Friederich等[36])一般用内部人卖出股票避免的亏损大小来衡量内部人利用私有信息在坏消息披露之前卖出股票的机会主义程度。本文既考察内部人可能在坏消息前卖出股票的机会主义行为,也考察内部人基于私有信息放弃执行前次减持计划而等待好消息披露后卖出股票的行为,因此本文的主回归同时考察内部人减持前和减持后的超常回报。
(4)依据内部人减持计划分布图,内部人的完成情况大多集中在0以及100%,我们选择10%作为阈值,在此范围内的被认定为减持不力,在未列示的稳健性测试中,我们尝试了5%、20%等,文章的结论不受阈值选择的影响。
(5)本文的主要研究对象是董监高,没有考虑大股东的行为。主要原因是大股东往往只披露在一段时间内完成的交易数量,这可能影响我们对交易时点的判断以及计算交易时点的超额回报。
(6)样本中出现了少数内部人选择在上一计划未结束前开启下一计划这一情况,如果出现计划交叠的情况,本文对此类样本间隔天数取零。此外,本文也尝试删除这类样本,两种处理方式对结果没有明显影响;在稳健性测试中,本文删除了那些存在重叠减持计划的样本,实证结果仍然稳健。
(7)在未展示的表格中,本文还尝试了以180天作为时间间隔的分组依据,结果稳健。
(8)全部计划均“执行不力”“执行好”的内部人分别占比0.67%、37.36%。
(9)我们还以是否完成5%、20%、30%作为判断计划是否执行不力的阈值,以及仅保留完成比例为0%和100%的样本进行测试,结论不变。
基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2025.08.006
中图分类号:F832.51
引用信息:
[1]曾庆生,徐嘉仪.减持计划执行的弱约束与内部人机会主义减持——基于2017年《减持新规》的证据[J].商业经济与管理,2025,No.406(08):91-105.DOI:10.14134/j.cnki.cn33-1336/f.2025.08.006.
基金信息:
教育部人文社会科学重点研究基地重大项目“大数据发展与会计信息契约功能研究”(22JD790093)