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金融研究  2023, Vol. 511 Issue (1): 169-187    
  本期目录 | 过刊浏览 | 高级检索 |
李善民, 杨楠, 黄志宏
中山大学管理学院/中山大学企业研究院, 广东广州 510275;
清华大学五道口金融学院, 北京 100083
A Study on Informed Trading Based on Private Information before M&A Announcement
LI Shanmin, YANG Nan, HUANG Zhihong
School of Business/Institute of Enterprises Research, Sun Yat-sen University;
PBC School of Finance, Tsinghua University
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摘要 并购重组中基于内幕信息的知情交易行为既是监管重点,也是学术界关注的热点问题。本文以2006—2020年我国上市公司并购重组事件为样本,考察并购重组前的知情交易行为对并购公告收益的影响。研究发现:并购重组前的知情交易行为引发了主并公司股价的提前反应,从而降低了并购公告时的市场反应,这一现象是由内幕信息泄露引起,且内幕信息主要来源于包括员工在内的公司内部人,而非机构投资者。进一步分析表明,改善信息环境可以有效缓解并购重组的信息泄露问题,体现为知情购买交易的信息泄露效应受到分析师跟踪、审计质量和问询函制度的有效制约。本文研究深化了现有的并购重组内幕交易行为研究,为实施精准监管和防范内幕交易等政策提供了一定参考和依据。
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关键词:  知情交易  并购重组  内幕交易  信息泄露    
Summary:  Illegal insider trading mainly occurs before the M&A announcement. From 2015 to 2019, the national securities regulatory system handled 418 illegal insider trading cases, of which 75.84% were related to major investments and major asset purchases of enterprises. As a major investment decision, mergers and acquisitions are sensational news in China's capital market, and a complex investment revolving around various stakeholders and sometimes requiring time-consuming approval. These characteristics of M&A make it more difficult to identify illegal insider transactions, but existing literature provides limited insight into the problem. Therefore, how to characterize, recognize and prevent informed trading based on private information in mergers and acquisitions has become an important issue that needs to be resolved urgently in theoretical research and practical supervision.
Illegal insider trading is informed trading based on private information in the area of market microstructure research, where there are assumed to be two types of traders in the market. Informed traders can access private information like M&A events and make transactions in advance, while uninformed traders make transactions independently without private information. Although it is impossible to observe whether a trade is based on private information or not directly in the transaction data, the calculation of the probability of information-based trading (PIN) provides an efficient measure to capture the possibly illegal insider trading in empirical research. Based on the improved indicators of informed purchase and informed selling trading, this study is aimed to investigate the impact of informed trading based on private information on the M&A, the participant and mode of informed trading based on private information, and try to find the solution to potential adverse impact.
A large number of empirical studies have found that informed trading will have an impact on the short-term market performance of mergers and acquisitions. Firstly, informed trading before M&A announcement will cause the stock price to react in advance. Secondly, informed trading before M&A announcement will reduce the cumulative abnormal return around M&A announcements. However, the theoretical interpretation, subject, and mode of informed trading remain controversial. Rational structure uncertainty theory attributes price reaction to incomplete information structure among different investors. Informed traders take advantage of private information to make a transaction in advance so that the stock price goes up before the M&A announcement, leaving an inadequate price reaction at the announcement date. Behavior theory claims that uninformed investors are irrational and tend to follow the trend of trading when the stock price rises, so the announcement return decreases afterward. The study will empirically examine the theoretical foundation of the stylized fact. Furthermore, the study will use the indicator of informed purchase and informed selling to figure out the transaction mode. The study also sheds light on two types of important investors including outsiders and insiders of bidding firms, investigating whether they use private information of M&A to gain illegal returns in the capital market. Finally, the study tests the improvement of the information environment as a precautionary approach to informed trading based on private information.
The study uses the M&A events taking place between January 2006 and July 2020 of listed companies in China as a research sample to investigate the influence of informed trading on the market performance of mergers and acquisitions. The trading data is obtained from the Tinysoft database, while other financial data is obtained from the CSMAR database.
We find that informed trading before mergers and acquisitions triggers an early response in the bidding firm's stock price, thereby reducing the market reaction at the date of the M&A announcement. This phenomenon is caused by the leakage of insider information and undermines the fairness of the capital market. We also find that the informed selling transaction before the M&A announcement is not based on private information, causing no insider information leakage; while the informed purchase transaction before the M&A announcement is based on private information. We find that the information leakage effect of informed purchase transactions is more serious in the bidding companies with low institutional investors' shareholding and low employee shareholding in employee stock ownership plans. It implies that inside information is mainly from insiders like employees, not institutional investors. Further analysis shows that improving information transparency can effectively alleviate the problem of information leakage before mergers and acquisitions. Specifically, improving the quantity and quality of information disclosure of enterprises, as well as the issuance of M&A inquiry letters by stock exchanges, can improve the information transparency of bidding companies, effectively mitigating the information leakage before M&A.
The marginal contributions of the study are as below. First, it expands the cognition of informed trading based on private information in China's capital market. This paper emphasizes the negative impact of informed trading is information leakage, which is mainly caused by informed purchase transactions. This paper also finds that it is not institutional investors, but employees of the company who cause information leakage. These conclusions enrich the mode and subject cognition of informed trading in academic research. Second, it explores the impact of existing trading systems and direct regulatory measures on informed trading, such as margin trading system and exchange inquiry letter system. The conclusions have reference values for the evaluation and optimization of the current system. Moreover, the study finds that the improvement of the information environment can effectively curb the adverse effects of informed trading, which emphasizes improving the indirect regulatory measures of illegal insider trading. Third, from the perspective of informed trading, it deepens the understanding of the limitations of short-term M&A performance measurement indicators. This paper finds that the early reaction of stock prices will lead to a decline in the announced earnings, making the cumulative abnormal return at the time of announcement less than the real short-term M&A performance in the case of seriously informed trading transactions. This conclusion suggests that the precondition for interpreting the cumulative abnormal return as the performance of M&A is that there is no information leakage, which enriches the relevant research on the measures of M&A performance.
The paper focuses on informed trading based on private information, providing a reference for the screening and supervision of illegal insider trading. In future research, the identification of illegal traders can be further expanded in combination with the practice. Moreover, the identification of illegal insider trading should not simply rely on the judgment of economic indicators, but also needs to be comprehensively considered in combination with judicial evidence.
Keywords:  Informed Trading    M&A    Insider Trading    Information Leakage
JEL分类号:  G34   G14   D82  
基金资助: * 本研究得到国家自然科学基金重点项目(72132010)、国家自然科学基金面上项目(71972191)和广东省自然科学基金项目(2022A1515010784)的资助。作者感谢匿名审稿专家的宝贵意见。感谢中国金融论坛·第十二届《金融研究》论坛、第十六届中国管理学年会并购分论坛和第四届大数据、人工智能与金融科技会议点评专家和其他参会学者的宝贵意见,文责自负。
通讯作者:  黄志宏,经济学博士,清华大学五道口金融学院,   
作者简介:  李善民,管理学博士,教授,中山大学管理学院/中山大学企业研究院,
杨 楠,金融学博士研究生,中山大学管理学院,
李善民, 杨楠, 黄志宏. 并购重组前的知情交易行为研究[J]. 金融研究, 2023, 511(1): 169-187.
LI Shanmin, YANG Nan, HUANG Zhihong. A Study on Informed Trading Based on Private Information before M&A Announcement. Journal of Financial Research, 2023, 511(1): 169-187.
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