摘要
本文分析了上市公司重大资产重组中存在基金内幕交易的情况。通过FDR方法本文克服了传统分析内幕交易所使用的量价指标的不足,将存在基金内幕交易的情况与其他情况加以区分,成功地识别出哪些上市公司的重大资产重组中存在基金内幕交易。分析结果表明,在10%的显著水平下,超过五分之一的重组存在基金内幕交易;这个情况自2010年以来变得更加严重;制造业等近年来发展较快、资本需求大的行业往往容易出现重组泄密。全文认为虽然不能准确地识别出哪些基金进行了内幕交易,但可以对问题的源头——发生了重组泄密的上市公司进行监管,推动重组保密工作的建设;根据存在基金内幕交易的重组特点,更加有效地利用监管资源。这些都将推动基于重大资产重组的基金内幕交易的有效监管。
This paper examines the listed companies＇ material assets reorganizations in which mutual fund＇s in- sider trading exists. We overcome the drawbacks of the volume/price indicators which are used to analyze insider trading conventionally, distinguish the situations where fund＇s insider trading exists from others with FDR method, and identify which companies＇ material assets reorganizations have fund＇s insider trading. We also have following findings with policy implications： First,with a significant level of 10% ,from the first quarter of 2006 to the first quarter of 2014, fund＇s insider trading exists in 21.4% of material assets reorganizations and in 34. 1% of material assets reorganizations with fund＇s contemporaneously relative trading. Yearly proportion of material assets reorganizations in which fund＇s insider trading exists is about 27% in 2010 and then,which is twice that of before 2010. Fund＇s insider trading is the focus of regulation of SFC, who rarely investigates any case about Fund＇s insider trading in material assets reorgani- zations. That＇s because the connection of insider information and trading must be confirmed to identify the insider trading of this kind. When a fund does insider trading on material assets reorganization intentionally, it definitely will destroy any substantial evidence to avoid potentially serious consequence. That＇s why few fund＇s insider trading of material assets reorganizations is sentenced. Absence of worse and worse. regulation and high expectation of return makes the situation Although no fund can be locked up, FDR analysis can clearly identify the material assets reorganizations of which listed companies have fund＇s insider trading. And the source of insider trading must be regulated. As a buyer, mutual fund cannot get insider information of reorganizations legally. If insider trading happens, it＇s the participants of reorganization that leak the information and the listed company would not be innocent. Regulation on listed com- promote listed companies and other participants of material assets reorganizations to take security work of reorgani- zations seriously, make sure that firewall policy is at work efficiently, and the department of compliance have enough power to enforce their jobs. All of these can prevent the reorganization information leakage from the source and sup- press fund＇s insider trading. Second, there definitely is fund＇s insider trading existing, if extraordinary mutual funds＇ trading happens just before the stock suspension for material assets reorganization. It＇s most likely for fund＇s insider trading existing in material assets reorganizations in the second or the third quarter industries, such as manufacturing industry, are prone to leakage of a year. Those rapid-growing and capital-intensive of reorganization information. All of these and other possible characteristics of fund＇s insider trading are useful if SFC can arrange and schedule its regulatory resource according to these characteristics. That will make full use of limited resource to regulate mutual fund＇s insider trading more efficiently. Finally, our analysis definitely has the problem of precision that exists in any analysis which is based on quar- terly data, because of the limitation of data frequency of fund＇s stockholdings. Some biases may exist. In addition, we cannot analyze the process of fund＇s insider trading in detail without more relative trading information. So we have no more concrete suggestions for security work of material assets organizations and any defense against mutual fund＇s in- sider trading in them. We hope these problems can be improved in future research.
出处
《经济管理》
CSSCI
北大核心
2015年第8期99-108,共10页
Business and Management Journal ( BMJ )
基金
国家自然科学基金项目"随机流体模型中的若干矩阵计算问题"(11371105)
关键词
重大资产重组
基金内幕交易
FDR
material assets reorganization
mutual fund＇s insider trading
FDR
作者简介
王潇炜（1982-），男，上海人。博士研究生，研究方向是资产定价。E-mml：dedemajaa86@qq．com.
顾桂定（1958-），男，浙江绍兴人。教授，理学博士，研究方向是数值代数。E-mail：guiding@mail．shufe．edu．en。
