As the most important insiders of internal information,how the management of listed companies obtain effective information advantages,conduct transactions and obtain excess returns is related to the fairness and efficiency of the capital market,so it has become the focus of academic and practical circles.Based on the management reduction data of Shanghai and Shenzhen A-share listed companies from 2006 to 2020,this paper studies the excess returns of insider trading and the sources of information advantages.The results show that insider trading has significant excess returns,but only the long-term excess returns come from the timing ability brought by the information advantage,and the short-term returns come from the information impact effect of the management's selling behavior itself.The difference in timing a-bility comes from the effective access to information advantages,attending board meetings and participating in enterprise operations are the channels for management to obtain internal information.The information advantages brought by the two information channels are significantly higher than that of a single channel,and the board channel is higher than the enterprise operation channel.Therefore,the management's information advantages have a channel effect,and the tradi-tional information hierarchy hypothesis is not always established.Improving the information transparency of enterprises is helpful to restrain insiders from using information advantages to obtain excess returns and promote fair market transac-tions.
维普
万方数据