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论文编号：	16048
作者编号：	2120243861
上传时间：	2026/6/4 9:13:31
中文题目：	公告前知情交易对企业并购市场反应的影响研究
英文题目：	Research on the Impact of Pre-Announcement Informed Trading on the Market Reaction to Corporate Mergers and Acquisitions
指导老师：	张国萍
中文关键字：	知情交易；企业并购；股票流动性；短期投资者；市场微观结构理论
英文关键字：	Informed Trading; Corporate Mergers and Acquisitions; Stock Liquidity; Short-Term Investors; Market Microstructure Theory
中文摘要：	企业并购中基于私有信息的知情交易既是监管重点，也是学术研究关注的热门议题。并购公告前的知情交易会引发信息泄露，使收购方的股价提前反应，从而降低公告时的市场反应。该过程容易使股价偏离基本面，误导投资者的交易决策，破坏资本市场的秩序。然而，却有观点认为知情交易有利于将公司特质信息及时、精确地融入股价，使市场反映出企业真实的价值，从而提升资本市场的效率。因此，基于传统的线性假设模型来解释这两种对立的观点并不能揭示二者共存的边界条件与转化机制。 本研究基于市场微观结构理论，以2004-2024年我国A股市场2320家公司的4596个并购事件为样本，将知情交易概率作为解释变量，将并购公告窗口收益和股价提前反应程度分别作为被解释变量，构建非线性模型并加入行业和年度固定效应，对公告前知情交易与企业并购市场反应的关系进行实证检验。研究还引入股票流动性作为中介变量，以厘清知情交易影响企业并购市场反应的传导路径，并进一步考察短期投资者比例作为信息环境代理变量的调节作用，以明确该机制的边界条件。 研究结果表明：（1）知情交易概率与股价提前反应程度呈U型关系，知情交易概率与并购公告窗口收益呈倒U型关系，知情交易兼具泄密与定价的双重效应；（2）股票流动性在知情交易概率与并购公告窗口收益的非线性关系中发挥中介作用；（3）短期投资者比例正向调节知情交易概率与并购公告窗口收益间的关系，另外，知情交易属于非正式的信息传递渠道，其定价效应仅在信息环境较差时发挥作用。 研究探索了知情交易的真实影响，修正了既往研究对知情交易效应的线性假设，并在一定程度上反驳了知情交易可以提升资本市场效率的说法。研究结论有助于提高各方对资本市场的认知，可为监管部门建立多维预警指标体系提供实证支持，帮助上市公司加强并购前的内部信息管控，并引导中小投资者理性识别公告前股价异动风险。研究中有图15幅，表14个，参考文献72篇。
英文摘要：	Informed trading rooted in private information during corporate mergers and acquisitions (M&A) constitutes both a core regulatory concern and a focal topic in academic inquiry. Pre-announcement informed trading triggers information leakage, prompting premature price reactions in the acquirer’s stock and thereby attenuating the market response at the time of the M&A announcement. This process tends to decouple stock prices from fundamental values, mislead investors’ trading decisions, and undermine the orderly functioning of capital markets. Conversely, some perspectives posit that informed trading facilitates the timely and precise integration of firm-specific information into stock prices, enabling markets to reflect the true intrinsic value of enterprises and thus enhancing capital market efficiency. However, traditional linear assumption models fail to elucidate the boundary conditions and transformation mechanisms that underpin the coexistence of these opposing views. Drawing on market microstructure theory, this study empirically examines the relationship between pre-announcement informed trading and M&A market reactions using a sample of 4,596 M&A events involving 2,320 A-share listed companies in China from 2004 to 2024. We construct a nonlinear model with industry and year fixed effects, where the probability of informed trading serves as the explanatory variable, and M&A announcement window returns and the degree of pre-announcement price run-up act as dependent variables. Additionally, we introduce stock liquidity as a mediating variable to clarify the transmission path through which informed trading influences M&A market reactions, and further investigate the moderating role of the proportion of short-term investors (a proxy for information environment) to identify the boundary conditions of this mechanism. The empirical findings are as follows: (1) The probability of informed trading exhibits a U-shaped relationship with the degree of pre-announcement price run-up and an inverted U-shaped relationship with M&A announcement window returns, indicating that informed trading possesses dual effects of information leakage and price discovery; (2) Stock liquidity mediates the nonlinear relationship between the probability of informed trading and M&A announcement window returns; (3) The proportion of short-term investors positively moderates the relationship between the probability of informed trading and M&A announcement window returns. Furthermore, as an informal information transmission channel, the price discovery effect of informed trading only operates in environments with poor information transparency. This study explores the actual impact of informed trading, corrects the linear assumption of informed trading effects in prior research, and partially refutes the claim that informed trading can enhance capital market efficiency. The conclusions advance the academic understanding of capital market dynamics, provide empirical support for regulators to establish a multidimensional early warning indicator system, assist listed companies in strengthening internal information control prior to M&A, and guide retail investors to rationally identify the risks of abnormal stock price movements before announcements. The study includes 15 figures, 14 tables, and 72 references.
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