Journal of Financial Economics·Volume 126, Issue 3·December 2017

机会主义作为一种公司管理特征：预测内幕交易的利润和不当行为

作者：Usman Ali（MIG Capital）

David Hirshleifer（University of California, Merage School of Business）

摘要：本文表明，我们可以通过在季度盈余公告（QEAs）之前的交易的盈利性来识别机会主义内部人，并且机会主义交易与各种公司或管理的不当行为相关联。基于机会主义内部人交易（不一定是QEA之前的交易）的价值加权交易策略每月可以获得超过1%的四因子阿尔法，这比过去的内部人交易文献的结果要高得多，并且即使在短期内也是非常重要和显著的。拥有机会主义内部人的公司拥有更高水平的盈余管理、重述、美国证券交易委员会执法行动、股东诉讼和高管薪酬。这些发现表明，机会主义是一个通用领域的特征。

关键词：内部人交易，机会主义行为，公司和内部人不当行为

Opportunism as a firm and managerial trait: Predicting insider trading profits and misconduct

Usman Ali（MIG Capital）

David Hirshleifer（University of California, Merage School of Business）

ABSTRACT

We show that opportunistic insiders can be identified through the profitability of their trades prior to quarterly earnings announcements (QEAs) and that opportunistic trading is associated with various kinds of firm or managerial misconduct. A value-weighted trading strategy based on (not necessarily pre-QEA) trades of opportunistic insiders earns monthly four-factor alphas of over 1%, which is much higher than in past insider trading literature and substantial and significant even on the short side. Firms with opportunistic insiders have higher levels of earnings management, restatements, US Securities and Exchange Commission enforcement actions, shareholder litigation, and executive compensation. These findings suggest that opportunism is a domain-general trait.

Keywords：Insider trading, Opportunistic behavior, Firm and insider misconduct

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X17302349#!

翻译：何杉