Research On The Influence Of Investors’ Attention On The Excess Return Of Insider Trading Of Listed Companies

Since the split share structure reform,the scale of insider trading in China has increased year by year.Insider trading not only improves market liquidity,but also tests market fairness.The insiders of listed companies participate in the daily operation of the company and are familiar with the company’s affairs.As the source of information for publishing major matters of the company,they have information advantages that ordinary investors do not have.Through empirical analysis,domestic and foreign scholars show that insiders can obtain excess income through information advantages,which infringes on the legitimate rights and interests of ordinary investors and is not conducive to the stable and effective operation of China’s securities market.However,with the continuous development of the Internet,investors’ access to information has been broadened and their information processing ability has been improved.Through mutual exchange and sharing of information,investors have promoted the dissemination and diffusion of information and strengthened their understanding and attention to listed companies,which may weaken the degree of information asymmetry with insiders to a certain extent,resulting in the decline of insiders’ ability to obtain excess returns.Therefore,it is necessary to study the relationship between investors’ attention and insider trading excess return.From the perspective of limited attention of behavioral finance,combined with the relevant theories of investor attention,this paper analyzes the reasons why individual investors are at an information disadvantage in securities trading;At the same time,according to the economic man hypothesis,principal-agent theory and information asymmetry theory,this paper analyzes the motivation and reasons for the management of listed companies to obtain excess returns from insider trading;Finally,taking the insider trading behavior of Shanghai and Shenzhen A-share listed companies from 2011 to 2020 as the research object,using Baidu Index as the proxy variable concerned by investors,calculate the insider excess return through the event research method,and deeply explore the relationship between investor concern and insider trading excess return by using multiple linear regression,comparative analysis and other methods,The intermediary effect model is used to explore the internal mechanism of stock price information content between investor attention and insider excess return.In addition,the samples are classified according to the nature of enterprise property rights,principal-agent cost and information transparency,and the heterogeneity of the relationship between investor attention and insider excess return is studied.The empirical results show that in China’s securities market,there is a significant negative correlation between investor attention and insider trading excess return of listed companies,that is,the higher the investor attention,the smaller the insider excess return of listed companies.At the same time,the stock price information content plays an intermediary effect in the impact of investor attention on the excess return of insiders of listed companies.The improvement of investor attention will inhibit the insiders of listed companies from obtaining excess return by increasing the stock price information content.The regression results of heterogeneity research show that under the differences of enterprise property rights,the negative impact of investors’ attention on the excess return of insider trading in non-state-owned enterprises is stronger than that in state-owned enterprises;Under the difference of principal-agent cost,investors pay more attention to the negative impact on the excess return of insider transactions in enterprises with high principal-agent cost than in enterprises with low principal-agent cost;Under the difference of information transparency,investors pay more attention to the negative impact on the insider trading excess return of enterprises with low information transparency than those with high information transparency.As far as individual investment is concerned,we should pay attention to the rational analysis of investment results,pay attention to the rational analysis of individual investment results,and learn to pay attention to the investment results caused by limited information.As far as individual investment is concerned,we should pay attention to the rational analysis of individual investment results,and enhance the rational analysis of individual investment results.For listed companies,the quality of information disclosure should be improved to ensure that investors can obtain effective information in time and bear corresponding social responsibilities.For the securities regulatory authorities,we should improve the information disclosure system,enhance the market-oriented supervision,give better play to the effectiveness of supervision and promote the fairness of the securities market;Strengthen financial innovation and reasonably guide individual investors to enter the financial market;Increase the punishment for enterprises that spread false information and insiders who use information advantages to obtain excess returns in violation of regulations,strengthen top-level design,improve the cost of information violations,improve the information disclosure system,standardize market information,promote listed companies to improve information quality and better protect the interests of small and medium-sized investors.