Information Advantage, Abnormal Transaction of Institutional Investor and Sales of Lockup-expiration Shares

Abstract

Abstract:

This paper studies the abnormal transaction of institutional investor during the share reduction by major shareholders and corporate shareholders based on the case of the sales of lockup-expiration shares in Chinese A share market during 2012-2018. The results show that during the period of the sales of lockup-expiration shares, the reason of abnormal trading by institutional investors lies in their information advantage. Further analysis shows that the returns of institutional investors during the period of the sales of lockup-expiration shares are significantly positive. In addition, the information advantage is positively correlated with their returns. When analysts are less concerned, the information advantage of institutional investors will be more significant. The above results highlight the role played by institutional investors in information transmission in China's capital market, and they provide effective empirical evidence for regulators to develop fair rule of disclosure.

Key words: information advantage, abnormal transactions of institutional investors, sales of lockup-expiration shares, abnormal net buying (selling)

Zhang Meng, Lu Guihua, Zhang Yongshen. Information Advantage, Abnormal Transaction of Institutional Investor and Sales of Lockup-expiration Shares[J]. , 2020, 32(3): 265-278,288.

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