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本文以2007年至2012年沪深股票市场上市公司为样本来研究外部人模仿内部人交易(买入并持有一年)能否获利。本文实证结果发现:外部人模仿内部人买入可获得正的超常收益,模仿内部人买入所获得的收益主要由规模较小的公司驱动;总体而言,外部人模仿内部人卖出只能获得负的超常收益,但模仿内部人卖出规模较大的公司的股票可获得正的超常收益;在扣除交易成本后上述结论仍然成立。
This article takes the listed companies in Shanghai and Shenzhen stock markets from 2007 to 2012 as a sample to study whether the outsiders can monetize the insider trading (buy and hold for one year). The empirical results of this paper find that: external people imitate the insiders to buy positive abnormal returns, imitate the insiders buy the proceeds obtained mainly driven by the smaller companies; Overall, outsiders imitate insiders can only sell Gaining negative extraordinary returns, but copying insiders selling stocks of larger companies yields positive extraordinary returns; the above conclusion remains after deducting transaction costs.