Abstract: The theory of behavioral finance suggests that irrational investor sentiment is an important cause of stock mispricing. This paper firstly tests whether investor sentiment is the information source for insider trading or not. The empirical results show that insider selling (buying) tends and strength increase with higher (lower) investor sentiment. Furthermore, the impact of investor sentiment on insider selling is greater than insider buying. After controlling investor sentiment, the company's quarterly earnings information which is undisclosed did not play a significant impaction on insider selling transactions. The phenomenon is in line with the “Deterministic Effect” in “Prospect Theory”.

摘要： 行为金融理论表明，非理性的投资者情绪是造成股票错误定价的重要原因。基于此，检验了投资者情绪是否是内部人交易的信息来源。实证结果显示，投资者情绪越高，内部人卖出倾向增加、卖出强度增大；内部人买入倾向降低、买入强度减小。而且投资者情绪对内部人卖出的影响要大于其对内部人买入的影响效应。在控制投资者情绪后，公司未公开的季度业绩变化信息并未对内部人的卖出交易产生显著的影响，这一现象符合“前景理论”的“确定效应”。