AI 中文总结
本研究通过两阶段LLM管道分析SEC 10-K文件，发现NLP无法有效识别影子交易关联公司，对SEC影子交易执法的经验前提提出质疑。
AI 中文摘要
影子交易是一种新颖且存在争议的内幕交易责任理论，指基于与某公司存在“经济关联”的“重大非公开信息”（MNPI）交易该公司的证券，该理论首次在SEC诉Panuwat案（2023）中被起诉。执行该理论需要事前识别经济关联公司，美国证券交易委员会（SEC）仅能事后通过大众市场监控基础设施作出此类认定。本研究探究自然语言处理（NLP）能否完成SEC理论所假定的内幕人士已掌握的任务：从公开强制披露文件中事前识别关联公司。采用两阶段大型语言模型（LLM）管道，应用于SEC 10-K文件的第7项（管理层讨论与分析）部分，对五个行业的30起并购事件计算语义相似度，并将相似度与公告日异常股票收益率关联。针对Panuwat案的事实模式，该管道成功将Incyte列为最接近的关联公司之一，对这一已知结果的唯一案例构成合理性验证。然而在全数据集范围内，未发现关联：汇总217个关联公司观测值，相似度与异常收益率的事件内秩相关系数为+0.07（置换检验p值=0.37），事件内Spearman相关系数均值为+0.05，95%置信区间为[-0.08, +0.18]——该区间足够狭窄，可排除任何中等程度关联，而非仅未检测到关联。案例层面分析显示，30起事件中14起支持该假设，12起与之矛盾，4起模糊不清。还发现Incyte在公告前一日落在标准20亿至100亿美元的中型市值区间之外，使SEC援引的“中型市值肿瘤学”类别变得复杂。这些结果具有探索性，且受限于该管道、语料库及收益率测度，但它们对影子交易执法的经验前提构成压力，并涉及围绕SEC金融监控基础设施的宪法问题。
英文摘要
Shadow trading -- trading in a peer firm's securities on the basis of material nonpublic information (MNPI) about an "economically linked" company -- is a novel and contested theory of insider trading liability, first prosecuted in SEC v. Panuwat (2023). Enforcing it requires identifying economically linked firms ex ante, a determination the SEC makes only after the fact using mass market surveillance infrastructure. We ask whether NLP can do what the SEC's theory presumes insiders already know: identify peer firms ex ante from publicly mandated disclosures. Using a two-stage LLM pipeline applied to Item 7 (Management's Discussion and Analysis) sections of SEC 10-K filings, we score semantic similarity across 30 M&A events spanning five industries and relate similarity to announcement-day abnormal stock returns. On the Panuwat fact pattern itself the pipeline recovers Incyte among the closest peers, a sanity check on the one case with a known outcome. Across the full dataset, however, we find no association: pooling 217 peer observations, the within-event rank correlation between similarity and abnormal return is +0.07 (permutation p = 0.37), and the mean per-event Spearman correlation is +0.05 with a 95% confidence interval of [-0.08, +0.18] -- narrow enough to exclude any moderate relationship rather than merely failing to detect one. A case-level reading agrees: 14 of 30 events support the hypothesis, 12 contradict it, and 4 are ambiguous. We also find that Incyte fell outside the standard \$2B-\$10B mid-cap band on the day before the announcement, complicating the "mid-cap oncology" category the SEC invoked. These results are exploratory and bound to this pipeline, corpus, and return measure, but they put pressure on the empirical premise of shadow trading enforcement and bear on constitutional questions surrounding the SEC's financial surveillance infrastructure.
