本文關(guān)鍵詞： 功能鎖定 高送轉(zhuǎn) 事件研究法　出處：《暨南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：在我國的證券市場中，上市公司實(shí)行送股、轉(zhuǎn)增股經(jīng)常被視為一種“好消息”，尤其是“高送轉(zhuǎn)”股票，更是受到市場的強(qiáng)烈追捧。從理論上講，無論是送股還是公積金轉(zhuǎn)增股，都只是上市公司對股東權(quán)益科目進(jìn)行調(diào)整，既不影響現(xiàn)金流量，也不增加股東的財(cái)富。它們并不對上市公司的價(jià)值產(chǎn)生本質(zhì)的影響，沒有實(shí)質(zhì)性的經(jīng)濟(jì)含義。但是，一直以來，投資者對“高送轉(zhuǎn)”股票的投資熱情卻沒有減少的跡象。本文用“功能鎖定”假說來研究“高送轉(zhuǎn)”股票的市場反應(yīng)�！肮δ苕i定”假說認(rèn)為投資者在決策過程中往往鎖定于某種特定的表面信息，不能充分理解和利用有關(guān)信息來評估證券價(jià)值從而做出正確的投資決策。 本文選取了2007－2011年實(shí)行“高送轉(zhuǎn)”的股票，首先采用描述性統(tǒng)計(jì)方法分析了“高送轉(zhuǎn)”股票的送轉(zhuǎn)比例、盈利能力、系統(tǒng)風(fēng)險(xiǎn)以及股票價(jià)格，然后用事件研究法，研究“高送轉(zhuǎn)”股票在預(yù)案公布日的市場反應(yīng)，并且區(qū)分了首次公告、送轉(zhuǎn)比例等因素，發(fā)現(xiàn)我國證券市場存在嚴(yán)重的內(nèi)幕消息泄露情況，“高送轉(zhuǎn)”股票有強(qiáng)烈的事前反應(yīng)，且這種市場反應(yīng)與送轉(zhuǎn)比例密切相關(guān)。本文還從“功能鎖定”假說理論出發(fā)，通過構(gòu)建投資組合進(jìn)行獨(dú)立樣本T檢驗(yàn),試圖研究投資者是否存在對“高送轉(zhuǎn)”股票的功能鎖定現(xiàn)象。研究發(fā)現(xiàn)，在送（轉(zhuǎn)）股比例相似的情況下，投資者對盈利能力（EPS）有差異的兩類股票并沒有區(qū)別反應(yīng)，這說明了投資者對于上市公司發(fā)布的股利公告信息僅鎖定在“高送轉(zhuǎn)”概念上，對不同盈利能力的公司不能區(qū)別定價(jià)，“高送轉(zhuǎn)”是一個(gè)炒作的概念，而不是高股價(jià)、高盈利的公司擁有的特權(quán)。投資者對“高送轉(zhuǎn)”的投資熱情是短暫的、也是盲目的，沒有充分利用上市公司的盈余信息來評估股票的價(jià)值。
[Abstract]:In the stock market of our country, the listed companies carry out stock offerings, and the conversion of shares is often regarded as "good news", especially the "high transmission" stocks, which are strongly sought after by the market. Theoretically speaking, whether they are sending shares or changing shares from the provident fund, It is only the adjustment of shareholders' equity subjects by listed companies, which neither affects the cash flow nor increases the wealth of shareholders. They do not have an essential impact on the value of listed companies, and have no substantive economic implications. There is no sign of investors' enthusiasm for "high turnover" stock investment. This paper studies the market reaction of "high turnover" stock by using "function locking" hypothesis. The "function lock" hypothesis holds that investors are in the process of making decisions. Often locked in a particular surface information, Can not fully understand and use the relevant information to evaluate the value of securities in order to make the right investment decision. In this paper, we select the stocks that carry out the "high turnover" from 2007 to 2011. Firstly, we use descriptive statistical method to analyze the transfer ratio, profitability, system risk and stock price of the "high transfer" stock, and then use the event study method. By studying the market reaction of "high transmission" stocks on the date of the announcement of the plan, and distinguishing the factors such as the first announcement and the ratio of transmission to transfer, it is found that there is a serious leakage of insider information in the stock market of our country, and that the "high transmission" stock has a strong prior reaction. This market reaction is closely related to the transfer ratio. Based on the theory of "functional locking" hypothesis, the independent sample T test is carried out by constructing a portfolio. Try to find out whether there is a phenomenon of functional locking in "high turnover" stocks. The study found that investors did not react differently to the two classes of stocks with different profitability EPSs when the ratio was similar. This shows that investors' information on dividend announcements issued by listed companies is only locked in the concept of "high transmission", and that companies with different profitability cannot be priced differently. "high transmission" is a hyped concept, not a high stock price. The investor's enthusiasm for "high return" investment is short-lived and blind, and does not take full advantage of the earnings information of listed companies to evaluate the value of stocks.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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