【摘要】：隨著現(xiàn)代企業(yè)所有權(quán)與管理權(quán)分離,股權(quán)激勵(lì)作為解決委托代理問題的工具逐步發(fā)展起來。美國(guó)從20世紀(jì)50年代開始,股權(quán)激勵(lì)經(jīng)過半個(gè)多世紀(jì)的發(fā)展已經(jīng)為絕大部分公司所認(rèn)同與接受,形成了一定的規(guī)模。而歐洲各國(guó)也從上世紀(jì)80年代開始逐步發(fā)展股權(quán)激勵(lì)制度。從西方實(shí)踐經(jīng)驗(yàn)以及學(xué)術(shù)研究成果看來,股權(quán)激勵(lì)無論是對(duì)于解決委托代理問題,統(tǒng)一所有者與管理者的利益,還是促進(jìn)企業(yè)業(yè)績(jī)的增長(zhǎng),都取得了正面的效應(yīng)。而我國(guó)股權(quán)激勵(lì)制度雖然可以上溯到清末的山西票行,但由于歷史的原因,直到近幾年才正式逐步得到推廣。股權(quán)分置改革后,隨著各部門推出一系列的法律法規(guī),我國(guó)證券市場(chǎng)環(huán)境得到進(jìn)一步的規(guī)范,實(shí)施股權(quán)激勵(lì)的條件進(jìn)一步成熟,我國(guó)股權(quán)激勵(lì)制度開始規(guī)范發(fā)展。而從實(shí)證研究的結(jié)果看來,實(shí)施股權(quán)激勵(lì)無論是對(duì)企業(yè)財(cái)務(wù)業(yè)績(jī)還是市場(chǎng)反應(yīng)都能夠起到一定的影響。 為了考察我國(guó)A股市場(chǎng)股權(quán)激勵(lì)措施所能引起的市場(chǎng)反應(yīng),本文在理論支持的基礎(chǔ)上,運(yùn)用Fama-French三因子模型,通過事件研究法選取2005年至2011年我國(guó)滬深兩市股權(quán)激勵(lì)公告公司作為研究樣本,對(duì)股權(quán)激勵(lì)引發(fā)的市場(chǎng)反應(yīng)進(jìn)行了實(shí)證研究,并進(jìn)一步考察了不同的激勵(lì)標(biāo)的物以及對(duì)人才側(cè)重不同的行業(yè)的公司的不同市場(chǎng)反應(yīng)。 通過實(shí)證研究,本文發(fā)現(xiàn)所提出的五個(gè)假設(shè)都得到了一定程度的驗(yàn)證：(1)股權(quán)激勵(lì)在事件發(fā)生窗口短期內(nèi)應(yīng)當(dāng)存在正的超額收益,引起市場(chǎng)的異常反應(yīng)。在事件日全樣本公司平均超額收益率達(dá)到0.72%,樣本日前后兩個(gè)交易日的表現(xiàn)尤為明顯,累計(jì)平均超額收益率達(dá)到2.04%,并通過了5%顯著性檢驗(yàn)。(2)高科技公司股權(quán)激勵(lì)公告所引起的市場(chǎng)反應(yīng)大于非高科技公司。無論是從累計(jì)收益率還是從數(shù)據(jù)有效性而言,高科技公司所取得的市場(chǎng)反應(yīng)都優(yōu)于非高科技行業(yè)。(3)實(shí)行期權(quán)方式股權(quán)激勵(lì)的公司公告前30天股票收益表現(xiàn)不及實(shí)行股票方式股權(quán)激勵(lì)的公司。上市公司會(huì)根據(jù)股權(quán)激勵(lì)方案計(jì)劃有意在公告日前影響股價(jià)以使得股權(quán)激勵(lì)計(jì)劃達(dá)到更優(yōu)的激勵(lì)效果。(4)使用不同方式股權(quán)激勵(lì)的公司市場(chǎng)反應(yīng)將會(huì)有不同的市場(chǎng)反應(yīng)。以期權(quán)方式進(jìn)行股權(quán)激勵(lì)的樣本取得了較限制性股票樣本更大的超額收益。(5)股權(quán)激勵(lì)預(yù)案公告公布前,市場(chǎng)存在顯著不為零的超額收益。由于我國(guó)證券市場(chǎng)的不夠完善,法律法規(guī)不夠健全,市場(chǎng)存在一定的信息泄露現(xiàn)象。 在實(shí)證研究的基礎(chǔ)上,本文進(jìn)一步提出了完善公司制度,股權(quán)激勵(lì)方案選擇以及提高市場(chǎng)有效性等方面的政策性建議。
[Abstract]:With the separation of ownership and management of modern enterprises, equity incentive as a tool to solve the principal-agent problem has gradually developed. Since 1950s, equity incentive has been recognized and accepted by most companies after more than half a century of development, forming a certain scale. And European countries from the 1980s began to gradually develop equity incentive system. From the western practical experience and academic research results, equity incentive has achieved positive effects on solving principal-agent problems, unifying the interests of owners and managers, and promoting the growth of enterprise performance. The equity incentive system of our country can be traced back to Shanxi ticket bank at the end of Qing Dynasty, but due to historical reasons, it is not formally promoted until the last few years. After the reform of the split share structure, with the introduction of a series of laws and regulations, the environment of China's securities market has been further standardized, and the conditions for implementing equity incentive have been further matured, and the equity incentive system of our country has begun to develop in a standardized manner. From the results of the empirical study, the implementation of equity incentives can play a certain role in financial performance and market response. In order to investigate the market reaction caused by the equity incentive measures in China's A-share market, this paper applies the Fama-French three-factor model on the basis of theoretical support. Through the event research method, this paper selects the stock right incentive announcement companies in Shanghai and Shenzhen stock markets from 2005 to 2011 as the research samples, and makes an empirical study on the market reaction caused by the equity incentives. Furthermore, different motivational subjects and different market responses to companies with different talents focus on different industries were examined. Through the empirical study, this paper finds that the five hypotheses have been verified to some extent: (1) there should be positive excess returns in the event window in the short term, which causes the abnormal reaction of the market. On the event day, the average excess rate of return of the whole sample company reached 0.72%, especially in the two trading days before and after the sample day, with the cumulative average excess yield of 2.04%. And passed the 5% significance test. (2) the market reaction caused by the equity incentive announcement of high-tech companies is greater than that of non-high-tech companies. Whether in terms of cumulative rate of return or in terms of the validity of the data, The market reaction of high-tech companies is better than that of non-high-tech industries. (3) the stock returns of companies with option-based equity incentive are not as good as those of non-high-tech companies in the 30 days before announcement. According to the stock incentive plan, listed companies will deliberately affect the stock price before the announcement to achieve a better incentive effect. (4) there will be different market reactions for companies using different forms of equity incentive. The sample of stock incentive by option has obtained more excess return than the restricted stock sample. (5) before the announcement of the stock incentive plan, the market had significantly non-zero excess return. Because the stock market of our country is not perfect enough, the laws and regulations are not perfect enough, there is a certain phenomenon of information leakage in the market. On the basis of empirical research, this paper further puts forward some policy suggestions on improving the company system, the choice of equity incentive scheme and the improvement of market efficiency.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F272.92;F832.51;F224

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