本文關鍵詞： 限售股減持 大宗交易 內(nèi)部人優(yōu)勢 避稅動機　出處：《上海交通大學》2012年碩士論文　論文類型：學位論文

【摘要】：自2005年股改以來,限售股解禁及減持問題一直受到各方的密切關注。為了緩解部分限售股解禁壓力,2008年4月20日,證監(jiān)會發(fā)布了《上市公司解除限售存量股份轉(zhuǎn)讓指導意見》。這一規(guī)定讓大宗交易平臺成為了新的限售股減持渠道,使得原本十分冷清的大宗交易平臺變得活躍起來,也在一定程度上緩解了限售股解禁對主板市場產(chǎn)生的沖擊。 由于該平臺交易量大等特征,特別是限售股股東的特殊背景,本文認為限售股股東的大宗交易數(shù)據(jù)具有一定的信息含量。同時,市場上不同類型的限售股股東具有不同的減持動機,基于不同減持動機出發(fā)(較典型的包括避稅和高位套現(xiàn)的需要)所形成的交易數(shù)據(jù)應該具有不同的信息含義。 本文從限售股股東的不同減持動機出發(fā),分析不同動機驅(qū)動下交易行為模式的差異,以及對主板市場價格變化及其投資決策的影響。通過對限售股股東在大宗交易平臺上的減持行為進行研究,我們可以幫助投資者更好地判斷公司未來的價格走勢,進而幫助其投資決策,為其提供對應的建議。 運用Probit模型,本文對限售股股東在大宗交易平臺的減持進行了實證分析,得到如下結(jié)論:限售股股東具有內(nèi)部優(yōu)勢,得知上市公司當期盈利狀況會變差時,其更傾向于在大宗交易平臺減持;當上市公司被高估時,限售股股東更傾向于減持;上市公司的償債能力并不影響限售股股東的減持決策;由于稅則的調(diào)整,個人限售股股東開始有意識的避稅,選擇在股價較低的時候進行減持等。 對于減持后對主板市場的影響,本文研究表明,不同動機下的減持,市場能夠有效地區(qū)分并做出相應的反應:就高位套現(xiàn)動機下的減持,對于市盈率較高的公司,限售股股東在高位減持后,市場也會跟進,進行拋售,使得累積異常收益率(CAR)降低;就避稅動機下的減持行為來說,由于其并不反映上市公司的情況而只是基于個人股東自身的避稅套利動機,因而市場也對不會對其做出反應,對CAR無影響等。
[Abstract]:Since the stock reform in 2005, the issue of the release of restricted shares and the reduction of holdings has been paid close attention to by all parties. In order to alleviate the pressure of lifting the restrictions on some of the restricted stocks, on April 20th 2008. Securities Regulatory Commission issued the "listed companies to lift the stock of limited stock of shares transfer guidance". This regulation has made the bulk of the trading platform to become a new channel for the reduction of restricted shares. So that the original very cold bulk trading platform became active, but also to some extent to ease the restrictions on the main board market impact. Because of the large trading volume of the platform, especially the special background of the shareholders, this paper thinks that the large amount of trading data of the limited selling shareholders has a certain amount of information. At the same time. Different types of restricted stock shareholders have different motivation to reduce their holdings in the market. Transaction data based on different motivations (typically including tax avoidance and the need for high cash) should have different information implications. This paper analyzes the differences of trading behavior patterns driven by different motivations from different reduction motives of restricted stock shareholders. As well as the main board market price changes and the impact of investment decisions. Through the limited selling shareholders on the bulk trading platform to reduce the behavior of the study. We can help investors better judge the future price trend of the company, and then help them to make investment decisions and provide corresponding advice. By using Probit model, this paper makes an empirical analysis on the reduction of shareholders' holdings in the bulk trading platform, and draws the following conclusions: the shareholders of restricted shares have internal advantages. When we know that the current earnings of listed companies will become worse, they tend to reduce their holdings on large trading platforms; When the listed company is overestimated, the shareholders of restricted stock tend to reduce their holdings; The solvency of listed companies does not affect the decision of shareholders to reduce their holdings; Due to the adjustment of tax rules, individual restricted stock shareholders began to consciously avoid taxes and choose to reduce their holdings when the share price is lower. For the impact of the reduction on the main board market, this study shows that under the different motivation of reduction, the market can effectively distinguish and make the corresponding response: the reduction of the high cash motive. For companies with high price-earnings ratio, the market will follow up after the shareholders reduce their holdings at the high level, so that the cumulative abnormal rate of return will be reduced. As far as the behavior of reducing holdings under tax avoidance motivation is concerned, because it does not reflect the situation of listed companies but is based on the tax avoidance arbitrage motivation of individual shareholders themselves, the market will not react to it. No effect on CAR, etc.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

【引證文獻】

相關碩士學位論文 前1條

1 張國明;中國A股市場大宗交易研究[D];東北財經(jīng)大學;2012年

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本文編號：1464173