發(fā)布時(shí)間：2018-05-28 19:20

  本文選題：大股東 + 增持��； 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：在我國實(shí)行股權(quán)分置改革之前,占主導(dǎo)地位的國家股股東和法人股股東不可以在二級市場進(jìn)行交易,國有法人股股東利益和二級市場股東利益兩者是分割開的。大股東可利用對公司的控股權(quán),通過關(guān)聯(lián)交易和財(cái)務(wù)欺詐等手段來獲取收益,損害公司價(jià)值,也侵占了中小股東的權(quán)益,致使公司經(jīng)營效率低下。隨著股權(quán)分置改革的實(shí)行,我國證券市場逐步步入全流通的時(shí)代,國有股等大股東也進(jìn)入二級市場交易,股票的價(jià)格關(guān)系到大股東自身所持股份的價(jià)值。同時(shí),政府為了推動(dòng)股權(quán)分置改革的進(jìn)行,從各個(gè)監(jiān)管層面出臺了鼓勵(lì)上市公司大股東增持股票的政策,大股東的增持行為在這樣的背景下開始活躍起來。深入了解我國上市公司大股東增持行為的特征,對增持的公告效應(yīng)進(jìn)行研究,對于股票市場的穩(wěn)定繁榮發(fā)展具有重要的意義,同時(shí)對政府、大股東和中小投資者等都會提供有益的參考。 由于大股東增持事件的出現(xiàn)時(shí)間距離現(xiàn)在比較短,對于它的研究還處于剛剛起步的階段,目前缺乏較為系統(tǒng)的理論成果和實(shí)證研究。在已有的研究中,主要分析了上市公司大股東增持行為的動(dòng)機(jī)和公告效應(yīng)。和股票回購行為類似,大部分已有研究表明大股東增持的動(dòng)機(jī)是出于信號傳遞效應(yīng),表明上市公司股價(jià)被低估,發(fā)展前景良好,發(fā)布增持公告后的短期內(nèi)會出現(xiàn)顯著為正的平均異常收益率和累計(jì)異常收益率。但是,也有學(xué)者指出發(fā)生增持行為的公司表現(xiàn)弱于尚未履行增持承諾的公司,而且大股東增持行為存在操縱股價(jià)、虛增資產(chǎn)價(jià)值等情況,背后存在利益轉(zhuǎn)移的目的。 本文主要以2008年9月至2012年6月發(fā)生在我國A股市場的大股東交易行為為研究對象,采用理論與實(shí)證相結(jié)合的方法考察了上市公司大股東增持行為短期內(nèi)的市場效應(yīng),同時(shí)為了檢驗(yàn)結(jié)果的穩(wěn)健性,又按照一定的標(biāo)準(zhǔn)分為不同的子樣本進(jìn)行分析。主要內(nèi)容包括以下幾個(gè)方面： 首先,對國內(nèi)外已有的研究成果進(jìn)行綜述。國外很少把大股東作為單獨(dú)的研究對象,一般將內(nèi)部人的交易行為當(dāng)做一個(gè)整體來研究。同時(shí),目前國內(nèi)外學(xué)者對于大股東增持股票行為的研究都比較少見,但其對股票回購的研究十分深入,而大股東增持在一定程度上與股票回購類似。因此,本文主要對國內(nèi)外內(nèi)部人交易行為和股票回購以及近幾年關(guān)于大股東增持股票行為的研究進(jìn)行綜述。在內(nèi)部人交易方面,主要對比分析了倫敦、中國香港、瑞士、德國和中國的研究成果,結(jié)果顯示內(nèi)部人交易會帶來短期的超額收益；在股票回購方面,國內(nèi)外大部分學(xué)者通過實(shí)證檢驗(yàn)證實(shí)其會產(chǎn)生顯著的正向市場效應(yīng),長期來看會提升公司業(yè)績,少數(shù)學(xué)者由于考察的時(shí)間和采用的數(shù)據(jù)不同,結(jié)果表明超額收益并不顯著；對于上市公司大股東增持行為的研究方面,也主要考察了其發(fā)布公告后短期的市場效應(yīng),部分學(xué)者認(rèn)為確實(shí)存在顯著為正的異常收益,短期會刺激股價(jià)的上漲,但是在對匯金公司增持國有銀行股份的檢驗(yàn)中,結(jié)果表明增持可能在一個(gè)相對較短的時(shí)間里止住大盤下跌,而后仍將繼續(xù)回到下跌通道。 其次,本文又對有效市場理論、信息不對稱理論、信號傳遞假說、市場擇機(jī)理論和過度反應(yīng)理論進(jìn)行了闡述和分析,為上市公司大股東增持行為提供了相關(guān)的理論基礎(chǔ)。然后,概述了近年來我國上市公司大股東增持行為的發(fā)展情況：2005年4月中國證監(jiān)會發(fā)布了《關(guān)于上市公司股權(quán)分置改革試點(diǎn)有關(guān)問題的通知》,股權(quán)分置改革正式啟動(dòng),我國證券市場步入全流通的時(shí)代,2005年與2006年引發(fā)了第一股增持潮,主要目的是為了推動(dòng)股權(quán)分置改革的進(jìn)行,由于法律制度不健全,存在操縱股價(jià)等違規(guī)交易行為,但是整體起到了穩(wěn)定市場的作用。2008年金融危機(jī)導(dǎo)致我國經(jīng)濟(jì)下滑,股市低迷,許多上市公司股票價(jià)格跌破凈值,此時(shí)許多公司大股東紛紛增持自家公司股份,引發(fā)了第二波增持潮,在政策鼓勵(lì)和相關(guān)部門的支持下,我國股市漸漸回穩(wěn)。2011年,歐債危機(jī)等的蔓延使得全球經(jīng)濟(jì)發(fā)展受阻,中國國內(nèi)又面臨嚴(yán)重的通貨膨脹,股票市場大幅震蕩,交易量萎縮,面對不景氣的經(jīng)濟(jì)形勢,資本市場又一次出現(xiàn)了大規(guī)模的增持股票行為,這一時(shí)期的大股東增持行為是在法律法規(guī)更加完善,相關(guān)政府部門政策調(diào)控更加有力的引導(dǎo)下進(jìn)行的,增持的市場反應(yīng)也很顯著,為大股東增持行為的繼續(xù)研究提供了更多有利的數(shù)據(jù)資料。 實(shí)證部分,本文采用典型的事件研究法,通過檢驗(yàn)公告期前后是否存在累積的超額收益,來驗(yàn)證增持行為在短期內(nèi)是否具有正向的公告效應(yīng),并得出以下結(jié)論：在事件窗口(-2,0)內(nèi)的平均異常收益率為1.8394%,顯著為正,說明公司發(fā)布增持公告之前信息已經(jīng)泄露了。而(-1,+1)和(-2,+2)兩個(gè)事件窗口的異常收益顯著為正,但是事件窗口(-5,+5)的平均正異常收益卻不顯著了,而且公告日后20日內(nèi)的異常累積收益都不顯著,表明大股東增持行為對市場來說是一個(gè)利好消息,但是只有極短期的刺激股價(jià)的作用。分析公告日后事件窗口(0,+1)和(0,+2)的結(jié)果顯示異常收益也不顯著為正,說明外部市場投資者不能從觀察大股東的增持行為中獲得股價(jià)異常波動(dòng)的好處。 作為本文的創(chuàng)新之處,為了進(jìn)一步檢驗(yàn)大股東增持行為公告效應(yīng)是否穩(wěn)健,文章又按照不同交易所、不同年份、不同行業(yè)、不同公司性質(zhì)、大股東或者控股股東不同持股比例以及大股東或者控股股東不同增持比例和不同周期將總樣本分為不同的子樣本,考察了增持公告對股價(jià)的影響。結(jié)果表明增持公告對股價(jià)的短期正面影響是一種普遍現(xiàn)象,不存在系統(tǒng)性差異。1、增持的公告效應(yīng)在上海證券交易所和深證證券交易所之間不存在顯著性差異。2、不同的年份之間,大股東或控股股東的增持行為向市場傳遞的也都是正面的信號,只是在小牛市2009年中公告效應(yīng)不是很顯著。3、把樣本分為制造業(yè)和其他行業(yè),兩組數(shù)據(jù)的結(jié)果也都是顯著為正的公告效應(yīng)。4、國有控股樣本在二級市場的增持行為利好的效應(yīng)比非國有控股更加強(qiáng)烈,而且持續(xù)時(shí)間更長。5、按照不同的持股比例來看,持股比例在50%以上的絕對控股公司或持股比例相對較低(0%——30%)公司增持的市場效應(yīng)均小于大股東或控股股東持股比例居中(30%——50%)的公司,投資者可能認(rèn)為股權(quán)結(jié)構(gòu)相對合理的公司增持意愿更強(qiáng),他們既可以通過購買股票來調(diào)整公司股權(quán)結(jié)構(gòu),也能在公司股價(jià)背離內(nèi)在價(jià)值的情況下在二級市場增持股票來傳達(dá)公司對未來發(fā)展的信心。6、把研究樣本按增持比例的前30%、中間40%和后30%分為三組,發(fā)現(xiàn)首次增持比例較高和較低的樣本累積異常收益大于增持比例居中的樣本,本文認(rèn)為增持比例低會增強(qiáng)投資者的預(yù)期,增持比例高表明對公司未來發(fā)展有信心,所以兩者的公告效應(yīng)較大。7、從不同的市場周期來看,熊市中的大股東增持行為異常收益值均大于牛市,說明熊市中更能傳遞公司利好的消息,有利于股價(jià)的穩(wěn)定。 為了使我國上市公司的大股東增持行為朝著更為穩(wěn)定和有效的方向發(fā)展,本文針對法律法規(guī)、大股東、中小股東和外部投資者分別給出了相關(guān)建議。法律方面,要繼續(xù)加強(qiáng)大股東增持行為的法律法規(guī)的制定,完善信息披露制度；對于大股東而言,可以在公司股價(jià)低于實(shí)際價(jià)值時(shí)通過增持股票來傳遞公司良好的發(fā)展前景的信號,維護(hù)公司形象；再者要進(jìn)一步完善公司股權(quán)結(jié)構(gòu),有效保護(hù)我國中小股東的利益；對于外部投資者而言,要充分解讀市場信息,選擇有良好成長能力的公司,警惕增持可能制造的陷阱。 本文的不足之處在于：由于數(shù)據(jù)搜集整理有一定困難,部分樣本數(shù)據(jù)可能并沒有采用,對于檢驗(yàn)結(jié)果有一定的影響；用于實(shí)證分析和檢驗(yàn)的市場模型本身存在的缺陷,對于結(jié)果有一定的波動(dòng)性和誤差；本文只分析了大股東增持行為的短期公告效應(yīng)及其穩(wěn)健性問題,沒有進(jìn)一步分析大股東增持的動(dòng)機(jī)是否不同,也沒有考察大股東增持行為對于公司未來業(yè)績是否有影響。對于以后的研究,可以進(jìn)一步完善相關(guān)數(shù)據(jù),利用不同模型來檢驗(yàn),保證結(jié)論的準(zhǔn)確性和可靠性；具體分析不同的子樣本條件下各股東增持的動(dòng)機(jī)和對公司未來業(yè)績的影響是否存在差異；也可以橫向比較公司大股東、高管、監(jiān)事等內(nèi)部人增持行為的差異和發(fā)生在A股、B股、H股等不同市場環(huán)境下大股東增持行為是否不同。
[Abstract]:Prior to the implementation of the split share reform in China, the dominant shareholder and the corporate shareholder can not be traded in the two level market. The interests of the state-owned and the two level shareholders are separated. The large shareholders can use the controlling rights of the company, through related transactions and financial fraud to obtain the collection. Benefit, damage the value of the company, also invade the rights and interests of the small and medium shareholders, resulting in the low efficiency of the company. With the implementation of the split share reform, China's securities market has gradually entered the era of full circulation, and the large shareholders of the state-owned shares have also entered the two level market transaction. The price of the stock is related to the value of the shares held by the large shareholders themselves. To promote the split share reform, the policy of encouraging the large shareholders to increase the stock of the listed companies is introduced from the regulatory level. The increase of the shareholder's holding behavior is active in this context. Stability, prosperity and development are of great significance, and will provide useful references for the government, large shareholders and small investors.
Due to the short distance of the event of large shareholder holding up, the research on it is still in the beginning stage, and there is a lack of systematic theoretical and empirical research. In the existing research, it mainly analyzes the motivation and announcement effect of the large shareholder holding behavior of the listed company. It is similar to the stock repurchase behavior. The existing research shows that the motivation of the increase of the large shareholders is out of the signal transmission effect, which indicates that the stock price of the listed companies is undervalued and the development prospects are good. The average abnormal return and the cumulative abnormal return will appear in the short term after the announcement of the increase. However, it is also pointed out that the company's performance is weaker than not yet. The company that performs the pledge of increasing its holdings, and the behavior of large shareholders increasing their holdings, manipulating the stock price and inflating the value of assets, has the purpose of interest transfer behind them.
This paper focuses on the trading behavior of large shareholders in the A stock market of China from September 2008 to June 2012, and uses a combination of theory and empirical method to investigate the short-term market effect of the large shareholder holding behavior in the listed companies. In order to test the stability of the results, it can be divided into different sub samples according to certain standards. The main contents include the following aspects:
First, a summary of the existing research results at home and abroad is made. There are few large shareholders abroad as a separate object of research. Generally speaking, the insider trading behavior is generally considered as a whole. At the same time, there are few scholars at home and abroad on the large shareholders to increase stock behavior, but their research on stock repurchase is very thorough, The increase of the large shareholders is similar to the stock repurchase to a certain extent. Therefore, this paper mainly reviews the domestic and foreign insider trading behavior, stock repurchase and the research on the increase of stock behavior of the large shareholders in recent years. In the aspect of insider trading, the research results of London, Central Hongkong, Switzerland, Germany and China are compared and analyzed. The results show that the insider trading will bring short-term excess returns. In the stock repurchase, most scholars at home and abroad confirm that they have significant positive market effect through empirical test. In the long run, it will improve the performance of the company. The results show that the excess income is not significant because of the difference between the time and the number of data used by the few scholars. On the research aspect of the large shareholders' holding up behavior of the listed company, it also examines the short-term market effect after the announcement of its announcement. Some scholars believe that there is a significant positive abnormal return, which will stimulate the rise of the stock price in the short term. However, in the test of the increase of the shares of the state-owned bank, the results show that the increase may be in a phase. For a shorter period of time, the market will continue to fall.
Secondly, this paper expounds and analyzes the effective market theory, the information asymmetry theory, the signal transfer hypothesis, the market selection theory and the overreaction theory, which provides the relevant theoretical basis for the large shareholder holding behavior of the listed companies. Then, it summarizes the development of the large shareholders' holding up behavior of the listed companies in China in 2005. In April, the China Securities Regulatory Commission issued a notice on the issues related to the reform of the split share reform of listed companies. The split share reform was officially launched. China's securities market entered the era of full circulation. In 2005 and 2006, the first share of the surge was triggered. The main purpose is to promote the reform of the share division, because the legal system is not perfect. In.2008 years, the financial crisis led to the decline of China's economy, the stock market downturn, and the stock prices of many listed companies fell to the net value. At this time, many large shareholders increased their share of their own companies, causing a surge of second wave increase, in policy encouragement and related departments. Under the support, China's stock market gradually stabilized for.2011 years, the spread of the European debt crisis made the global economic development blocked, China was facing serious inflation at home, the stock market was greatly oscillating, the volume of trading was shrinking. Facing the recession, the capital market once again appeared a large-scale increase of stock behavior, the large shareholder at this time. The increase behavior is carried out under the guidance of more perfect laws and regulations and more forceful guidance of relevant government departments, and the market response of increasing holdings is very significant. It provides more favorable data for the continuing study of the large shareholders' holding up behavior.
In the empirical part, this paper uses the typical event study method to verify whether there is a cumulative excess return before and after the announcement period to verify whether the increase behavior has a positive announcement effect in the short term, and the following conclusion is drawn: the average abnormal return rate in the event window (-2,0) is 1.8394%, which indicates that the company releases the increase. The information has been leaked before the announcement, and the abnormal returns of the two event windows of (-1, +1) and (-2, +2) are significantly positive, but the average positive abnormal returns of the event window (-5, +5) are not significant, and the abnormal cumulative returns within the 20 days after the announcement are not significant, indicating that the large shareholder's holding up behavior is a good news for the market, but only the good news of the market, but only The result of a very short term incentive to stimulate stock prices. The results of the event window (0, +1) and (0, +2) after the announcement show that the abnormal returns are not significant, indicating that the external market investors can not gain the advantage of abnormal stock price fluctuations in the observation of the increase of the large shareholders.
As the innovation of this article, in order to further test the stability of the large shareholder's increasing behavior announcement effect, the article will be divided into different stock exchanges, different years, different industries, different companies, different shareholding ratio of large shareholders or controlling shareholders, and the proportion of large shareholders or controlling shareholders in different increasing proportion and different cycles. The effect of the increase announcement on the stock price is examined for different sub samples. The results show that the short-term positive effect of the increase announcement on the stock price is a common phenomenon, and there is no systematic difference.1. There is no significant difference between the Shanghai stock exchange and the Shenzhen Stock Exchange (.2), between the different years and the large shareholders. Or the holding shareholder's increase behavior is also a positive signal to the market, but in the 2009, the announcement effect is not very significant.3, the sample is divided into manufacturing and other industries, the results of the two sets of data are also significantly positive announcement effect.4, the state-owned holding sample in the two level market increase behavior is better than the effect ratio Non state holding is more intense and has a longer duration of.5. According to the proportion of different shareholding, the market effect of the absolute holding company or the relatively low shareholding ratio of more than 50% (0% - 30%) is less than that of the large shareholders or the holding shareholders in the middle (30% - 50%) shareholders (30% - 50%). Companies with relatively reasonable ownership structure are more willing to increase their holdings. They can not only adjust the stock structure by buying stocks, but also increase their stock in the two level market to convey the company's confidence in the future development in the case of the company's share price deviating from the intrinsic value. The research sample is divided into the first 30%, the middle 40% and the later 30%, according to the proportion of the increase. In the three group, it is found that the cumulative abnormal returns of the higher and lower samples are higher than the median of the increasing proportion. This article holds that the low increase proportion will enhance the investor's expectation, and the high proportion of the increase shows the confidence of the future development of the company, so the announcement effect of the two is.7, from the different market cycle, the big stock in the bear market. The abnormal earnings of Eastern holdings are greater than that of the bull market, indicating that the bear market can better convey the good news of the company, which is conducive to the stability of the stock price.
In order to make the large shareholders of the listed companies develop in a more stable and effective direction, this article gives the relevant suggestions to the laws and regulations, the large shareholders, the small and medium shareholders and the external investors. In the legal aspect, we should continue to strengthen the laws and regulations of the large shareholders' holding up behavior and improve the information disclosure system. Shareholders, when the stock price is lower than the actual value, it can transmit the good development prospect of the company by increasing the stock to maintain the company's good development prospect, and maintain the company's image. Furthermore, we should further improve the company's ownership structure and effectively protect the interests of the small and medium shareholders in our country. Companies with long capabilities are on guard against possible pitfalls.
The inadequacies of this paper are that, due to the difficulties in data collection and consolidation, some sample data may not be used and have a certain impact on the results of the test; the market model itself used for empirical analysis and testing has its own shortcomings, and there is a certain volatility and error for the results. This paper only analyzes the increase of the large shareholder's holding behavior. The short term bulletin effect and its robustness are not further analyzed whether the motivation of the large shareholder's increase is different, nor does it examine whether the large shareholder's holding behavior has an impact on the future performance of the company. For the future research, we can further improve the relevant data and use different models to verify the accuracy and reliability of the conclusions. The difference between the motivation of the increase of the shareholders and the impact on the future performance of the company under the different subsample conditions, and the difference in the increasing behavior of the large shareholders, the executives and the supervisors, and the different behavior of the large shareholders under the different market conditions such as A shares, B shares and H-shares.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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