本文選題：高送轉(zhuǎn)股利政策 + 超額收益��； 參考：《上海外國(guó)語(yǔ)大學(xué)》2017年碩士論文

【摘要】：股利政策是現(xiàn)代公司金融學(xué)重要研究對(duì)象,2016年以來我國(guó)證券市場(chǎng)高送轉(zhuǎn)的火熱引起了市場(chǎng)參與者和監(jiān)管者的廣泛關(guān)注。本文采用理論和實(shí)證研究相結(jié)合、定性分析和定量分析相結(jié)合的研究方法,理論部分從傳統(tǒng)股利政策和行為金融學(xué)視角對(duì)高送轉(zhuǎn)進(jìn)行理論研究。實(shí)證部分借鑒camp資產(chǎn)定價(jià)模型、套利定價(jià)模型,通過時(shí)間序列分析、多重線性回歸分析等實(shí)證分析手段,分別從高送轉(zhuǎn)預(yù)案公告日、股東大會(huì)公告日、除權(quán)除息日全過程對(duì)高送轉(zhuǎn)事件超額收益的變化過程和影響因素進(jìn)行實(shí)證分析。在事件期間的超額收益變化過程研究中,分別比對(duì)了樣本總體、不同板塊樣本、不同送轉(zhuǎn)比例的超額收益在三個(gè)事件點(diǎn)附近的變化過程,并綜合萃取整體性結(jié)論:(1)在三個(gè)事件節(jié)點(diǎn)高送轉(zhuǎn)股利政策都有顯著的正向市場(chǎng)反應(yīng)。(2)不同市場(chǎng)板塊的超額收益在積累量、彈性、持續(xù)性上有所不同;(3)各板塊類別輪番突出表現(xiàn),此起彼伏貫穿了整個(gè)炒作過程,而不是某一個(gè)板塊類別從始至終都突出的表現(xiàn);在影響事件期間累計(jì)超額收益的影響因素研究中,借鑒套利定價(jià)模型,結(jié)合基本面和市場(chǎng)兩方面因素來選擇變量,分別對(duì)三個(gè)事件節(jié)點(diǎn)進(jìn)行線性回歸分析,主要結(jié)論如下:(1)量比的大小,從始至終是決定超額收益大小的至關(guān)重要因素,說明高送轉(zhuǎn)的資金炒作因素較大。(2)不同階段影響超額收益的因素不同,在預(yù)期博弈最強(qiáng)的預(yù)案公告日,送轉(zhuǎn)比例是顯著影響因素;在預(yù)期落地的股東大會(huì)公告日,基本面因素開始顯著影響股價(jià),最后在除權(quán)除息日的“填權(quán)行情”中,股價(jià)的高低成為極其顯著影響累計(jì)超額收益的重要因素。整體看來,高送轉(zhuǎn)的超額收益有其一定的固有現(xiàn)實(shí)演繹邏輯,實(shí)證效果較好。總體來說,高送轉(zhuǎn)事件的演繹有其特定的市場(chǎng)邏輯,是當(dāng)下不成熟客觀存在的市場(chǎng)現(xiàn)象。站在不同角度,本文對(duì)于投資者認(rèn)為在當(dāng)下市場(chǎng)可能存在一定的高送轉(zhuǎn)套利機(jī)會(huì),但收益和風(fēng)險(xiǎn)是并存的,上市公司應(yīng)該注重在利用高送轉(zhuǎn)進(jìn)行市值管理行為的合法性及市場(chǎng)影響,作為市場(chǎng)監(jiān)管和引導(dǎo)的監(jiān)管者,監(jiān)管機(jī)構(gòu)應(yīng)該依法界定高送轉(zhuǎn)事件中違法和擾亂市場(chǎng)秩序的行為,尤其對(duì)惡意減持及其伴生的內(nèi)幕交易、操縱股價(jià)進(jìn)行重點(diǎn)監(jiān)控,對(duì)盲目高送轉(zhuǎn)行為進(jìn)行約束。
[Abstract]:Dividend policy is an important research object in modern corporate finance. Since 2016, the heat of high turnover in China's securities market has attracted the attention of market participants and regulators. In this paper, we combine theoretical and empirical research, qualitative analysis and quantitative analysis, the theoretical part from the traditional dividend policy and behavioral finance perspective to carry out a theoretical study of high transfer. The empirical part draws lessons from camp asset pricing model, arbitrage pricing model, through time series analysis, multiple linear regression analysis and other means of empirical analysis, respectively from the high transmission plan announcement day, shareholders' general meeting announcement day, respectively. This paper makes an empirical analysis on the change process and influencing factors of the excess return of the high transfer event in the whole process of the day excluding the right and the interest. In the study of the change process of excess return during the event period, we compared the change process of the total sample, the sample of different plates, and the ratio of excess return in three event points. And integrated extraction integrity conclusion: 1) at the three event nodes, the dividend policy has a significant positive market response.) the excess returns of different market sectors are different in terms of accumulation, elasticity and sustainability. The whole process of speculation runs through one after another, not the outstanding performance of a certain plate category from beginning to end. In the study of the influencing factors of cumulative excess return during the event, the arbitrage pricing model is used for reference. Combining the fundamental and market factors to select variables, the linear regression analysis of the three event nodes is carried out respectively. The main conclusions are as follows: the magnitude of the volume ratio is the most important factor in determining the excess return from the beginning to the end. It shows that the factors influencing the excess returns are different in different stages of capital speculation. The ratio of sending to transfer is a significant factor on the announcement day of the plan, which is the strongest game in the expected game, and on the announcement day of the shareholders' general meeting, which is expected to fall to the ground. Fundamental factors are beginning to have a significant impact on stock prices, and in the end, the stock price has become an important factor that significantly affects cumulative excess returns in the "fill market" on the day of the exclusion of the right and the interest. As a whole, the excess return of high turnover has its inherent realistic deductive logic, and the positive effect is better. Generally speaking, the deduction of the event has its specific market logic, which is an immature and objective market phenomenon. From different angles, this paper considers that there may be some high arbitrage opportunities in the current market, but the return and risk coexist. Listed companies should pay attention to the legitimacy and market influence of market value's management behavior by using high transmission transfer. As the regulator of market supervision and guidance, the regulatory body should define according to law the behavior of breaking the law and disrupting the market order in the case of high transmission transfer. In particular, the malicious reduction and its associated insider trading, share price manipulation focus on monitoring, the blind transfer behavior constraints.
【學(xué)位授予單位】：上海外國(guó)語(yǔ)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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