本文關(guān)鍵詞： 并購(gòu) 知情交易概率 高管持股 機(jī)構(gòu)持股 事件研究法 EKOP模型　出處：《福州大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：通過(guò)并購(gòu)獲得成長(zhǎng)是經(jīng)濟(jì)史上的一大現(xiàn)象,幾乎所有的美國(guó)大型企業(yè)都是通過(guò)某種形式的并購(gòu)成長(zhǎng)起來(lái)。近年來(lái),我國(guó)刮起了并購(gòu)浪潮,越來(lái)越多的企業(yè)試圖通過(guò)并購(gòu)尋求成長(zhǎng)。然而,在并購(gòu)方面常常曝出一些負(fù)面消息,在證監(jiān)會(huì)查處的內(nèi)幕交易案件中,很大一部分涉及并購(gòu)。機(jī)構(gòu)投資者和高管作為最主要的私有信息知情者,其持股會(huì)對(duì)上市公司的知情交易產(chǎn)生怎樣的影響?證券市場(chǎng)的典型特征是信息分散和信息不對(duì)稱,不同的交易者—知情交易者和非知情交易者的市場(chǎng)行為會(huì)相互作用,相互影響,使價(jià)格逐漸揭示私有信息。本文選取深滬兩市2004年至2009年間101個(gè)并購(gòu)事件,利用上市公司股票的交易數(shù)據(jù)以獲得有關(guān)知情交易的信息�；诠蓛r(jià)能夠反映信息的原理,本文首先用事件研究法探討事件公告日前知情交易的存在性；其次,本文根據(jù)Easley et al(1996)直接測(cè)度知情交易概率的EKOP模型,直接度量并購(gòu)公告前后期樣本公司的知情交易概率,進(jìn)一步觀測(cè)知情交易在事件公告期的情況；最后,建立回歸模型,研究并購(gòu)事件中并購(gòu)方公司在公告前期知情交易概率與高管持股、機(jī)構(gòu)持股之間的關(guān)系,此外,基于機(jī)構(gòu)投資者之間的異質(zhì)性,進(jìn)一步研究不同類型的機(jī)構(gòu)投資者對(duì)樣本公司知情交易概率的影響。對(duì)于事件公告日前知情交易情況的實(shí)證結(jié)果顯示,樣本公司股價(jià)在并購(gòu)公告前即發(fā)生異常波動(dòng),其平均累積異常收益在1%的水平上顯著不為零,說(shuō)明并購(gòu)公告日前,有關(guān)并購(gòu)的消息已被泄露,知情交易者利用該私有信息進(jìn)行了知情交易；觀測(cè)公告期間知情交易情況的實(shí)證結(jié)果顯示,公告日前期的知情交易概率在1%的水平上顯著大于公告日后的知情交易概率,說(shuō)明公告日前存在較多私有信息,其知情交易更嚴(yán)重；研究機(jī)構(gòu)投資者、高管與知情交易概率關(guān)系的實(shí)證結(jié)果顯示,機(jī)構(gòu)持股和高管持股會(huì)顯著提高知情交易概率,不同的機(jī)構(gòu)投資者對(duì)知情交易概率的影響力不同,作為市場(chǎng)的主導(dǎo)力量,投資基金持股會(huì)顯著提高上市公司的知情交易概率,文中所選其他類型的機(jī)構(gòu)投資者會(huì)對(duì)上市公司的知情交易產(chǎn)生正的影響,但其影響不顯著。最后,本文在歸納實(shí)證研究結(jié)果的基礎(chǔ)上提出改善并購(gòu)知情交易現(xiàn)象的若干建議,并指出本文研究的局限性。本文的實(shí)證添加了并購(gòu)事件中知情交易研究的文獻(xiàn),以期證券市場(chǎng)知情交易的監(jiān)管提供現(xiàn)實(shí)依據(jù)。
[Abstract]:It is a great phenomenon in the history of economy to gain growth through M & A. almost all American large enterprises grow up through some form of M & A. in recent years the wave of M & A has been blowing up in our country. More and more enterprises try to seek growth through mergers and acquisitions. However, in the aspect of M & A, some negative news is often revealed, in the insider trading cases investigated and dealt with by the CSRC. A large part involves mergers and acquisitions. Institutional investors and executives as the most important private information insiders, their holdings will have an impact on the informed transactions of listed companies? The typical characteristics of securities market are information dispersion and information asymmetry. The market behavior of different traders-informed traders and uninformed traders will interact and affect each other. This paper selects 101 M & A events between 2004 and 2009 in Shenzhen and Shanghai stock markets. Based on the principle that the stock price can reflect the information, this paper first discusses the existence of the informed transaction before the event announcement date by using the event research method. Secondly, according to the EKOP model which directly measures the probability of informed transaction, this paper directly measures the probability of informed transaction of sample companies before and after the announcement of M & A. Further observation of informed transactions during the event announcement period; Finally, a regression model is established to study the relationship between the probability of informed transaction in pre-announcement of M & A events and the ownership of senior executives and institutional holdings, in addition, based on the heterogeneity among institutional investors. Further study of the different types of institutional investors on the sample companies informed trading probability. The empirical results of informed transactions before the event announcement date show that. The stock price of the sample company fluctuates abnormally before the announcement of M & A, and its average accumulated abnormal income is significantly not zero at the level of 1%, which indicates that the information on M & A has been leaked before the date of announcement of M & A. Informed traders use the private information to carry out informed transactions; The empirical results of informed trading during the announcement period show that the probability of informed trading in the early stage of the announcement date is significantly higher than that after the announcement date at the level of 1%, indicating that there is more private information before the announcement date. Its informed transactions are more serious; The empirical results of the relationship between institutional investors, executives and informed trading probability show that institutional shareholding and executive ownership can significantly improve the informed trading probability, and different institutional investors have different influence on informed trading probability. As the dominant force of the market, the investment fund shareholding will significantly improve the informed trading probability of listed companies. The other types of institutional investors selected in this paper will have a positive impact on the informed trading of listed companies. But its influence is not significant. Finally, this paper puts forward some suggestions on how to improve the phenomenon of informed M & A transaction on the basis of summarizing the results of empirical research. The limitations of this study are pointed out. The empirical evidence of this paper adds the literature on informed transactions in M & A events in order to provide a practical basis for the supervision of informed transactions in the securities market.
【學(xué)位授予單位】：福州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F271;F832.51

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