本文選題：中小板 + 送轉(zhuǎn)政策　； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：送轉(zhuǎn)題材一直是市場(chǎng)熱炒的題材之一，也是學(xué)術(shù)界研究的焦點(diǎn)之一。對(duì)于上市公司實(shí)施送轉(zhuǎn)的分配政策，一般關(guān)注點(diǎn)在于送轉(zhuǎn)行為引起了多大的市場(chǎng)反應(yīng)，怎樣從理論上去解釋送轉(zhuǎn)現(xiàn)象，以及尋找引起市場(chǎng)反應(yīng)的因素。本文將按上述三方面來(lái)探索我國(guó)中小板市場(chǎng)送轉(zhuǎn)政策引起的超額收益現(xiàn)象及影響因素。 本文選取2010年1月1日——2013年8月25日中小板市場(chǎng)上，剔除ST類股票，金融行業(yè)股票和IPO后第一次實(shí)施送轉(zhuǎn)政策股票后的所有包含送轉(zhuǎn)分配政策的事件為研究樣本，明確預(yù)案公告日為事件窗口日期來(lái)開(kāi)展研究。 首先，對(duì)中小板市場(chǎng)的送轉(zhuǎn)實(shí)踐特征進(jìn)行描述，發(fā)現(xiàn)市場(chǎng)上送轉(zhuǎn)事件逐年震蕩增多的趨勢(shì)，以及高比例送轉(zhuǎn)在送轉(zhuǎn)事件中的占比也有增多趨勢(shì)，以及不同行業(yè)實(shí)施送轉(zhuǎn)政策情況差別很大。 其次，，以資本資產(chǎn)定價(jià)模型為計(jì)算方法得到各樣本股票的期望收益率，再用實(shí)際收益率減去期望收益率得到超額收益。發(fā)現(xiàn)送轉(zhuǎn)政策產(chǎn)生超額收益是一個(gè)比較普遍的現(xiàn)象，且呈現(xiàn)一定的規(guī)律性：早在預(yù)案公告日之前的3天，市場(chǎng)就已經(jīng)有所反應(yīng)，單日超額收益率為正，并且緩慢放大，一直到預(yù)案公告日當(dāng)天達(dá)到最大。隨后又大幅回落，直至4天之后，超額收益現(xiàn)象基本消失。且成長(zhǎng)性行業(yè)的公司在此過(guò)程中獲得的超額收益比成熟性行業(yè)的公司明顯要高。 最后，本文以相關(guān)股利政策理論為基礎(chǔ)，對(duì)可能包含的影響因素進(jìn)行研究，利用多元線性回歸模型得到實(shí)證結(jié)果，并同時(shí)檢驗(yàn)了文章開(kāi)頭部分提出的研究假設(shè)。得到的結(jié)論是：股票價(jià)格與超額收益無(wú)關(guān)；營(yíng)業(yè)利潤(rùn)增速與超額收益負(fù)相關(guān)；送轉(zhuǎn)比例和股權(quán)集中度與超額收益正相關(guān)。影響超額收益最重要的因素是換手率，而諸如轉(zhuǎn)增比例，公司總股本，未分配利潤(rùn)等指標(biāo)對(duì)超額收益的影響微乎其微。最優(yōu)股價(jià)交易區(qū)間理論，信號(hào)傳遞理論，股利迎合理論不太適用；價(jià)格幻覺(jué)假說(shuō)，客戶效應(yīng)理論，代理成本假說(shuō)適用。
[Abstract]:Transfer theme has been one of the topics of market speculation, but also one of the focus of academic research. For the listed companies to implement the distribution policy, the general focus is on how much market response is caused by the transfer behavior, how to explain the transfer phenomenon theoretically, and to find out the factors that cause the market reaction. According to the above three aspects, this paper will explore the phenomenon of excess return caused by the transfer policy of small and medium-sized market in China and the influencing factors. From January 1, 2010 to August 25, 2013, this paper selects all the events including transfer policy for the first time after excluding St stocks, stocks of financial industry and IPO, on the market of small and medium scale board from January 1, 2010 to August 25, 2013, as the research sample. Define the date of announcement of the plan as the date of event window to carry out the research. First of all, the paper describes the practical characteristics of the small and medium-sized board market, and finds that the number of conveyance events in the market is increasing year by year, and the proportion of the high proportion of the transmission events in the transmission events is also increasing. As well as different industries to implement transfer policy situation is very different. Secondly, the expected return rate of each sample stock is obtained by using the capital asset pricing model as the calculation method, and the excess return is obtained by subtracting the expected return rate from the real return rate. It is found that it is a relatively common phenomenon that the transfer policy produces excess returns, and it presents certain regularity: as early as three days before the announcement of the plan, the market has already responded, and the excess return per day is positive and slowly magnified. Until the day of announcement of the plan to reach the maximum. Then fell sharply, until 4 days later, the phenomenon of excess returns basically disappeared. And the firms in the growth industry have higher excess returns than those in the mature industries. Finally, based on the relevant dividend policy theory, this paper makes a study of the possible influence factors, obtains the empirical results by using multiple linear regression model, and tests the research hypotheses put forward at the beginning of the article. The conclusions are as follows: stock price has nothing to do with excess return; operating profit growth rate is negatively related to excess return; transfer ratio and equity concentration are positively correlated with excess return. The most important factor affecting excess return is turnover rate, and the influence of such indicators as turnover ratio, total share capital and undistributed profit on excess return is very little. The optimal stock price trading range theory, signaling theory and dividend pandering theory are not applicable; the price illusion hypothesis, customer effect theory and agency cost hypothesis are applicable.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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