本文選題：大股東增持 + 大股東減持　； 參考：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：中國證券市場(chǎng)在成立之初,為了保護(hù)國有資產(chǎn)不流失,人為的把上市公司股票劃分為兩部分：即流通股和非流通股,其中,流通股包括個(gè)人股和外資股,非流通股包括國有股和法人股,而非流通股通常是上市公司大股東。當(dāng)大股東的股票不能在證券交易所流通時(shí),他們只能通過場(chǎng)外方式進(jìn)行協(xié)議轉(zhuǎn)讓,而場(chǎng)外轉(zhuǎn)讓價(jià)格通常是以凈資產(chǎn)為價(jià)值基準(zhǔn)進(jìn)行的,因?yàn)檫@些股票的流通性比較差,所以這些非流通股的轉(zhuǎn)讓價(jià)格通常情況下不僅比流通股價(jià)格低,甚至比凈資產(chǎn)賬面價(jià)值還低,出現(xiàn)嚴(yán)重的同股不同價(jià)現(xiàn)象。在這個(gè)時(shí)期,大股東的股票不能在證券交易所自由流通,這種情況導(dǎo)致他們不怎么關(guān)心流通股價(jià)格,而且有充分的激勵(lì)去做掏空上市公司的事。 誠然,在剛開始的時(shí)候,這種證券上的“二元化”現(xiàn)象的確對(duì)保護(hù)國有資產(chǎn)有一定作用,但是隨著中國證券市場(chǎng)的急速發(fā)展,不僅規(guī)模在不斷擴(kuò)大,而且投資品種也在不斷增加,這種證券“二元化”已經(jīng)嚴(yán)重阻礙了中國證券市場(chǎng)的健康發(fā)展,鑒于此,從2005年起,中國證券市場(chǎng)開始進(jìn)行股權(quán)分置改革,消除證券“二元化”及其導(dǎo)致的同股不同價(jià)現(xiàn)象。在完成股權(quán)分置改革后,大股東所持有的股票也能夠在證券交易市場(chǎng)自由流通,他們的利益和以前的流通股股東捆綁在一起,如果上市公司的經(jīng)營業(yè)績(jī)提高,公司股價(jià)上升,他們的利益也會(huì)跟著提升,在這種情況下,大股東就有動(dòng)力去監(jiān)督上市公司的經(jīng)營情況,從而促使公司高層認(rèn)真經(jīng)營,提升公司經(jīng)營業(yè)績(jī)提高。這個(gè)時(shí)候,大股東的增減持行為就會(huì)受到廣泛關(guān)注,因?yàn)樗麄冋莆罩绕胀ㄍ顿Y者多很多的信息,能夠比普通投資者更好的估量上市公司價(jià)值,他們就會(huì)據(jù)此而做出股票買賣行為,據(jù)此,他們的行為也能夠給投資決策做出一定參考。但是因?yàn)橐郧爸袊墓蓹?quán)“二元化”現(xiàn)象使得大股東的股票不能自由流通,而歐美等國外證券市場(chǎng)是沒有流通股和非流通股的區(qū)分的,所以以前研究中國證券市場(chǎng)大股東增減持方面的文獻(xiàn)比較少,所以本文選取大股東增減持與市場(chǎng)反應(yīng)和公司績(jī)效的實(shí)證研究這個(gè)命題比較有價(jià)值。 本文的寫作主要分為五個(gè)部分：引言、文獻(xiàn)綜述、研究設(shè)計(jì)、實(shí)證分析和結(jié)論。下面是關(guān)于這五個(gè)部分的簡(jiǎn)要介紹： 第一部分是引言,主要是對(duì)本文的研究背景、研究意義、研究?jī)?nèi)容以及本文的創(chuàng)新與不足之處進(jìn)行說明,這樣做的目的一方面是文章更加清晰、便于理解,另一方面也為本文能夠順利創(chuàng)作打下基礎(chǔ)。 第二部分是文獻(xiàn)綜述回顧,寫這部分有兩個(gè)目的,一方面是介紹國內(nèi)外學(xué)者在這方面的研究情況,另一方面是給本文創(chuàng)作尋找參考。因?yàn)闅W美等證券市場(chǎng)上是沒有流通股和非流通股的說法的,而中國股權(quán)分置改革又比較晚,所以國內(nèi)外學(xué)者這方面的研究主要集中在股權(quán)集中度與公司績(jī)效以及大股東增減持與市場(chǎng)反應(yīng)這方面。對(duì)于股權(quán)集中度和公司績(jī)效方面,國內(nèi)外學(xué)者主要有四種觀點(diǎn),第一種是股權(quán)集中度和公司績(jī)效正相關(guān)；第二種是股權(quán)集中度和公司績(jī)效負(fù)相關(guān)；第三種是股權(quán)集中度和公司績(jī)效呈現(xiàn)倒“U”形關(guān)系,在股權(quán)集中度很低的情況下,股權(quán)集中度和公司績(jī)效正相關(guān),在股權(quán)集中度很高的時(shí)候,股權(quán)集中度和公司績(jī)效負(fù)相關(guān)；第四觀點(diǎn)是股權(quán)集中度和公司績(jī)效無關(guān)。對(duì)于大股東增減持后市場(chǎng)反應(yīng)研究方面,主要有兩種觀點(diǎn),第一種觀點(diǎn)是說大股東增減持和市場(chǎng)反應(yīng)有關(guān)系,在增持前有負(fù)的超額收益,增持后有正的超額收益；減持前有正的超額收益,減持后有負(fù)的超額收益；第二種觀點(diǎn)是說上市公司大股東的增減持行為和市場(chǎng)反應(yīng)沒有什么關(guān)系,即市場(chǎng)不會(huì)對(duì)大股東的增減持行為有反應(yīng)。 第三部分是本文的研究設(shè)計(jì),主要從樣本與數(shù)據(jù)的選取、大股東增減持與市場(chǎng)反應(yīng)的研究設(shè)計(jì)和大股東增減持與公司績(jī)效的研究設(shè)計(jì)三個(gè)方面來進(jìn)行。在樣本和數(shù)據(jù)選擇方面,樣本是選取2009年發(fā)生增減持的上市公司中剔除非二級(jí)市場(chǎng)增減持公司、ST公司和*ST公司、財(cái)務(wù)不合理或具有異常的公司、金融類公司、發(fā)布公告后5天之后還停牌的公司以及當(dāng)年在公開市場(chǎng)上公開發(fā)行過新股、可轉(zhuǎn)債、配股的公司后得到的,數(shù)據(jù)是從上交所、深交所以及國泰安、銳思數(shù)據(jù)庫中得到的。在大股東增減持與市場(chǎng)反應(yīng)的研究設(shè)計(jì)方面,本文在結(jié)合了前人的研究基礎(chǔ)和中國證券市場(chǎng)現(xiàn)實(shí)情況上,選取了市場(chǎng)研究法作為研究方法,在這個(gè)設(shè)計(jì)中,首先對(duì)市場(chǎng)研究法進(jìn)行闡述,包括事件期的選取、超額收益率的衡量、平均超額收益率的衡量、平均超額累計(jì)收益率的衡量以及顯著性檢驗(yàn)；在大股東增減持與公司績(jī)效設(shè)計(jì)方面,衡量指標(biāo)主要有兩種類型,第一種是從市場(chǎng)角度進(jìn)行衡量,第二種是從財(cái)務(wù)因素的角度進(jìn)行衡量,考慮到中國證券市場(chǎng)不成熟的實(shí)際情況,本文選取從財(cái)務(wù)角度進(jìn)行衡量,在方法選取上,為了能夠綜合體現(xiàn)公司績(jī)效,本文選取用主成分分析法來對(duì)指標(biāo)值賦予權(quán)重,并且為了降低不同年份之間公司績(jī)效對(duì)比的誤差,本文沒有按照通常的只取累計(jì)方差貢獻(xiàn)率達(dá)到85%,而是選取累計(jì)方差貢獻(xiàn)率100%,這樣能夠完全的代表樣本財(cái)務(wù)指標(biāo)值。 第四部分是本文的實(shí)證分析,根據(jù)第三部分的研究方法和思路,以選取的樣本和數(shù)據(jù)為基礎(chǔ),以事實(shí)來論證大股東增減持和市場(chǎng)反應(yīng)以及公司績(jī)效的關(guān)系怎樣。本部分的寫作主要分為3個(gè)方面,第一個(gè)方面是對(duì)樣本情況進(jìn)行說明；第二個(gè)部分是對(duì)大股東增減持和市場(chǎng)反應(yīng)進(jìn)行實(shí)證分析,通過對(duì)樣本組分別進(jìn)行總樣本和大小比例的實(shí)證研究,研究結(jié)果發(fā)現(xiàn),大股東在發(fā)布大比例增持公告前,公司股價(jià)有顯著的負(fù)的超額收益,發(fā)布公告當(dāng)日前一天、當(dāng)日及之后,公司股價(jià)有顯著的正的超額收益,而發(fā)布小比例增持公告的研究結(jié)果不顯著,大股東在發(fā)布大比例減持公告前有顯著的正的超額收益,公告日前一天、當(dāng)日及之后有顯著的負(fù)的超額收益,發(fā)布小比例減持公告除了公告當(dāng)日有微小的顯著的負(fù)的超額收益,其他的都不顯著；第三方面是對(duì)大股東增減持與公司績(jī)效進(jìn)行實(shí)證研究,研究結(jié)果發(fā)現(xiàn),大股東增持后公司績(jī)效會(huì)下降,大股東減持后公司績(jī)效會(huì)上升,雖然都不顯著,但是從正負(fù)值來看,大股東增持后大部分的公司績(jī)效下降,大股東減持后大部分的公司績(jī)效上升。 第5部分為研究結(jié)論,包括對(duì)實(shí)證研究結(jié)果的解釋以及提出相關(guān)建議。 在市場(chǎng)反應(yīng)方面,根據(jù)研究結(jié)果,發(fā)現(xiàn)大股東增減持存在嚴(yán)重的擇時(shí)行為,而大比例增減持前一天都有顯著的超額收益,證明是消息泄露,而大股東增持后公司績(jī)效降低,減持后公司績(jī)效上升,這是因?yàn)樵谖覈吖蓹?quán)集中度的情況下,大股東對(duì)上市公司的掏空行為所導(dǎo)致的結(jié)果。據(jù)此,本文提出擇機(jī)交易、加大證券犯罪的處罰力度來降低內(nèi)幕交易等犯罪、加強(qiáng)信息披露來降低“信息不對(duì)稱”以及完善公司治理結(jié)構(gòu)等建議。
[Abstract]:At the beginning of the establishment of the Chinese stock market, in order to protect the state-owned assets from losing, the stock of the listed company is divided into two parts: the circulation stock and the non circulation stock, in which the circulation shares include the individual shares and the foreign shares, the non circulation shares include the state-owned shares and the legal person shares, but the non circulation shares are usually the large shareholders of the listed companies. When they are unable to circulate on a stock exchange, they can only transfer the agreement by way of the OTC, and the over-the-counter transfer price is usually based on the value of the net assets, because the negotiability of these stocks is relatively poor, so the transfer price of these non tradable shares is generally not only lower than the price of the circulation stock, even the book price of the net assets. In this period, the stock of large shareholders can not be freely circulated on the stock exchange. This situation leads them to not care much about the price of the circulation stock, and there is a full incentive to empty the listed company.
It is true that, at the beginning, the "two yuan" phenomenon on the securities has a certain effect on the protection of state-owned assets, but with the rapid development of the Chinese stock market, the scale is not only expanding, but also the variety of investment is increasing. This kind of "two yuan" has seriously hindered the health of China's securities market. In view of this, since 2005, China's securities market has begun to carry out the split share reform to eliminate the "two yuan" and the same share price. After completing the split share reform, the shares held by the large shareholders can also be freely circulated in the stock exchange market, and their interests are tied up with the former circulation shareholders. On the other hand, if the performance of the listed companies increases and the stock price rises, their interests will also be promoted. In this case, the large shareholders will have the power to supervise the operation of the listed companies, so as to promote the serious management and improve the performance of the company. At this time, the increase or reduction of the large shareholders will be widely used. In general, because they have a lot more information than ordinary investors, they can estimate the value of the listed company better than the ordinary investors, and they will make the stock buying and selling behavior accordingly. Accordingly, their behavior can make certain reference to the investment decision. The stock of large shareholders can not be freely circulated, while there is no distinction between the European and American stock market and other foreign stock markets, so there are few literature in the previous study on the increase or reduction of the large shareholders in the Chinese securities market. Therefore, this paper selects the positive study of the large shareholders to increase and decrease the market reaction and the performance of the public company. Value.
The writing of this article is divided into five parts: introduction, literature review, research design, empirical analysis and conclusion. The following is a brief introduction to the five parts:
The first part is the introduction, mainly on the background of the study, the significance of the research, the content of the research and the innovation and shortcomings of this article. The purpose of this is to make the article more clear and easy to understand, on the other hand, it also lays the foundation for the smooth creation of this article.
The second part is the review of the literature review, which has two purposes. On the one hand, it introduces the domestic and foreign scholars' research in this respect, on the other hand, to find the reference for this article, because there is no circulation and non circulation shares in the securities market of Europe and America, and the reform of China's share division is relatively late, so it is so domestic and abroad. Scholars mainly focus on the degree of ownership concentration and corporate performance, and the response of large shareholders to the market response. There are four main points of view for the degree of equity concentration and company performance. The first is the positive correlation between the ownership concentration and the company performance; the second is the ownership concentration and the negative company performance. The third is that the ownership concentration and the company performance show an inverted "U" relationship. In the case of low ownership concentration, the ownership concentration is positively related to the company performance. When the ownership concentration is very high, the ownership concentration is negatively related to the company performance; the fourth point is that the ownership concentration is not related to the company performance. For the large shareholders, the ownership concentration is not related to the company performance. There are two main points of view in the study of post holding market response. The first view is that the large shareholders are related to the market reaction, have negative excess returns before the increase, and have positive excess returns after the increase; there are positive excess returns before the reduction and negative excess returns after the reduction; the second view is that the large shareholders of listed companies are said. There is no relationship between the increase and decrease in holding behavior and the market reaction, that is, the market will not react to the increase or decrease of the major shareholders.
The third part is the research and design of this article, mainly from three aspects of the selection of sample and data, the research design of the large shareholders increasing and the market reaction and the research design of the large shareholders increasing or decreasing and the company performance. In the sample and data selection, the sample is to select the non two market in the listed companies which were held in 2009. The company, ST company and *ST company, financial irrational or abnormal companies, financial companies, companies that have been suspended after the announcement 5 days after the announcement, and the companies that have publicly issued new shares in the open market, convertible bonds and allotment companies, are obtained from the Shanghai Stock Exchange, the Shenzhen and Tai'an, the ruix database. In this design, the market research method is selected as the research method. In this design, the market research method is first elaborated, including the selection of the event period, the measurement of the excess rate of return, the average excess amount. The measurement of the rate of return, the measurement of the average excess accumulative rate of return and the significance test. There are two main types of indicators for the large shareholders to increase or decrease and the company performance design. The first is to measure from the market angle, the second is to measure the balance from the Perspective of financial factors, and take into account the immature situation of the Chinese stock market. In this paper, we choose from the financial point of view, in the selection of methods, in order to integrate the performance of the company, this paper selects the principal component analysis method to give weight to the index value, and in order to reduce the error of the company performance comparison between different years, this paper does not reach 85% in accordance with the usual cumulative variance contribution rate. The cumulative variance contribution rate is 100%, which fully represents the sample financial index value.
The fourth part is the empirical analysis of this article. According to the research methods and ideas of the third part, based on the selected samples and data, the paper demonstrates the relationship between the increase and decrease of the large shareholders, the market response and the company performance. The writing of this part is divided into 3 aspects, the first one is to explain the sample situation; second One part is an empirical analysis of the large shareholders' increase or reduction and the market reaction. Through the empirical study of the sample group and the size proportion of the sample group, the results show that the stock price has significant negative excess earnings before the large shareholder announcements of large proportion increase, and the announcement of the stock price is the day before and after the day before and after the company's stock price. There are significant positive excess returns, and the results of the announcement of small proportion increase are not significant. Major shareholders have significant positive excess returns before announcements of large proportion reduction. There are significant negative excess returns in the day before the announcement day and after the announcement. The announcement of small proportion reduction has a slight and significant negative excess on the day of announcement. The third aspect is the empirical study on the increase and decrease of the large shareholders and the performance of the company. The results show that the company performance will decline after the large shareholder increase, and the company performance will rise after the reduction of the large shareholders, although it is not significant, but from the positive and negative values, most of the company's performance will decrease after the big shareholder increase. Most of the company's performance has risen after the reduction of shareholders.
The fifth part is the conclusion of the study, including the interpretation of empirical findings and relevant recommendations.
In terms of market response, according to the results of the study, it is found that the major shareholders have serious timing behavior, while large proportion increase and decrease have significant excess returns on the previous day, which proves to be information leakage, and the company performance decreases after the large shareholders increase, and the company performance increases after the reduction of holding. This is due to the high equity concentration in China. On the basis of the results of the hollowing behavior of the listed companies in the East, this paper puts forward some suggestions on how to reduce the information asymmetry and improve the corporate governance structure by making an optional transaction, increasing the punishment of the securities crime to reduce the crime of insider trading and so on.

【學(xué)位授予單位】：西南財(cái)經(jīng)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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