發(fā)布時間：2018-03-03 12:44

  本文選題：股權(quán)集中度　切入點：股票估值　出處：《吉林大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：股權(quán)集中度反應(yīng)了公司股票投資者持股比例的多少，其與企業(yè)價值、公司經(jīng)營業(yè)績、代理成本以及投資者進行股票估值息息相關(guān)。股權(quán)集中度相關(guān)問題被許多學(xué)者所研究，并且提出了許多劃分標(biāo)準(zhǔn)。學(xué)者們將企業(yè)股權(quán)結(jié)構(gòu)與公司經(jīng)營狀況、企業(yè)盈利情況還有公司治理方面的關(guān)系進行了深入探討，研究表明兩者之間存在顯著的相關(guān)性。本文則以投資者對股票市場的判斷為視角，認(rèn)為公司股權(quán)結(jié)構(gòu)，尤其是股權(quán)集中度對股票持有者對市場判斷的準(zhǔn)確性存在顯著影響。 為了全面客觀地呈現(xiàn)樣本公司的股權(quán)結(jié)構(gòu)和性質(zhì)，本文采用RESSET和CCER數(shù)據(jù)庫中的人均持股比例作為指標(biāo)來表示企業(yè)股權(quán)集中度，借助面板數(shù)據(jù)模型分析股權(quán)集中度與股票估值之間的影響關(guān)系。其中，人均持股比例等于企業(yè)人均持股數(shù)除以企業(yè)總股數(shù)。借鑒以往學(xué)者的研究，本文以30%和50%為分位點將企業(yè)劃分為分散型結(jié)構(gòu)、制衡型結(jié)構(gòu)和集中型結(jié)構(gòu)。本文經(jīng)過統(tǒng)計分析結(jié)果表明，從2006到2010年我國大部分企業(yè)屬于股權(quán)制衡型結(jié)構(gòu)，少部分屬于集中型結(jié)構(gòu)。尤其是，2006年企業(yè)股權(quán)集中度明顯高于隨后年份，究其根源是我國從2005年開始對資本市場實行股權(quán)分置改革，這種減少持有國有股份和對非流通股份的全面釋放，增強了資本市場上股票和資金的流轉(zhuǎn)，相關(guān)數(shù)據(jù)顯示，在2007和2008這兩年中股票市場釋放的流動性比較集中而且廣泛。 影響投資者對股票市場進行估值的因素也是紛繁多樣。比如，國家經(jīng)濟政策、市場中資金的需求與供給、企業(yè)經(jīng)營績效、投資者預(yù)期等。除此之外，影響股票估值的因素還包括公司經(jīng)營好壞和股權(quán)集中程度。而且，公司股權(quán)結(jié)構(gòu)不僅關(guān)系到企業(yè)的經(jīng)營而且影響股票估值準(zhǔn)確性。那么，企業(yè)股權(quán)集中度如何影響投資者對公司股票的估值以及估值的準(zhǔn)確性呢？本文對2006到2010年5年的滬深兩市1075家上市公司進行面板數(shù)據(jù)回歸。其中，投資者股票估值準(zhǔn)確性指標(biāo)采用企業(yè)年報公布日后市場累計非正常收益率和企業(yè)股票價格離差標(biāo)準(zhǔn)差表示。市場累計非正常收益率等于投資者獲得的回報率減去市場平均收益率，可以認(rèn)為是投資者預(yù)期的獲得偏離市場收益的超常收益率。股票價格離差標(biāo)準(zhǔn)差是企業(yè)股票價格極差（最大值與最小值之差）與平均股價的差值的標(biāo)準(zhǔn)差，能夠反映股票價格波動范圍和穩(wěn)定性。由于我國資本市場還不成熟，規(guī)范和制度也不健全，股票價格并不能完全反應(yīng)有關(guān)企業(yè)結(jié)構(gòu)和公司治理相關(guān)的重要信息，而且投資者的非理性導(dǎo)致市場上出現(xiàn)所謂“羊群效應(yīng)”，即投資者不是通過分析交易信息以及企業(yè)相關(guān)財務(wù)報告而作出的投資決策，相反他們效仿跟隨某些機構(gòu)投資者或者被認(rèn)為是成功投資者的投資策略。從而市場上往往跟風(fēng)、投機和噪音交易現(xiàn)象時有發(fā)生。大部分市場上的交易者和投資者是非理性的，對股票估值存在一定程度的不準(zhǔn)確性。造成這種現(xiàn)象的原因除了有投資者自身的因素外，企業(yè)內(nèi)部股權(quán)結(jié)構(gòu)和內(nèi)幕交易也是關(guān)鍵因素。從信息距離和信息披露的角度分析，離公司信息源越近的人，相比外部投資者和公眾掌握的重大消息越多，越容易造成內(nèi)幕交易，擾亂市場秩序。從股權(quán)集中度方面分析，，股權(quán)集中度越高，控制權(quán)越掌握在少數(shù)幾個股東手中，他們了解的影響股價的重大事件和信息越多，中小投資者和公眾掌握的越少，越不利于對公司的股票進行正確地估值。本文實證結(jié)果也正證實了這一論斷。因此，適度保持企業(yè)股權(quán)集中程度有利于激勵股東和管理層為公司效益最大化而服務(wù)，過高的股權(quán)集中度不利于股票被正確地估值，不利于資本市場高效的運轉(zhuǎn)和資源的合理配置。
[Abstract]:The ownership concentration response percentage of stock investors, the value of the enterprise, business performance, agency costs and investor stock valuations are closely related. Many scholars have studied the issue ofownership concentration, and put forward the division standard. Many scholars of equity structure and corporate business conditions, in-depth discussion corporate profitability and corporate governance of the relationship, research shows that there is a significant correlation between the two. This paper is based on the investors in the stock market from the perspective of judgment, that the company ownership structure, especially the ownership concentration of stock holders the accuracy of the judgment of the market has a significant impact.
In order to equity structure and properties comprehensively and objectively present Sample Firms, the per capita RESSET and the proportion of shareholding in CCER database as an index to represent ownership concentration, influence analysis of relationship between ownership concentration and equity valuation by using panel data model. The shareholding ratio is equal to the enterprise, the per capita per capita holdings divided by the total number of shares of the enterprise. Learn from former studies, this paper takes 30% and 50% points will be divided into enterprise decentralized structure, balancing structure and centralized structure. Through the statistical analysis results show that from 2006 to 2010, the majority of enterprises of our country belongs to the balance of ownership structure, a small part of a centralized structure. Especially, the enterprise ownership in 2006 the concentration was significantly higher than that in the following years, the reason is that China's capital market began to implement the reform of non tradable shares from 2005, this reduction of state-owned shares held The total release of shares and the non tradable shares increased the circulation of stock and capital in the capital market. The relevant data showed that in the 2007 and 2008 years, the liquidity released by the stock market is relatively concentrated and extensive.
Influence of investors in the stock market valuation of the factors is diverse. For example, the national economic policy, the supply and demand in the capital market, business performance, investors expected. In addition, factors affecting stock valuation include bad company and the degree of ownership concentration. Moreover, the ownership structure is not only related to the enterprise business and the impact of the stock valuation accuracy. So, how ownership concentration affect investors on the company's stock valuation and valuation accuracy? 1075 listed companies in 2006 to 2010 5 years in Shanghai and Shenzhen two panel data regression. Among them, the annual report released on the market after the enterprise cumulative abnormal return and stock enterprises the price difference from the standard deviation of investors stock valuation accuracy index. Market cumulative abnormal return is equal to the return rate minus the investors The average market rate of return, can be thought of as investors expected earnings obtained deviate from the market abnormal return. Stock price dispersion is the standard deviation of enterprise stock price range (maximum and minimum value difference) and the difference between the average price of the standard deviation of the stock price can reflect the fluctuation range and stability. Because of China's capital market is not mature, and the standard system is not perfect, the stock price can not fully reflect the enterprise structure and corporate governance related important information, but also non rational investors lead to the so-called "herding" appear on the market, the investors are not through the analysis of transaction information and enterprise financial report and make investment decisions, instead they follow follow certain institutional investors or is considered to be a successful investor investment strategy. Thus the market tend to follow the trend of speculation, and the phenomenon of noise trading is 鐢

本文編號：1561093