本文選題：大股東增減持行為 + 增減持動機��； 參考：《江西財經(jīng)大學》2013年碩士論文

【摘要】：我國學者對于大股東行為的研究起步較晚，源于我國股票市場建立之初制度上的缺陷，直到2005年后的股權(quán)分置改革，出現(xiàn)了一段時間大股東減持的高峰，再到2008年暴跌行情下《上市公司解除限售存量股份轉(zhuǎn)讓指導意見》及《關(guān)于修改〈上市公司收購管理辦法〉第六十三條的決定》的出臺，又出現(xiàn)了一段增持的高潮之后，大股東的增減持行為才得到學者們的關(guān)注與研究，但總體來看，相關(guān)的研究還偏少，但相關(guān)內(nèi)容對規(guī)范大股東增減持行為、維護廣大投資者的利益、維持市場的穩(wěn)定和發(fā)展卻非常重要。 本文的第二章首先總結(jié)了一下大股東研究方面的歷史文獻，國外的文獻更多的是內(nèi)部人研究，而國內(nèi)對這類問題的研究出現(xiàn)的較晚，可以看到，大股東增減持股票的動機復雜多樣，各種文章并沒有得到統(tǒng)一的結(jié)論，并且缺乏對增減持行為異同的對比分析，同時增減持行為與市場上股票的走勢也息息相關(guān)，但就市場效應的研究缺乏細致的分析與理論解釋，這些都為這一領(lǐng)域繼續(xù)研究留下了空間。其次，本文第三章圍繞著大股東的交易行為進行了分析，主要總結(jié)了大股東市場交易行為的優(yōu)勢、大股東市場交易行為的具體動機及交易行為的時機選擇。 本文的第四章是從實證假設(shè)開始引入，從估值水平、業(yè)績前景、股票波動風險、股東性質(zhì)、股權(quán)情況、市場指數(shù)累計收益6個方面提出了6大符合一般經(jīng)濟意義的假設(shè)，并圍繞著這6個方面選取了11個解釋變量，分別為市盈率、市凈率、凈資產(chǎn)收益率、每股現(xiàn)金流量凈額、流動資產(chǎn)總資產(chǎn)比、資產(chǎn)負債率、日換手率、股東性質(zhì)為國有與否的虛擬變量、股東性質(zhì)為公司與否的虛擬變量、股權(quán)集中度、市場指數(shù)累計收益率，接著按照定義對樣本數(shù)據(jù)進行了篩選及統(tǒng)計，大股東增減持行為動機的研究采用了多元線性回歸分析，并對線性回歸的常見問題進行檢驗分析，再根據(jù)檢驗的結(jié)果進行了加權(quán)最小二乘的調(diào)整回歸，對得出的結(jié)果分析得到以下結(jié)論：相同的解釋變量對增持和減持行為的解釋程度大不相同，其中對增持行為缺乏解釋力度，不顯著的是股東性質(zhì)變量中的國有性質(zhì)與否的虛擬變量，與大股東增持比例成反比的有市盈率、資產(chǎn)負債率、股權(quán)集中度、市場指數(shù)累計收益率，與大股東增持比例成正比的是每股現(xiàn)金流量凈額，公司類型股東會更多的為公司長遠著想，從而其更傾向于在二級市場增持股票；對減持行為缺乏解釋力度的解釋變量為股權(quán)集中度，說明大股東的減持行為不會因為大股東持股比例過高而增加減持比例，其也會考慮到減持對控制權(quán)的影響，與大股東減持比例成反比的包括凈資產(chǎn)收益率、每股現(xiàn)金流量凈額，與大股東減持比例成正比的包括市凈率、日換手率，而國有型、公司型股東會更少的減持公司的股票；而從影響程度來看，大股東增減持行為更多是基于對業(yè)績前景、股票波動風險、股東性質(zhì)、市場累計收益4大類因素的判斷，，而估值水平、股權(quán)情況的影響較小。 本文第五章大股東增減持行為的市場效應的實證研究采用了事件研究法，以增減持公告前后20個交易日為窗口期，計算了窗口期內(nèi)股票的平均超額收益率和累計平均超額收益率，并對累計平均超額收益率做了顯著性異于零的t檢驗，接著分了總體樣本、大盤走勢分類樣本、股東性質(zhì)分類樣本、持股排名分類樣本、所屬板塊分類樣本、增減持比例分類樣本六個部分進行了分析與比較，得出的結(jié)論包括大股東增減持行為的市場效應都存在，并且在增減持前就存在累計平均超額收益率的變化，增減持公告信息存在事前泄露，增持行為下，大盤處于下降趨勢中、國有股東增持行為、第一大股東增持行為的正的市場效應更大，主板與創(chuàng)業(yè)板股票在短期正的市場效應相當，從更長窗口期來看，主板股票正的市場效應更好，而增持比例與累計平均超額收益率沒有顯著的相關(guān)關(guān)系；從減持行為來看，大盤處于震蕩趨勢下，減持的負的市場效應最大，非國有股東、非第一大股東的減持行為在短期負的市場效應更大，但在更長的窗口期里，國有、第一大股東的負的市場效應更大，中小、創(chuàng)業(yè)板相對主板負的市場效應更大，但其負的市場效應傳導性有限，而減持比例與累計平均超額收益率沒有顯著地相關(guān)關(guān)系。 最后一章對全文做了結(jié)論總結(jié)并根據(jù)市場投資者、上市公司、市場管理方提出了相關(guān)政策建議。
[Abstract]:The research on the behavior of large shareholders in China started relatively late, and it originated from the defects in the initial system of the establishment of the stock market in China. Until 2005, there was a peak of the reduction of the shareholders in a period of time, and then to the 2008 plummeting market, the listed companies relieved the stock transfer stock transfer guidance and revised After the introduction of the decision of the purchase and management of listed companies, the decision of sixty-third articles has come on, and after a high tide of increase, the increase or decrease of the large shareholders has been paid attention to and studied by the scholars. However, in general, the related research is still small, but the related content has been carried out to maintain the interests of the large investors and maintain the interests of the investors and maintain the interests of the large investors. The stability and development of the market is very important.
The second chapter of this article first summarizes the historical literature of the major shareholders' research, and more of the foreign literature is the insider research, and the domestic research on this kind of problem appears later. It can be seen that the motivation of the large shareholders to increase and decrease the stock holding is complex and varied. For the comparison and analysis of similarities and differences, at the same time, increasing or decreasing holding behavior is closely related to the trend of stock on the market, but the research on market effect lacks detailed analysis and theoretical explanation. All these have left space for further research in this field. Secondly, the third chapter focuses on the analysis of the trading behavior of large shareholders, mainly summarizing the big stock. The advantages of trading behavior in the Eastern market, the specific motivation of large shareholders' market trading behavior and the timing of trading behavior.
The fourth chapter of this article is introduced from the empirical hypothesis. From the valuation level, the performance prospect, the stock volatility risk, the stockholder's nature, the stock ownership situation and the market index accumulative income, it puts forward the 6 hypotheses which conforms to the general economic significance, and selects 11 explanatory variables around these 6 aspects, namely, the price earnings ratio, the market net rate and the net income. The profit rate, the net cash flow per share, the total assets ratio of the current assets, the ratio of assets and liabilities, the exchange rate of the daily turnover, the nature of the shareholders as the virtual variables of the state or not, the virtual variables of the company or not by the shareholders, the concentration of shares, the cumulative yield of the market index, and then the selection and statistics of the sample data according to the definition, and the increase or decrease of the large shareholders. Multi linear regression analysis is adopted in the study of motivation, and the common problems of linear regression are tested and analyzed, and then the weighted least squares adjustment and regression are carried out according to the results of the test. The lack of explanation of the holding behavior is not significant. It is not significantly the virtual variable of the state-owned property in the shareholder's nature variable. It has the price earnings ratio, the asset liability ratio, the equity concentration, the cumulative return rate of the market index, and the net cash flow per share of the large shareholders, and the company type shareholders will be even more. It is more likely to be long term for the company, so it is more inclined to increase stock in the two level market; the explanatory variable of the lack of explanation for the reduction behavior is the ownership concentration, which indicates that the large shareholder's reduction behavior will not increase the reduction ratio because of the high proportion of shareholders' shareholding, and it also considers the effect of reduction on control and the reduction of the large shareholders. The ratio, including net assets yield and net cash flow per share, is proportional to the reduction ratio of large shareholders, including the market net rate, daily turnover rate, and the state-owned type, and the company type shareholders will reduce the stock of the company less; and from the degree of influence, the larger shareholders' holding behavior is based on the performance prospect and the stock volatility risk, The nature of shareholders and the 4 main factors of market cumulative income are relatively low, while the level of valuation is less affected by equity.
The fifth chapter of this paper is an empirical study on the market effect of large shareholders' increasing or decreasing behavior. In order to increase or reduce the 20 trading days before and after the announcement, the average excess rate of return and the cumulative average excess rate of return in the window period are calculated, and the cumulative average excess return rate is significantly different from zero t test. We have divided the overall sample, the sample of the big market trend, the classification sample of the shareholders, the sample of the stockholding rank, the sample of the plate, the six parts of the sample, the conclusion includes the existence of the market effect of the large shareholder's increase or decrease, and the cumulative average before the increase or decrease. The change of the rate of excess returns, the increase or reduction of the announcement information exists in advance, under the increasing holding behavior, the market is in the downward trend, the holding behavior of the state-owned shareholders, the positive market effect of the first big shareholders, the market effect of the main board and the gem stock in the short-term positive market effect, from the longer window period, the market effect of the main board stock is positive. There is no significant correlation between the increase ratio and the cumulative average excess rate of return. From the point of view of the reduction, the market effect of the reduction is the largest, the non state shareholders and the non first major shareholders have greater market effect in the short term, but in the longer window period, the state-owned and the first largest stock market share. The negative market effect is larger in the East, and the negative market effect of the gem is greater, but the negative market effect is limited, and the reduction ratio has no significant correlation with the cumulative average excess rate of return.
The last chapter makes a conclusion to the whole paper and puts forward relevant policy recommendations according to market investors, listed companies and market management.

【學位授予單位】：江西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F275

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