本文選題：送轉(zhuǎn)股 + 超額收益��； 參考：《浙江工業(yè)大學(xué)》2013年碩士論文

【摘要】：股利政策作為公司的三大財(cái)務(wù)決策之一,一直是理論界與實(shí)務(wù)界關(guān)注的熱點(diǎn)。 雖然送轉(zhuǎn)行為沒(méi)有產(chǎn)生實(shí)際的現(xiàn)金流入流出,也不改變公司的資本結(jié)構(gòu),僅僅是公司所有者權(quán)益內(nèi)部結(jié)構(gòu)的變化,從理論上看并不改變公司的價(jià)值。然而在實(shí)際中卻并非如此,上市公司頻繁實(shí)施送轉(zhuǎn),投資者對(duì)于送轉(zhuǎn)概念股的偏好,恰恰說(shuō)明了送轉(zhuǎn)股產(chǎn)生的市場(chǎng)反應(yīng)及影響滿(mǎn)足了相關(guān)利益者的某種需求。目前,國(guó)內(nèi)學(xué)者對(duì)送轉(zhuǎn)行為的深入研究還相對(duì)較少,因此,全面觀(guān)察研究送轉(zhuǎn)行為的市場(chǎng)反應(yīng)和影響就具有更為重要的意義。 本文通過(guò)事件研究法,以送轉(zhuǎn)預(yù)案公告日和除權(quán)除息日為事件研究日,對(duì)事件日的市場(chǎng)反應(yīng)進(jìn)行了研究,并進(jìn)一步通過(guò)比較分析和回歸分析對(duì)異常收益的影響因素進(jìn)行了考察。同時(shí),對(duì)送轉(zhuǎn)前后公司股票流動(dòng)性和波動(dòng)性的變化特征及影響因素進(jìn)行實(shí)證檢驗(yàn)。全面分析了送轉(zhuǎn)事件的市場(chǎng)反應(yīng)和影響因素,獲得了如下的研究結(jié)果。 首先,預(yù)案公告日存在顯著為正的異常收益,而除權(quán)除息日存在顯著為負(fù)的異常收益,異常收益受送轉(zhuǎn)比例、公司股價(jià)、市場(chǎng)行情和收益波動(dòng)等因素的影響,且各因素對(duì)預(yù)案公告日與除權(quán)除息日的異常收益影響方向相反,顯示市場(chǎng)對(duì)待送轉(zhuǎn)事件存在話(huà)題炒作。 其次,在流動(dòng)性上,送轉(zhuǎn)行為并未引起公司流動(dòng)性在送轉(zhuǎn)前后的顯著變化,但引起公司股票流動(dòng)性在除權(quán)日附近顯著上升,說(shuō)明流動(dòng)性在我國(guó)解釋力有限,送轉(zhuǎn)事件更多的是吸引市場(chǎng)關(guān)注；而在波動(dòng)性上,送轉(zhuǎn)后波動(dòng)性顯著增加,意味著噪聲交易增加,送轉(zhuǎn)吸引了更多中小投資者的參與；研究還發(fā)現(xiàn),送轉(zhuǎn)引起的流動(dòng)性變化受市場(chǎng)行情和送轉(zhuǎn)比例影響,送轉(zhuǎn)引起的波動(dòng)性變化則受送轉(zhuǎn)比例影響。 最后,研究發(fā)現(xiàn)填權(quán)效應(yīng)受市場(chǎng)行情影響存在隨機(jī)性,送轉(zhuǎn)事件對(duì)控股股東財(cái)富無(wú)負(fù)面影響。在我國(guó)證券市場(chǎng)上送轉(zhuǎn)事件非理性行為和炒作風(fēng)氣較重,需投資者和監(jiān)管機(jī)構(gòu)的關(guān)注。
[Abstract]:Dividend policy, as one of the three major financial decisions, has always been the focus of attention in theoretical and practical circles. Although the transfer behavior does not produce actual cash inflow and outflow, nor does it change the capital structure of the company, it is only the change of the internal structure of the owner's equity of the company, which in theory does not change the value of the company. However, this is not the case in practice. Listed companies frequently carry out transfer, and the preference of investors for the transfer of concept stocks shows that the market reaction and influence of transferring stocks meet the needs of relevant stakeholders. At present, the domestic scholars have relatively few in-depth research on the transfer behavior, so it is more important to observe and study the market reaction and influence of the transmission behavior in a comprehensive way. This paper studies the market reaction of the event day by means of the event research method, taking the announcement day of the transfer plan and the day of excluding the right and excluding interest as the event research day, and further investigates the influencing factors of the abnormal return by means of comparative analysis and regression analysis. At the same time, the change characteristics and influencing factors of stock liquidity and volatility before and after transfer are tested empirically. The market reaction and influencing factors are analyzed, and the following results are obtained. First of all, there are significant positive abnormal returns on the announcement date of the plan, while abnormal returns are significantly negative on the dividend day. The abnormal returns are affected by the transfer ratio, the stock price of the company, the market prices, and the volatility of earnings, and so on. And the influence of various factors on the abnormal income of the announcement date of the plan and the day of excluding the right and interest is opposite, which indicates that there is a topic of speculation in the treatment of the transfer event in the market. Secondly, in terms of liquidity, the transfer behavior does not cause significant changes in corporate liquidity before and after transfer, but causes a significant increase in corporate stock liquidity near the right exclusion date, indicating that liquidity is limited in China. In terms of volatility, volatility increases significantly, which means more noise transactions and more small and medium-sized investors. The study also found that, The liquidity change caused by the transfer is affected by the market price and the ratio of the transfer, while the volatility caused by the transmission is affected by the ratio. Finally, it is found that the effect of filling rights is random under the influence of market price, and that the transfer event has no negative effect on the wealth of controlling shareholders. The irrational behavior and speculation in China's securities market need the attention of investors and regulators.
【學(xué)位授予單位】：浙江工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F275

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