我国证券市场股份回购的市场效应分析

发布时间：2018-07-04 21:08

本文选题：股份回购 + 回购动机　；参考：《西南财经大学》2012年硕士论文

【摘要】：股份回购是指上市公司购回其自身发行在外的股份,以达到减少资本和调整股本结构等目的的一种资本市场行为。在西方发达国家的资本市场中,股份回购得到了大量的应用,股份回购是一种改变上市公司资本结构的方式,同时也涉及到股利分配的政策,由此可以,上市公司可以通过股份回购这一工具提升公司股票的价值。随着我国证券市场的发展与完善,股份回购这种资本运作方式也受到我国上市公司的重视,并且也得到了一些公司的采用。特别是2005年6月份开始的股权分置改革,使我国的证券市场进入了全流通的时代,同时2005年10月《公司法》修正案出台,对公司回购股份也做出了明确的规定。可以预见到上市公司股份回购的行为将在我国资本市场上得到更多的应用和发展,同时也会对我国资本市场的发展产生重要的影响。国外学者在上世纪80年代开始已经做了大量的研究,很多实证分析已经表明,股份回购会产生一种正的市场效应。那么,对于我国这样的一种特殊的制度环境和背景下,是否也能产生这样的一种市场效应?这种市场效应的程度如何?投资者应当如何去把握影响股份回购的市场效应因素,应当如何客观理性的去看待这样的市场反应呢?投资者是否真的了解上市公司股份回购背后的真正动机呢?特别是股权分置改革后,流通股回购的事件越来越多,因此,从流通股回购的角度上来研究和探讨上市公司股份回购的市场效应是十分必要的。所以,对我国上市公司股份回购市场效应的研究,不但可以丰富我国股份回购的理论知识,而且也可以辅助上市公司更好地理解应用它,同时还帮助投资者来认清上市公司进行股份回购的真实动机,并客观的来分析股份回购的市场效应,并据此做出理性的投资判断,最后希望能够通过对我国股份回购市场效应分析中发现一些规律和特点,为以后我国股份回购相关问题的研究给予一定的启示。我国股份回购的发展进程比较缓慢,且发生的案例并不是很多,代表性也不强,但同时也存在一定的研究可能。国内的学者也开始逐渐注重这方面的研究,然而,国内学者对股份回购的研究大多集中于定性分析,实证分析的文献并不多,研究的方向都是基本都是从股份回购的动机谈起,因为对我国股份回购市场效应的研究离不开对动机的剖析,因为流通股回购背后的动机完全可能同早期的定向回购不同,所以对流通股回购市场效应的研究之前有必要对我国证券市场不同时期下的股份回购特点和动机进行梳理。本文在此问题的分析上,首先对我国股份回购的发展演变过程进行了系统的总结,而且同国外的理论进行了比较分析,把国外理论和国内发展状况有机的结合在一起,最终对我国股份回购的动机有了全面深入的解析。关于实证研究的样本方面笔者注意到,我国股份回购研究的案例大多数集中于我国证券市场早前的股份回购事件,研究的案例基本上都是定向回购,没有专门对公开市场上流通股回购进行研究,所以时效性不强。另外,股权分置改革后我国上市公司股份回购呈现出了新的特点,有必要对近几年的回购事件重新进行梳理和分析,基于这种情况,本文将从实证分析入手,重点选取股权分置改革后上市公司流通股回购的案例作为研究对象,运用事件研究法和统计回归分析的方法,将对股份回购的市场效应以及影响因素做一个全面系统的研究。本文一共分为六章进行论述：第一章为导论,主要介绍本文的研究背景、研究意义以及研究方法与思路；第二章为文献综述,本章将对股份回购的市场效应及其影响因素方面的研究文献进行回顾和梳理,总结出现有的研究成果；第三章为股份回购的基础理论概述,这一章主要阐述股份回购的相关理论,包括股份回购的定义、方式和股份回购的理论假说；第四章我国上市公司回购的发展历程,在利用国外回购理论假说的基础上,通过对我国不同时期股份回购的不同背景和特点的回顾进行分析我国股份回购的动机；第五章对我国上市公司进行流通股回购的市场效应进行了实证分析,选取了股权分置改革后我国进行流通股股份回购的上市公司作为研究对象,采用事件研究法和回归分析法来验证市场效应,并对其影响因素进行回归分析,然后阐述论证结果,并给出相应的政策建议；第六章为研究展望,分析了本文的不足,并对该问题未来的研究发展方向做出了展望和期待。本文的研究结论主要如下： (1)我国证券市场股份回购具有显著的市场效应,总的表现为在整个事件期内累计异常收益率的均值显著为正,该结果同国内外大多数学者的研究结果基本一致。但是市场效应主要体现在回购公告日之前的区间,特别是在事件期(-3,0)内,股价的累积异常收益增速最快,而且股份回购公告后的股价的异常收益率出现了下降,这个结果同国外的研究并不一致。引起上述情况最可能的原因就是股份回购的信息提前泄露,导致临近公告日之前的事件区间股价出现了大幅上涨,而在回购公告日后的事件期内无法获得显著正的累积异常收益率。投资者如果在回购公告日当天获取公开信息,并以此作为依据买入上市公司股票的话,不能确保在事件期间能获得正的累积异常收益。 (2)影响事件期内市场效应的主要显著因素有：回购比例、回购价格比。回购比例的高低代表股票供给的高低,回购价格比反映了回购的溢价,它们与累积异常收益呈正相关的关系,即回购比例或回购价格比越高,股份回购的市场效应就会越大。而其他因素,如市净率,公司规模,净资产收益率,资产负债率,主营业务收入增长率与累积异常收益率的关系并不显著。总体来说与市场效应呈正相关关系的变量有：回购比例、回购价格比、公司规模、主营业务收入增长率,与市场效应呈负相关的关系的有：市净率、资产负债率、净资产收益率。 (3)涉及公司基本面的因素和市场效应的关系并不显著,而且和假设的方向也不一致,这说明了我国大部分股票市场的投资者不注重长期投资,不看重公司的基本面价值,更多的是关注的股票市场上短期的价格波动,希望通过短期价格波动来获得资本利得的收益。
[Abstract]:Share repurchase is a kind of capital market behavior that the listed companies buy back their own issued shares in order to reduce capital and adjust the structure of equity. In the capital markets of developed countries in western countries, share repurchase has been widely used. Share repurchase is a way to change the capital structure of the listed companies, and also involved in the capital market. As a result of the policy of dividend distribution, the listed companies can improve the value of the stock by the share repurchase tool. With the development and perfection of the stock market in China, the capital operation mode of share repurchase is also taken seriously by the listed companies of our country, and it has also been adopted by some companies, especially in June 2005. The stock market reform has brought China's securities market into the era of full circulation. At the same time, the amendment of the company law in October 2005 has made a clear regulation on the share repurchase shares of the company. It can be foreseen that the behavior of the share repurchase of listed companies will be more applied and developed in the capital market of our country, and also to our national capital. The development of this market has an important impact.
Many foreign scholars have done a lot of research in the 80s of last century. A lot of empirical analysis has shown that share repurchase will produce a positive market effect. Then, is it possible to produce such a market effect in a special institutional environment and background of China? How is the market effect of this kind of market effect? How should we grasp the market effect factors that affect the share repurchase, how should we look at the market reaction objectively and rationally? Do investors really know the real motivation behind the share repurchase of the listed companies? In particular, after the split share reform, there are more and more events in the repurchase of the circulation stock. It is very necessary to study and discuss the market effect of share repurchase of listed companies from the angle of view.
Therefore, the study of the stock repo market effect of Listed Companies in China can not only enrich the theoretical knowledge of the share repurchase of our country, but also help the listed companies to understand the application of it better, and help the investors to recognize the real machine of the share repurchase of the listed companies, and to analyze the market effect of the share repurchase objectively. In the end, we hope to find some rules and characteristics in the analysis of the effect of the stock repurchase market in China, and give some inspiration for the future research on the problem of share repurchase in China.
The development process of share repurchase in China is slow, and there are not many cases and the representative is not strong, but at the same time there may be some research. Domestic scholars have begun to pay more attention to this research. However, the domestic scholars mostly focus on the qualitative analysis of the share repurchase, and the literature of empirical analysis is not much. The direction of the study is basically from the motivation of the share repurchase, because the study of the effect of the stock repurchase market in China can not be separated from the motivation, because the motivation behind the repurchase of the shares may be completely different from the early directional repurchase, so it is necessary for the stock market of our country before the research on the effect of the repo market. This paper makes a systematic summary of the development and evolution process of the share repurchase in China, and compares it with the foreign theories, and combines the foreign theory with the domestic development situation, and finally to the share repurchase of our country. The motivation has a thorough and thorough analysis.
As to the sample of empirical research, I have noticed that most of the cases of stock repurchase research in China are concentrated on the early share repurchase events in the stock market in our country. The research cases are basically directed repo, and there is no special study on the repurchase of the circulation shares on the open market, so the timeliness is not strong. In addition, after the split share reform, the stock repurchase is not strong. The share repurchase of Listed Companies in China has shown new characteristics. It is necessary to rearrange and analyze the repurchase events in recent years. Based on this situation, this article will start with empirical analysis and focus on the case of the repurchase of the listed companies' circulation shares after the split share reform as the research object, using the event research method and statistical regression analysis. The method will make a comprehensive and systematic study on the market effect and influencing factors of share repurchase.
This article is divided into six chapters: the first chapter is the introduction, mainly introducing the research background, research significance and research methods and ideas; the second chapter is the literature review. This chapter reviews and combs the market effect of share repurchase and its influencing factors, and summarizes the results of some research; third This chapter mainly describes the basic theory of share repurchase. This chapter mainly expounds the related theories of share repurchase, including the definition of share repurchase, the way of share repurchase, and the theoretical hypothesis of share repurchase; the fourth chapter is the development course of the repurchase of Listed Companies in China, on the basis of using the hypothesis of foreign repurchase theory, through the different repurchase of shares in different periods of our country. The background and the characteristics are reviewed to analyze the motivation of the share repurchase in China. The fifth chapter makes an empirical analysis of the market effect of the repurchase of the listed companies in China, and selects the listed companies of the share repurchase in China as the research object after the split share reform, and use the event research method and the regression analysis method to verify the stock repurchase. The market effect, and the regression analysis of its influencing factors, then expounds the results of the demonstration, and gives the corresponding policy suggestions; the sixth chapter is the research prospect, analyzes the shortage of this paper, and makes a prospect and expectation for the future research and development direction of the problem.
The main conclusions of this paper are as follows:
(1) the stock repurchase in China's stock market has a significant market effect. The overall performance of the stock repurchase is marked by the mean value of the cumulative abnormal return in the whole event period. This result is basically consistent with the results of most scholars in the country and abroad. But the market effect is mainly reflected in the interval before the repo announcement day, especially in the event period (-3,0), The cumulative abnormal return of stock prices was fastest growing, and the abnormal return on stock prices dropped after the share repurchase announcement. The result was not consistent with the foreign research. The most likely cause of the above situation was the early disclosure of share repurchase information, which led to a substantial increase in the event interval before the announcement day. There is no significant positive cumulative abnormal return in the event period after the repo announcement day. If investors get public information on the day of repo announcements and buy stock of listed companies on this basis, they do not guarantee positive cumulative abnormal returns during the event.
(2) the main significant factors affecting the market effect in the event period are the proportion of repurchase, the ratio of repo price and the ratio of repurchase price to the level of stock supply, and the repo price ratio reflects the premium of repurchase, which is positively related to the cumulative abnormal return, that is, the higher the repo ratio or the ratio of repo price, the market effect of share repurchase Other factors, such as the market rate, the company size, the net asset yield, the asset liability rate, the growth rate of the main business income and the cumulative abnormal return are not significant. In general, the variables of positive correlation with the market effect are: the repurchase ratio, the repo ratio, the company size, the growth rate of the main business income, and the market. The negative correlation is: market rate, asset liability ratio and return on net assets.
(3) the relationship between the basic factors of the company and the market effect is not significant, and the direction of the hypothesis is not consistent. It shows that the investors in most of the stock markets do not pay much attention to the long-term investment, do not value the basic value of the company, and the short-term price fluctuations in the stock market are more concerned, hoping to pass the short-term price wave. Move to gain the benefit of capital gains.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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