上市公司大股东增持公告效应及动机分析

发布时间：2018-02-11 07:09

本文关键词： 大股东增持内部人交易信息不对称　出处：《中国社会科学》2011年04期 　论文类型：期刊论文

【摘要】：由于A股上市公司特殊的股权结构,大股东增持具有特殊的意义。对2008年8月27日证监会新规颁布后至2010年12月31日之间的上市公司增持行为进行研究,可以发现,在增持公告事件窗口内有显著为正的公告效应,两日公告效应约为3.21%。增持前,样本公司的累积异常收益并不显著,而在增持之后,公司股价累积异常回报显著为正,并且持续性较强。对样本的细分研究发现,不同市场环境下大股东增持行为的市场影响表现出一定的差异:牛市行情中,大股东增持的市场效应更强。从信号传递和时机选择的角度对大股东增持行为进行分析,对样本公司增持前后股价走势的考察以及多因素分析都没有发现支持市场时机选择或信号发送假设的证据。
[Abstract]:Because the ownership structure of A shares of Listed Companies in particular, has a special significance. On August 27, 2008 the holdings of major shareholders of listed companies SFC holdings of behavior between the promulgation of new regulations after December 31, 2010 to conduct the research, can be found in the holdings announcement event window has significant positive announcement effect, two announcement effect about 3.21%. holdings before the cumulative the abnormal returns of Sample Firms is not significant, but in the holdings of shares after the cumulative abnormal return is significantly positive, and strong persistence. For subdivision of the research sample, the market impact of holdings of major shareholders under different market environments show some differences: the bull market, the stronger market effect of holdings of major shareholders of. The holdings of major shareholders behavior choice from the signal transmission and timing point of view, the Sample Firms holdings of stock price movements before and after the investigation and analysis of multiple factors There is no evidence to support market timing or signaling hypothesis.

【作者单位】：中央财经大学金融学院;中央财经大学证券期货研究所;
【基金】：“中央财经大学211工程三期重点学科建设项目”和“中央财经大学科研创新团队支持计划”的资助
【分类号】：F832.51;F224

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