上市公司退市制度市场反应的实证研究

发布时间：2018-02-28 13:14

本文关键词： 退市退市机制超额回报实证研究　出处：《杭州电子科技大学》2016年硕士论文　论文类型：学位论文

【摘要】：证券市场的建立与发展是社会主义市场经济体制改革的重要成果之一,它已成为我国社会主义市场经济体系的重要组成部分,在经济体制改革和国有企业改革和国民经济发展中起着重要作用。有效的证券市场应该是有利于社会资源的“精英企业”的流动,实现金融资本的合理和有效配置。然而与举足轻重的地位不相匹配的是,我国的证券市场相比西方成熟的市场还有许多不尽人意之处。上市公司“僵而不死”现象是其中的一种：一些业绩糟糕,经营困难甚至面临破产的上市公司不仅可以继续在证券市场上存在,而且还出现了被市场炒作、价值严重高估的现象。这样严重影响证券市场的稳定和中小投资者利益的有效保障。因此证券市场合理有效的“退出机制”显得尤为迫切。本文首先对国内外退市机制以及其市场效用相关文献进行梳理,经过归纳总结得出合理有效的退市机制能明显优化市场资源配置,成熟市场对于退市反应趋于理性。在此基础上提出假设,并以我国退市制度为考量对象,以历次退市制度颁布当年即2001年、2012年、2014年三年ST公司为研究样本,利用统计软件SPSS16.0对全样本条件下上市公司退市制度的市场效应及其影响因素的相关性进行多元线性回归。最后得出研究结并提出建议。通过实证研究发现：1.在退市制度颁布日附近*ST. ST公司的股票有被抛售的风险,股票价格显著下跌。投资者的累计超额回报显著为负,市场负反应严重。同时,我们的实证研究得出了影响市场负反应幅度的因素分别为公司业绩,盈余管理,年度。相比之下,非ST股票的市场反应并不显著。2.在ST和*ST公司中,相对而言,业绩较好的公司,扭亏为盈的能力较强,第三年出现亏损的概率较小,这就是说业绩较好的公司被强制退市的概率较小,所以在退市制度颁布日附近的若干个交易日内,股价下跌的可能性也较小3.ST和*ST上市公司由于连续两年存在财务亏损,公司就有可能进行盈余管理,达到扭亏为盈,从而摆脱退市风险,甚至达到摘帽的目的,然而,公司因此也带来了潜在的监管风险和财务风险,投资者的合法权益有被损害的可能,故在退市机制的颁布日附近的若干个交易日内,股价下跌的风险的可能性增大。4.从退市制度颁布日的市场反应来看,退市制度的市场有效性得出验证,但仍需进一步完善。
[Abstract]:The establishment and development of the securities market is one of the important achievements of the reform of the socialist market economy system, and it has become an important part of the socialist market economy system of our country. It plays an important role in the reform of the economic system, the reform of the state-owned enterprises and the development of the national economy. An effective securities market should be the flow of "elite enterprises" in favor of social resources. To achieve a reasonable and efficient allocation of financial capital. The stock market in China is still far from satisfactory compared with the mature markets in the West. The phenomenon of "stiff to death" of listed companies is one of them: some of them have poor performance. Listed companies facing difficulties in operation and even facing bankruptcy can not only continue to exist in the securities market, but also appear to be hyped by the market. The phenomenon that the value is seriously overestimated. This seriously affects the stability of the securities market and the effective protection of the interests of the small and medium-sized investors. Therefore, the reasonable and effective "exit mechanism" of the securities market is particularly urgent. Market mechanism and its market utility related literature are combed, After summing up, it is concluded that reasonable and effective delisting mechanism can obviously optimize the allocation of market resources, and the mature market tends to be rational in response to delisting. On this basis, the hypothesis is put forward, and the delisting system of our country is taken as the object of consideration. Taking St Company for three years, that is, 2001, 2012 and 2014, as the research sample, By using the statistical software SPSS16.0, the market effect of the delisting system of listed companies under the condition of full sample and the correlation of its influencing factors are analyzed by multivariate linear regression. Finally, the conclusion of the study is drawn and some suggestions are put forward. The empirical study shows that: 1. There is a risk that shares in ST.ST companies will be sold off near the date of promulgation of the market system. The cumulative excess return of investors is significantly negative, and the negative reaction of market is serious. Meanwhile, our empirical research shows that the factors that affect the negative reaction range of market are corporate performance, earnings management, and so on. Year. In contrast, the market response of non-ST stocks is not significant. Among St and St companies, companies with relatively good performance have a stronger ability to turn losses and have a lower probability of losing money in the third year. This means that companies with better results are less likely to be forced to withdraw from the market. Therefore, in several trading days near the date of promulgation of the delisting system, stock prices are less likely to fall 3.ST and St listed companies suffer financial losses for two consecutive years. It is possible for a company to manage its earnings to turn losses into profits, thereby getting rid of the risk of delisting and even achieving the goal of removing its cap. However, the company has also brought potential regulatory and financial risks. The legitimate rights and interests of investors are likely to be damaged, so within several trading days near the date of promulgation of the delisting mechanism, the possibility of the risk of stock price falling increases .4. from the market reaction on the date of the delisting system, The market validity of delisting system is verified, but it still needs further improvement.
【学位授予单位】：杭州电子科技大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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