A股市场上大股东减持的时机选择和市场反应研究

发布时间：2018-05-01 21:23

本文选题：内部人交易 + 大股东减持　；参考：《浙江大学学报(人文社会科学版)预印本》2011年02期

【摘要】：利用公开披露的减持公告数据,从短时间窗口考察大股东减持的时机选择能力以及减持披露后的市场反应机制的研究结果显示,减持公告前后累计超额收益(CAR)呈先升后降的倒V形,CAR[-20,-1]和CAR[0,20]分别高达4.12%和-2.61%,大股东在减持中表现出精准的时机选择能力,并获利丰厚,而市场认为减持传达了估值偏高或前景不佳的新信息,对此作出了显著的负面反应。在公告当日,市场对绩差公司、民营控股公司的大股东减持以及大额的减持作出更大的负面反应;在公告后的较长时间内,绩差公司、控股股东的减持负面影响更持久。可见,精准的时机选择能力反映出大股东在交易中的确利用了重要的私有信息,减持前高达4.12%的超额收益为强化监管提供了有力的经验支持。
[Abstract]:By using the publicly disclosed reduction announcement data, the research results of the market reaction mechanism after the disclosures of large shareholders and the market reaction mechanism after the disclosure of the reduction are investigated from a short window. Before and after the announcement of the reduction of holdings, the cumulative excess returns of CAR) were as high as 4.12% and -2.61% respectively, and the inverted V-shaped car [-20 + 1] and CAR [0-20] were up to 4.12% and -2.61%, respectively. The majority shareholders showed the ability to select precise timing and make a good profit in the reduction of their holdings. There was a significant negative reaction to the market's new message that the undervaluation was high or the outlook was poor. On the day of the announcement, the market made a greater negative reaction to the reduction of major shareholders of poor performance companies and private holding companies, as well as to the reduction of large amounts of holdings; in the longer period after the announcement, the negative impact of the reduction of poor performance companies and controlling shareholders was more lasting. It can be seen that the accurate timing ability reflects that the major shareholders do use important private information in the transaction, and the excess return of 4.12% before the reduction provides strong experience support for the strengthening of regulation.
【作者单位】：浙江大学管理学院;复旦大学管理学院;
【基金】：国家自然科学基金资助项目(71072116)
【分类号】：F832.51

【二级参考文献】