机构持股、股改对价调整与市场反应

发布时间：2018-07-18 12:55

【摘要】：本文主要研究机构投资者在股权分置改革的对价确定上是否发挥了积极的议价作用。与已有的研究一致,发现了机构持股与流通股东所获得的对价补偿为显著的负向关系。更重要的是,在研究机构持股和对价调整之间的关系时,发现机构持股与股改预案调整的对价也为显著的负向关系。这说明,机构投资者并没有起到为股东争取权益的积极作用。最后,用标准的事件研究法,对机构持股比例变量与机构持股哑元变量对董事会预案公告日当天的股票超额回报及三天累积超额回报的影响进行研究。发现机构是否持股对股票超额回报的显著负向关系,并且在控制了公司规模后仍然显著成立。这在一定程度反映市场预期机构投资者将有可能损害投资者利益,进而"用脚投票",使得股价走低。
[Abstract]:This paper mainly studies whether institutional investors play an active bargaining role in pricing reform. In accordance with the previous studies, it is found that institutional shareholding has a significant negative relationship with the compensation for consideration obtained by circulating shareholders. More importantly, when we study the relationship between institutional shareholding and consideration adjustment, we find that institutional shareholding and the adjustment of stock reform plan are also significantly negative. This shows that institutional investors have not played a positive role in fighting for shareholders. Finally, the influence of institutional shareholding ratio variable and institutional shareholding mute variable on the stock excess return on the day of the announcement of the board of directors plan and the cumulative excess return in three days are studied by using the standard event research method. It is found that there is a significant negative relationship between the stock ownership and the excess return of the stock, and it still holds after controlling the size of the company. This partly reflects expectations that institutional investors will hurt investors' interests and "vote with their feet", driving stock prices lower.
【作者单位】：中国科学技术大学统计与金融系;对外经济贸易大学应用金融研究中心;
【基金】：对外经济贸易大学校级科研课题“公司治理、市场流动性和股价信息含量”(09QD08)
【分类号】：F224;F832.51

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