“高送转”股票市场反应的实证研究

发布时间：2018-03-02 03:12

本文关键词： 功能锁定高送转事件研究法　出处：《暨南大学》2012年硕士论文　论文类型：学位论文

【摘要】：在我国的证券市场中，上市公司实行送股、转增股经常被视为一种“好消息”，尤其是“高送转”股票，更是受到市场的强烈追捧。从理论上讲，无论是送股还是公积金转增股，都只是上市公司对股东权益科目进行调整，既不影响现金流量，也不增加股东的财富。它们并不对上市公司的价值产生本质的影响，没有实质性的经济含义。但是，一直以来，投资者对“高送转”股票的投资热情却没有减少的迹象。本文用“功能锁定”假说来研究“高送转”股票的市场反应。“功能锁定”假说认为投资者在决策过程中往往锁定于某种特定的表面信息，不能充分理解和利用有关信息来评估证券价值从而做出正确的投资决策。本文选取了2007－2011年实行“高送转”的股票，首先采用描述性统计方法分析了“高送转”股票的送转比例、盈利能力、系统风险以及股票价格，然后用事件研究法，研究“高送转”股票在预案公布日的市场反应，并且区分了首次公告、送转比例等因素，发现我国证券市场存在严重的内幕消息泄露情况，“高送转”股票有强烈的事前反应，且这种市场反应与送转比例密切相关。本文还从“功能锁定”假说理论出发，通过构建投资组合进行独立样本T检验,试图研究投资者是否存在对“高送转”股票的功能锁定现象。研究发现，在送（转）股比例相似的情况下，投资者对盈利能力（EPS）有差异的两类股票并没有区别反应，这说明了投资者对于上市公司发布的股利公告信息仅锁定在“高送转”概念上，对不同盈利能力的公司不能区别定价，“高送转”是一个炒作的概念，而不是高股价、高盈利的公司拥有的特权。投资者对“高送转”的投资热情是短暂的、也是盲目的，没有充分利用上市公司的盈余信息来评估股票的价值。
[Abstract]:In the stock market of our country, the listed companies carry out stock offerings, and the conversion of shares is often regarded as "good news", especially the "high transmission" stocks, which are strongly sought after by the market. Theoretically speaking, whether they are sending shares or changing shares from the provident fund, It is only the adjustment of shareholders' equity subjects by listed companies, which neither affects the cash flow nor increases the wealth of shareholders. They do not have an essential impact on the value of listed companies, and have no substantive economic implications. There is no sign of investors' enthusiasm for "high turnover" stock investment. This paper studies the market reaction of "high turnover" stock by using "function locking" hypothesis. The "function lock" hypothesis holds that investors are in the process of making decisions. Often locked in a particular surface information, Can not fully understand and use the relevant information to evaluate the value of securities in order to make the right investment decision. In this paper, we select the stocks that carry out the "high turnover" from 2007 to 2011. Firstly, we use descriptive statistical method to analyze the transfer ratio, profitability, system risk and stock price of the "high transfer" stock, and then use the event study method. By studying the market reaction of "high transmission" stocks on the date of the announcement of the plan, and distinguishing the factors such as the first announcement and the ratio of transmission to transfer, it is found that there is a serious leakage of insider information in the stock market of our country, and that the "high transmission" stock has a strong prior reaction. This market reaction is closely related to the transfer ratio. Based on the theory of "functional locking" hypothesis, the independent sample T test is carried out by constructing a portfolio. Try to find out whether there is a phenomenon of functional locking in "high turnover" stocks. The study found that investors did not react differently to the two classes of stocks with different profitability EPSs when the ratio was similar. This shows that investors' information on dividend announcements issued by listed companies is only locked in the concept of "high transmission", and that companies with different profitability cannot be priced differently. "high transmission" is a hyped concept, not a high stock price. The investor's enthusiasm for "high return" investment is short-lived and blind, and does not take full advantage of the earnings information of listed companies to evaluate the value of stocks.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】