大股东增持的短期效应与承诺期超额收益研究

发布时间：2018-04-11 22:10

本文选题：大股东增持 + 市场效应　；参考：《西安电子科技大学》2012年硕士论文

【摘要】：大股东增持是指上市公司大股东从股票二级市场自主购买上市公司股票的行为,是一种在我国股票市场上较为常见的股权管理方式。大股东作为企业的内部人具有普通投资者不具有的信息优势,因此大股东增持,尤其是大规模的大股东增持势必对股票市场产生重大影响。深入了解我国大股东增持的相关特征,对今后我国证券市场的稳定发展,对政府相关职能部门、大股东和中小投资者都是一种有益的参考。本文分析了我国股票市场中发生的三次大规模的大股东增持,并对这三次大股东增持的相关特征进行了实证分析。本文以2005-2011年间我国股票市场中发生大股东增持的266家上市公司498次增持公告作为研究对象,对我国上市公司大股东增持的公告日市场效应进行了分析研究。研究表明,上市公司第一大股东或者控股股东发布股份增持公告,会导致公司股价在公告日上涨,并且公告日该公司股票的涨幅与大股东的增持动机有关,自然人大股东增持比国有性质大股东进行增持公告日的平均涨幅更大。实证分析同时表明,大股东增持前的持股比例与大股东增持的公告日市场效应成负相关关系,即大股东增持前持股比例越高,增持的市场短期效应越不明显；上市公司大股东在同一轮增持中,如果多次发布大股东增持公告,大股东增持的短期市场效应与大股东增持公告的次数显著负相关。本文以2005-2009年间我国股票市场中发生大股东增持的181家上市公司作为研究对象,进一步探讨了我国股票市场中承诺期超额收益的问题,实证研究表明,我国上市公司大股东增持承诺期存在超额收益,上市公司大股东增持承诺期超额收益率与上市公司大股东增持承诺期时长显著正相关；自然人大股东增持的平均承诺期超额收益率比国有性质大股东增持的平均承诺期超额收益率更高。这些结论对深入了解我国上市公司大股份的增持行为及影响有现实意义。
[Abstract]:The behavior of the majority shareholders buying the listed company's shares independently from the secondary stock market is a relatively common equity management method in the stock market of our country.Large shareholders as insiders of enterprises have information advantages that ordinary investors do not have, so large shareholders increase their holdings, especially large scale large shareholders increase their holdings, which is bound to have a significant impact on the stock market.It is a useful reference for the stable development of our country's securities market, the government's relevant functional departments, the large shareholders and the small and medium investors to understand the relevant characteristics of the large shareholders' increasing holdings in our country.This paper analyzes the three large shareholder increases in China's stock market, and makes an empirical analysis of the characteristics of these three large shareholder increases.The research shows that the announcement of the first largest shareholder or controlling shareholder of a listed company will cause the share price of the company to rise on the announcement day, and the increase of the company's stock on the announcement date is related to the motivation of the majority shareholders to increase their holdings.Natural-person large shareholders increase than state-owned large shareholders to increase the average increase on the date of announcement.At the same time, the empirical analysis shows that the proportion of stock before the increase of large shareholders is negatively related to the market effect of the announcement day of the increase of the majority shareholder, that is, the higher the proportion of the stock before the increase of the majority shareholder, the less obvious the short-term effect of the increase in the market.In the same round of increase, if the large shareholders issue the announcement of increasing the holding of large shareholders, the short-term market effect of increasing the holding of large shareholders is negatively correlated with the times of the announcement of increasing the holding of large shareholders.In this paper, 181 listed companies in China's stock market with large shareholders increasing their holdings from 2005 to 2009 are taken as the research objects, and the problem of excess returns in the commitment period in China's stock market is further discussed. The empirical study shows that,There are excess returns in the commitment period of large shareholders of listed companies in our country. The excess returns of large shareholders in the commitment period of listed companies are significantly positively correlated with the length of the commitment period of increasing holding of large shareholders of listed companies.The average excess rate of return of large shareholders of natural persons in the commitment period is higher than that of the large shareholders of state-owned nature.These conclusions are of practical significance for further understanding of the behavior and influence of the large shares of listed companies in China.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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