上市公司增持股票的市场反应研究

发布时间：2018-05-03 08:32

本文选题：上市公司 + 增持　；参考：《沈阳工业大学》2012年硕士论文

【摘要】：从中国股权分置改革实施以来，多数非流通股转变成流通股，准许上市企业大股东及高管持有的非流通股进入二级市场中流通交易。这使得对大股东和高管在二级市场上买卖股票行为的相关研究具备更多意义。根据国外相关文献可知，上市公司往往可以利用其信息优势在二级市场上进行买卖，从而获取超出预期的收益。因此，企业大股东在二级市场上的交易行为，，能带来一些参考作用，一定程度上引导广大投资者的投资决策。近些年来，中国学者逐渐开始注意研究增持行为，可大多研究集中在上市公司的财务绩效和主要股东增持行为的关系，以及大股东增持和公司的股权结构的相关问题，针对增持行为带来何种市场效应的研究却寥寥无几。随着股权分置改革的展开，非流通股转变成流通股，限售股变为能于二级市场交易的流通股，增持股票行为逐渐成为证券市场中的普遍现象。再来看国内学者的研究，大多集中于研究大股东增持行为，对于上市公司增持股票行为的研究却处于起步阶段。本文集中对上市公司增持行为对二级市场的短期影响进行研究。2008年，受世界金融危机的影响，中国股票市场出现大幅下跌，在此期间出现了大股东增持的热潮。多数对大股东增持行为的研究也是随之出现在这个特殊的时期。然而随着市场逐步恢复走出低迷，大股东的增持行为却没有停止。本文通过对2008-2011年期间上市公司增持股票事件产生的市场反应进行实证研究。首先通过事件研究的方法，检验上市公司增持行为产生的短期市场效应。结果表明，上市公司增持行为能使该公司的股价产生正的异常波动，从而为投资者带来显著的正超额收益；然后通过建立线性回归模型来分析增持股份多少对累计超常收益率的影响，结果表明上市公司公告增持股份越多，其股价的累计超常回报率越高。本文最后根据研究结论对上市公司增持股票行为相关监管制度提出若干理论建议。
[Abstract]:Since the implementation of the split share structure reform in China, most non-tradable shares have been converted into tradable shares, allowing non-tradable shares held by major shareholders and executives of listed enterprises to enter the secondary market for circulation. This makes it more meaningful to study the behavior of large shareholders and executives buying and selling stocks in the secondary market. According to the relevant foreign literature, listed companies can often use their information advantages to buy and sell in the secondary market, so as to obtain more than expected income. Therefore, the trading behavior of the major shareholders in the secondary market can bring some reference functions, to a certain extent, guide the investors to make investment decisions. In recent years, Chinese scholars have gradually begun to pay attention to the behavior of increasing holdings. Most of the studies focus on the relationship between the financial performance of listed companies and the behavior of major shareholders, as well as the problems related to the increase of large shareholders' holdings and the ownership structure of the company. Little research has been done on the market effects of increasing holdings. With the development of the reform of split share structure, non-tradable shares are transformed into tradable shares, and restricted shares become tradable shares which can be traded in the secondary market. The behavior of increasing stock holdings has gradually become a common phenomenon in the securities market. The research of domestic scholars mostly focuses on the behavior of large shareholders increasing, but the research on the behavior of listed companies is still in its infancy. This paper focuses on the short-term impact of the listed companies' increasing holdings on the secondary market. In 2008, due to the impact of the world financial crisis, the stock market in China fell sharply, and during this period there was a boom of increasing the holdings of large shareholders. Most of the research on the behavior of large shareholders increase also appears in this special period. However, as the market gradually recovered from the downturn, the behavior of major shareholders has not stopped. This paper makes an empirical study on the market reaction of listed companies increasing their stock holdings during 2008-2011. Firstly, the short-term market effect of listed companies' increasing holdings is tested by the method of event study. The results show that the behavior of increasing the holdings of the listed companies can make the stock price of the listed company fluctuate in a positive way, thus bringing about a significant positive excess return for the investors. Then a linear regression model is established to analyze the effect of increasing the shares on the cumulative abnormal return. The results show that the more shares the listed companies announce, the higher the cumulative extraordinary return on the stock price. Finally, according to the conclusion of the research, the paper puts forward some theoretical suggestions on the supervision system of the listed companies' increasing stock holdings.
【学位授予单位】：沈阳工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

【参考文献】