股权分置改革与股票需求价格弹性——基于供给需求的理论框架和经验证据

发布时间：2018-06-09 02:27

本文选题：股权分置改革 + 市场反应　；参考：《中国工业经济》2010年02期

【摘要】：股票需求的完全价格弹性这一假设是许多金融理论的基础。然而,真实市场上的股票并非是相互替代的,股价与市场供给有关。本文在中国股权分置改革的背景下,建立股票供给和需求的理论模型,分析在需求和供给变动两个冲击下,流通股股东的累积超额收益。我们进而利用市场模型和市场调整模型,计算流通股股东在股改复牌前后的累积超额收益,并分析检验其截面影响因素。实证检验发现,累积超额收益和远期股票供给量成负相关关系。在控制流通股供给冲击效应之后,我们还发现公司盈利能力和非流通股集中度与股改价格效应负相关。进一步考虑市场时机和内生性问题后,结论仍然稳健。本文创造性地度量了股权分置改革经济价值的市场预期,并提供了需求曲线斜率为负的经验证据。
[Abstract]:The assumption of complete price elasticity of stock demand is the basis of many financial theories. However, the stock in the real market is not mutually substituted, the stock price is related to the market supply. Under the background of the reform of split share structure in China, this paper establishes a theoretical model of stock supply and demand, and analyzes the cumulative excess return of circulating shareholders under the impact of demand and supply change. Then we use the market model and the market adjustment model to calculate the accumulated excess return of the tradable shareholders before and after the resumption of trading, and to analyze and test its cross-section influencing factors. Empirical results show that there is a negative correlation between cumulative excess return and forward stock supply. After controlling the impact of circulating stock supply, we also find that the profitability and the concentration of non-tradable shares are negatively correlated with the price effect of stock reform. After further consideration of market timing and endogeneity, the conclusion is still robust. This paper creatively measures the market expectation of the economic value of the split share structure reform and provides empirical evidence that the slope of the demand curve is negative.
【作者单位】：清华大学经济管理学院;复旦大学金融研究院;
【基金】：国家社会科学基金项目“股权分置改革对我国资本市场和公司治理的影响研究”(批准号08BJY151)
【分类号】：F271;F832.51;F224

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