大股东交易对市场定价效率的促进——基于错误定价与成长性驱动交易的视角
发布时间：2019-01-05 20:30
【摘要】：中国证券市场发生了一系列制度性变革后,大股东在二级市场上的交易越来越普遍。他们的交易行为能否提高市场的定价效率、使公司股票价格反应更多关于企业未来成长性的信息?通过对2006年下半年至2009年底中国证券市场上发生的大股东交易事件为样本的实证研究发现,(1)大股东交易行为与公司股票定价错误有关,价值高估时大股东净买入率低,价值低估时净买入率则高;(2)大股东净买入率与企业成长性显著正相关,当企业未来发展前景很好时,大股东的买入行为显著多于卖出行为。上述研究结果表明,大股东参与市场交易能促使股票价格向内在价值回归,使价格反映出更多关于企业未赖成长性的信息。
[Abstract]:After a series of institutional changes in China's securities market, the transactions of major shareholders in the secondary market are becoming more and more common. Can their trading behavior improve the pricing efficiency of the market and enable the company's stock price to reflect more information about the future growth of the enterprise? Through the empirical research on the large shareholder trading events in the Chinese stock market from the second half of 2006 to the end of 2009, it is found that (1) the trading behavior of the large shareholders is related to the mispricing of the company's stock, and the net buying rate of the large shareholders is low when the value is overvalued. When the value is undervalued, the net buying rate is higher; (2) the net buying rate of large shareholders is significantly positively related to the growth of enterprises. When the future development prospects of enterprises are good, the buying behavior of large shareholders is significantly higher than that of selling. The results show that the participation of large shareholders in the market can promote the return of stock price to intrinsic value and make the price reflect more information about enterprise growth.
【作者单位】： 武汉纺织大学经济管理学院;武汉大学经济与管理学院;
【分类号】：F832.51;F224
[Abstract]:After a series of institutional changes in China's securities market, the transactions of major shareholders in the secondary market are becoming more and more common. Can their trading behavior improve the pricing efficiency of the market and enable the company's stock price to reflect more information about the future growth of the enterprise? Through the empirical research on the large shareholder trading events in the Chinese stock market from the second half of 2006 to the end of 2009, it is found that (1) the trading behavior of the large shareholders is related to the mispricing of the company's stock, and the net buying rate of the large shareholders is low when the value is overvalued. When the value is undervalued, the net buying rate is higher; (2) the net buying rate of large shareholders is significantly positively related to the growth of enterprises. When the future development prospects of enterprises are good, the buying behavior of large shareholders is significantly higher than that of selling. The results show that the participation of large shareholders in the market can promote the return of stock price to intrinsic value and make the price reflect more information about enterprise growth.
【作者单位】： 武汉纺织大学经济管理学院;武汉大学经济与管理学院;
【分类号】：F832.51;F224
【参考文献】
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1 张伟强;王s，
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