基于事件研究法的股权激励市场反应研究
发布时间：2019-03-27 10:58
【摘要】：随着现代企业所有权与管理权分离,股权激励作为解决委托代理问题的工具逐步发展起来。美国从20世纪50年代开始,股权激励经过半个多世纪的发展已经为绝大部分公司所认同与接受,形成了一定的规模。而欧洲各国也从上世纪80年代开始逐步发展股权激励制度。从西方实践经验以及学术研究成果看来,股权激励无论是对于解决委托代理问题,统一所有者与管理者的利益,还是促进企业业绩的增长,都取得了正面的效应。而我国股权激励制度虽然可以上溯到清末的山西票行,但由于历史的原因,直到近几年才正式逐步得到推广。股权分置改革后,随着各部门推出一系列的法律法规,我国证券市场环境得到进一步的规范,实施股权激励的条件进一步成熟,我国股权激励制度开始规范发展。而从实证研究的结果看来,实施股权激励无论是对企业财务业绩还是市场反应都能够起到一定的影响。 为了考察我国A股市场股权激励措施所能引起的市场反应,本文在理论支持的基础上,运用Fama-French三因子模型,通过事件研究法选取2005年至2011年我国沪深两市股权激励公告公司作为研究样本,对股权激励引发的市场反应进行了实证研究,并进一步考察了不同的激励标的物以及对人才侧重不同的行业的公司的不同市场反应。 通过实证研究,本文发现所提出的五个假设都得到了一定程度的验证：(1)股权激励在事件发生窗口短期内应当存在正的超额收益,引起市场的异常反应。在事件日全样本公司平均超额收益率达到0.72%,样本日前后两个交易日的表现尤为明显,累计平均超额收益率达到2.04%,并通过了5%显著性检验。(2)高科技公司股权激励公告所引起的市场反应大于非高科技公司。无论是从累计收益率还是从数据有效性而言,高科技公司所取得的市场反应都优于非高科技行业。(3)实行期权方式股权激励的公司公告前30天股票收益表现不及实行股票方式股权激励的公司。上市公司会根据股权激励方案计划有意在公告日前影响股价以使得股权激励计划达到更优的激励效果。(4)使用不同方式股权激励的公司市场反应将会有不同的市场反应。以期权方式进行股权激励的样本取得了较限制性股票样本更大的超额收益。(5)股权激励预案公告公布前,市场存在显著不为零的超额收益。由于我国证券市场的不够完善,法律法规不够健全,市场存在一定的信息泄露现象。 在实证研究的基础上,本文进一步提出了完善公司制度,股权激励方案选择以及提高市场有效性等方面的政策性建议。
[Abstract]:With the separation of ownership and management of modern enterprises, equity incentive as a tool to solve the principal-agent problem has gradually developed. Since 1950s, equity incentive has been recognized and accepted by most companies after more than half a century of development, forming a certain scale. And European countries from the 1980s began to gradually develop equity incentive system. From the western practical experience and academic research results, equity incentive has achieved positive effects on solving principal-agent problems, unifying the interests of owners and managers, and promoting the growth of enterprise performance. The equity incentive system of our country can be traced back to Shanxi ticket bank at the end of Qing Dynasty, but due to historical reasons, it is not formally promoted until the last few years. After the reform of the split share structure, with the introduction of a series of laws and regulations, the environment of China's securities market has been further standardized, and the conditions for implementing equity incentive have been further matured, and the equity incentive system of our country has begun to develop in a standardized manner. From the results of the empirical study, the implementation of equity incentives can play a certain role in financial performance and market response. In order to investigate the market reaction caused by the equity incentive measures in China's A-share market, this paper applies the Fama-French three-factor model on the basis of theoretical support. Through the event research method, this paper selects the stock right incentive announcement companies in Shanghai and Shenzhen stock markets from 2005 to 2011 as the research samples, and makes an empirical study on the market reaction caused by the equity incentives. Furthermore, different motivational subjects and different market responses to companies with different talents focus on different industries were examined. Through the empirical study, this paper finds that the five hypotheses have been verified to some extent: (1) there should be positive excess returns in the event window in the short term, which causes the abnormal reaction of the market. On the event day, the average excess rate of return of the whole sample company reached 0.72%, especially in the two trading days before and after the sample day, with the cumulative average excess yield of 2.04%. And passed the 5% significance test. (2) the market reaction caused by the equity incentive announcement of high-tech companies is greater than that of non-high-tech companies. Whether in terms of cumulative rate of return or in terms of the validity of the data, The market reaction of high-tech companies is better than that of non-high-tech industries. (3) the stock returns of companies with option-based equity incentive are not as good as those of non-high-tech companies in the 30 days before announcement. According to the stock incentive plan, listed companies will deliberately affect the stock price before the announcement to achieve a better incentive effect. (4) there will be different market reactions for companies using different forms of equity incentive. The sample of stock incentive by option has obtained more excess return than the restricted stock sample. (5) before the announcement of the stock incentive plan, the market had significantly non-zero excess return. Because the stock market of our country is not perfect enough, the laws and regulations are not perfect enough, there is a certain phenomenon of information leakage in the market. On the basis of empirical research, this paper further puts forward some policy suggestions on improving the company system, the choice of equity incentive scheme and the improvement of market efficiency.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F272.92;F832.51;F224
本文编号：2448124
[Abstract]:With the separation of ownership and management of modern enterprises, equity incentive as a tool to solve the principal-agent problem has gradually developed. Since 1950s, equity incentive has been recognized and accepted by most companies after more than half a century of development, forming a certain scale. And European countries from the 1980s began to gradually develop equity incentive system. From the western practical experience and academic research results, equity incentive has achieved positive effects on solving principal-agent problems, unifying the interests of owners and managers, and promoting the growth of enterprise performance. The equity incentive system of our country can be traced back to Shanxi ticket bank at the end of Qing Dynasty, but due to historical reasons, it is not formally promoted until the last few years. After the reform of the split share structure, with the introduction of a series of laws and regulations, the environment of China's securities market has been further standardized, and the conditions for implementing equity incentive have been further matured, and the equity incentive system of our country has begun to develop in a standardized manner. From the results of the empirical study, the implementation of equity incentives can play a certain role in financial performance and market response. In order to investigate the market reaction caused by the equity incentive measures in China's A-share market, this paper applies the Fama-French three-factor model on the basis of theoretical support. Through the event research method, this paper selects the stock right incentive announcement companies in Shanghai and Shenzhen stock markets from 2005 to 2011 as the research samples, and makes an empirical study on the market reaction caused by the equity incentives. Furthermore, different motivational subjects and different market responses to companies with different talents focus on different industries were examined. Through the empirical study, this paper finds that the five hypotheses have been verified to some extent: (1) there should be positive excess returns in the event window in the short term, which causes the abnormal reaction of the market. On the event day, the average excess rate of return of the whole sample company reached 0.72%, especially in the two trading days before and after the sample day, with the cumulative average excess yield of 2.04%. And passed the 5% significance test. (2) the market reaction caused by the equity incentive announcement of high-tech companies is greater than that of non-high-tech companies. Whether in terms of cumulative rate of return or in terms of the validity of the data, The market reaction of high-tech companies is better than that of non-high-tech industries. (3) the stock returns of companies with option-based equity incentive are not as good as those of non-high-tech companies in the 30 days before announcement. According to the stock incentive plan, listed companies will deliberately affect the stock price before the announcement to achieve a better incentive effect. (4) there will be different market reactions for companies using different forms of equity incentive. The sample of stock incentive by option has obtained more excess return than the restricted stock sample. (5) before the announcement of the stock incentive plan, the market had significantly non-zero excess return. Because the stock market of our country is not perfect enough, the laws and regulations are not perfect enough, there is a certain phenomenon of information leakage in the market. On the basis of empirical research, this paper further puts forward some policy suggestions on improving the company system, the choice of equity incentive scheme and the improvement of market efficiency.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F272.92;F832.51;F224
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