上市公司股票回购对股价走势的中长期效应研究

发布时间：2018-01-15 14:02

本文关键词：上市公司股票回购对股价走势的中长期效应研究　出处：《天津商业大学》2012年硕士论文　论文类型：学位论文

【摘要】：股票回购最早兴起于美国，发展至今，，已经成为西方成熟证券市场中上市公司进行资本运作的重要手段，年成交额超过千亿美元。然而，由于证券市场起步较晚，市场经济尚不成熟，我国的股票回购事件较少，回购规模不大，处于初步发展阶段。但是，随着我国经济的发展，股票回购案例明显增多，股票回购的相关问题引起了广大学者的关注和研究。本文旨在通过对我国的股票回购案例的分析，以研究股票回购事件对我国上市公司中长期股价走势的影响。论文采用事件研究法，研究我国上市公司的股票价格在股票回购公告发布后一定时期内的变动情况，从而判断股票市场对该类事件的反应程度。本文引入了超常收益率模型，利用学术界惯用的超常收益率指标(CAR)来衡量上市公司股票回购公告的市场效应。通过这个模型，可以了解股价的波动与该事件的关系。文章的重点是对回购事件的实证分析。本文认真选取了我国2005年6月17日至2010年12月31日间A股市场的40个股票回购样本，在综合国外学者们的研究惯例和国内投资者的投资习惯，并充分考虑研究的现实意义的基础上，确定中、长期的时间窗口分别为回购公告日后的180个交易日和360个交易日。本文在大量的统计与分析基础上发现，样本总体在回购公告日后180个交易日内和回购公告日后360个交易日内的平均累计超常收益率均显示为正，这说明，我国证券市场上股票回购事件对股价的中长期走势存在明显的积极效应。最后，本文在分析股票回购市场效应的各种影响因素的基础上，结合我国股票回购中存在的问题，提出了加强我国回购市场建设的建议。
[Abstract]:Stock repurchase was first developed in the United States and has become an important means of capital operation of listed companies in western mature securities markets. The annual turnover is more than 100 billion US dollars. Due to the late start of the securities market, the market economy is not mature, the number of stock repurchase events in China is less, the scale of repurchase is not large, and it is in the initial stage of development. However, with the development of our economy. The cases of stock repurchase have increased obviously, and the related problems of stock repurchase have attracted the attention and research of scholars. This paper aims to analyze the case of stock repurchase in our country. In order to study the stock repurchase event on the long-term stock price trend of listed companies in China. This paper uses the event research method to study the stock price of listed companies in China in a certain period of time after the announcement of stock repurchase. In order to judge the reaction degree of stock market to this kind of event, this paper introduces the model of abnormal return rate. The market effect of stock repurchase announcement of listed companies is measured by using the abnormal rate of return index (CAR), which is commonly used in academic circles, and the relationship between stock price fluctuation and this event can be understood by this model. The paper focuses on the empirical analysis of the repurchase event. This paper carefully selects 40 stock repurchase samples from June 17th 2005 to December 31st 2010 in China's A-share market. On the basis of synthesizing the research practices of foreign scholars and the investment habits of domestic investors, and considering the practical significance of the research, the paper determines the current situation. The long-term time window is 180 trading days and 360 trading days after the repurchase announcement respectively. This paper finds out on the basis of a lot of statistics and analysis. The average cumulative abnormal rate of return of the sample was positive within 180 trading days after the repurchase announcement and 360 trading days after the repurchase announcement. The stock repurchase event has obvious positive effect on the long-term trend of stock price in our country's stock market. Finally, this paper analyzes the influence factors of stock repurchase market effect. According to the existing problems of stock repurchase in China, the paper puts forward some suggestions to strengthen the construction of repurchase market in China.
【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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