限售股股东在大宗交易平台上的减持行为研究

发布时间：2018-01-26 00:48

本文关键词： 限售股减持大宗交易内部人优势避税动机　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：自2005年股改以来,限售股解禁及减持问题一直受到各方的密切关注。为了缓解部分限售股解禁压力,2008年4月20日,证监会发布了《上市公司解除限售存量股份转让指导意见》。这一规定让大宗交易平台成为了新的限售股减持渠道,使得原本十分冷清的大宗交易平台变得活跃起来,也在一定程度上缓解了限售股解禁对主板市场产生的冲击。由于该平台交易量大等特征,特别是限售股股东的特殊背景,本文认为限售股股东的大宗交易数据具有一定的信息含量。同时,市场上不同类型的限售股股东具有不同的减持动机,基于不同减持动机出发(较典型的包括避税和高位套现的需要)所形成的交易数据应该具有不同的信息含义。本文从限售股股东的不同减持动机出发,分析不同动机驱动下交易行为模式的差异,以及对主板市场价格变化及其投资决策的影响。通过对限售股股东在大宗交易平台上的减持行为进行研究,我们可以帮助投资者更好地判断公司未来的价格走势,进而帮助其投资决策,为其提供对应的建议。运用Probit模型,本文对限售股股东在大宗交易平台的减持进行了实证分析,得到如下结论:限售股股东具有内部优势,得知上市公司当期盈利状况会变差时,其更倾向于在大宗交易平台减持;当上市公司被高估时,限售股股东更倾向于减持;上市公司的偿债能力并不影响限售股股东的减持决策;由于税则的调整,个人限售股股东开始有意识的避税,选择在股价较低的时候进行减持等。对于减持后对主板市场的影响,本文研究表明,不同动机下的减持,市场能够有效地区分并做出相应的反应:就高位套现动机下的减持,对于市盈率较高的公司,限售股股东在高位减持后,市场也会跟进,进行抛售,使得累积异常收益率(CAR)降低;就避税动机下的减持行为来说,由于其并不反映上市公司的情况而只是基于个人股东自身的避税套利动机,因而市场也对不会对其做出反应,对CAR无影响等。
[Abstract]:Since the stock reform in 2005, the issue of the release of restricted shares and the reduction of holdings has been paid close attention to by all parties. In order to alleviate the pressure of lifting the restrictions on some of the restricted stocks, on April 20th 2008. Securities Regulatory Commission issued the "listed companies to lift the stock of limited stock of shares transfer guidance". This regulation has made the bulk of the trading platform to become a new channel for the reduction of restricted shares. So that the original very cold bulk trading platform became active, but also to some extent to ease the restrictions on the main board market impact. Because of the large trading volume of the platform, especially the special background of the shareholders, this paper thinks that the large amount of trading data of the limited selling shareholders has a certain amount of information. At the same time. Different types of restricted stock shareholders have different motivation to reduce their holdings in the market. Transaction data based on different motivations (typically including tax avoidance and the need for high cash) should have different information implications. This paper analyzes the differences of trading behavior patterns driven by different motivations from different reduction motives of restricted stock shareholders. As well as the main board market price changes and the impact of investment decisions. Through the limited selling shareholders on the bulk trading platform to reduce the behavior of the study. We can help investors better judge the future price trend of the company, and then help them to make investment decisions and provide corresponding advice. By using Probit model, this paper makes an empirical analysis on the reduction of shareholders' holdings in the bulk trading platform, and draws the following conclusions: the shareholders of restricted shares have internal advantages. When we know that the current earnings of listed companies will become worse, they tend to reduce their holdings on large trading platforms; When the listed company is overestimated, the shareholders of restricted stock tend to reduce their holdings; The solvency of listed companies does not affect the decision of shareholders to reduce their holdings; Due to the adjustment of tax rules, individual restricted stock shareholders began to consciously avoid taxes and choose to reduce their holdings when the share price is lower. For the impact of the reduction on the main board market, this study shows that under the different motivation of reduction, the market can effectively distinguish and make the corresponding response: the reduction of the high cash motive. For companies with high price-earnings ratio, the market will follow up after the shareholders reduce their holdings at the high level, so that the cumulative abnormal rate of return will be reduced. As far as the behavior of reducing holdings under tax avoidance motivation is concerned, because it does not reflect the situation of listed companies but is based on the tax avoidance arbitrage motivation of individual shareholders themselves, the market will not react to it. No effect on CAR, etc.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

【引证文献】