A股上市公司高送转行为研究及投资机会分析

发布时间：2018-03-01 20:41

本文关键词： 高送转超额收益投资　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文首先分析了A股市场高送转行为的历史情况，根据2001-2010年十年间中报、年报全体高送转样本对高送转股票的收益情况作了初步统计，证明高送转行为可以为投资者带来收益。其次，本文阐述了高送转行为对于上市公司的意义，如合理避税、资本市场“信号传递”、改善流动性、市值管理等。本文力求在理论的基础上与投资实战相结合，在通过统计手段证明了机构持股比例、上市时间长短、公司总股本规模与高送转概率之间的关系、高送转股票出现超额收益的大致时点以及高送转预案公告日前超额收益显著高于公告后等结论后，设计了高送转筛选模型，模型的目标首先是提高高送转股票筛选命中率、其次是筛选个股能够在既定期间内获取超额收益，经过2011年报实际检验后证明模型筛选高送转个股命中率比较令人满意，也能够取得一定的超额收益。通过研究，，旨在发掘高送转股票的一些共性特征，并基于这些发现对投资实战起到帮助。
[Abstract]:This paper first analyzes the historical situation of the high turnover behavior in the A share market. According to the annual report of the decade 2001-2010, all the annual reports have made preliminary statistics on the returns of the high transmission stocks, which proves that the high transmission can bring benefits to the investors. Secondly, this paper expounds the significance of high transfer behavior to listed companies, such as reasonable tax avoidance, capital market "signal transmission", improving liquidity, market value management, and so on. This paper tries to combine the theory with the actual investment, and proves the relationship between the proportion of institutional shareholding, the time of listing, the size of the total share capital and the probability of high transmission by statistical means. After some conclusions, such as the approximate time point of excess return of high transmission transfer stock and the conclusion that the excess return was significantly higher before the announcement date of the high transmission transfer plan than after the announcement, the model of high transmission transfer selection was designed. The goal of the model is to improve the hit ratio of high transmission to stock screening first. The second is that the selected stocks can obtain excess returns within a given period. After the actual test of the 2011 annual report, it is proved that the hit ratio of the model selection of high-sent stocks is satisfactory, and it can also obtain a certain excess return. The purpose of this study is to find out some common features of high turnover stock, and based on these findings, to help the investment practice.
【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

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