我国上市公司股份回购动机及回购公告市场反应研究

发布时间：2018-03-08 00:21

本文选题：股份回购　切入点：动机　出处：《山东大学》2012年硕士论文　论文类型：学位论文

【摘要】：股份回购在西方发达资本市场上产生并存在己久,目前已经成为国外上市公司重要的股利分配政策和资本运营手段。不同于国外,股份回购在我国的历史还比较短,国外成熟的股份回购理论是否适用于我国还需要进行进一步的检验。目前,在我国由于实施股票回购的上市公司还比较少,在缺乏样本的情况下,我国学者对于股份回购的研究多以理论研究为主,也有部分学者对于股份回购进行了案例研究,实证检验的研究相对较少。因此检验国外成熟的股份回购理论在我国的适用性及股份回购公告会在我国资本市场上产生怎样的反应,对于我国目前处在初步发展阶段的股份回购实践具有重要的意义。实证研究的缺乏使我国股份回购的研究成果缺乏实证支持。采用多元回归分析法研究我国股份回购的动机,采用事件研究法检验上市公司股份回购公告的市场反应是否积极,相较于国内的此方面的定性分析研究具有一定的创新性。而采用2005年6月16曰至2011年8月31日间发布的79个回购公告数据作为初始研究样本,较之前少数的实证研究,在样本数量上更具有说服力。我国股份回购动机的研究结果显示,信号传递假说对我国资本市场上的股份回购事件的动机具有很好的解释性,而自由现金流假说、财务杠杆假说和财务灵活性假说则尚不能解释我国上市公司股份回购的动机。回购公告市场反应的研究结果显示,在股份回购事件的首次信息发布日,回购事件会产生积极的市场反应,并且我国股份回购事件中存在着信息提前泄露的现象,具体表现为事件发生日前一天的累计平均超常收益率和日平均超常收益率均为正数,并且通过了显著性检验。分组检验非流通股股份回购和流通股股份回购的市场反应结果显示,非流通股股份回购事件和流通股股份回购事件都产生了积极的市场反应,但非流通股股份回购事件的市场反应要大于流通股股份回购事件的市场反应。
[Abstract]:Share repurchase has long existed in the western developed capital market, and has become an important dividend distribution policy and capital operation means of foreign listed companies. Different from foreign countries, share repurchase has a relatively short history in our country. Whether the mature foreign stock repurchase theory is applicable to our country still needs to be further tested. At present, because of the relatively few listed companies carrying out stock repurchase in our country, in the absence of samples, Most of the research on share repurchase in our country is based on theoretical research, and some scholars have carried out case studies on share repurchase. Therefore, the applicability of foreign mature stock repurchase theory in our country and the reaction of stock repurchase announcement in Chinese capital market will be tested. It is of great significance for the practice of share repurchase in the initial stage of development in China. The lack of empirical research leads to the lack of empirical support for the research results of share repurchase in our country. The method of multiple regression analysis is used to study the motivation of share repurchase in our country, and the event research method is used to test whether the market reaction of the announcement of share repurchase of listed companies is positive or not. Compared with the qualitative analysis in China, it is innovative to use 79 repo announcement data from June 16th 2005 to August 31st 2011 as the initial research sample, compared with a few previous empirical studies. More persuasive in terms of sample size. The results of the research on the motivation of share repurchase in China show that the signaling hypothesis has a good explanation for the motivation of the share repurchase event in China's capital market, while the free cash flow hypothesis. However, the financial leverage hypothesis and the financial flexibility hypothesis can not explain the motivation of share repurchase in Chinese listed companies. The repurchase event will produce positive market reaction, and there exists the phenomenon of information leaking in advance in the stock repurchase event in our country. The concrete manifestation is that the accumulative average abnormal rate of return and the daily average abnormal rate of return are both positive numbers one day before the day of the event. The results of market reaction of non-tradable share repurchase and tradable share repurchase show that both non-tradable shares repurchase event and tradable stock repurchase event have positive market reaction. However, the market reaction of non-tradable share repurchase event is greater than that of circulating stock repurchase event.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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