上市公司大股东增持股票行为短期效应研究

发布时间：2018-05-28 19:20

本文选题：大股东 + 增持　；参考：《西南财经大学》2013年硕士论文

【摘要】：在我国实行股权分置改革之前,占主导地位的国家股股东和法人股股东不可以在二级市场进行交易,国有法人股股东利益和二级市场股东利益两者是分割开的。大股东可利用对公司的控股权,通过关联交易和财务欺诈等手段来获取收益,损害公司价值,也侵占了中小股东的权益,致使公司经营效率低下。随着股权分置改革的实行,我国证券市场逐步步入全流通的时代,国有股等大股东也进入二级市场交易,股票的价格关系到大股东自身所持股份的价值。同时,政府为了推动股权分置改革的进行,从各个监管层面出台了鼓励上市公司大股东增持股票的政策,大股东的增持行为在这样的背景下开始活跃起来。深入了解我国上市公司大股东增持行为的特征,对增持的公告效应进行研究,对于股票市场的稳定繁荣发展具有重要的意义,同时对政府、大股东和中小投资者等都会提供有益的参考。由于大股东增持事件的出现时间距离现在比较短,对于它的研究还处于刚刚起步的阶段,目前缺乏较为系统的理论成果和实证研究。在已有的研究中,主要分析了上市公司大股东增持行为的动机和公告效应。和股票回购行为类似,大部分已有研究表明大股东增持的动机是出于信号传递效应,表明上市公司股价被低估,发展前景良好,发布增持公告后的短期内会出现显著为正的平均异常收益率和累计异常收益率。但是,也有学者指出发生增持行为的公司表现弱于尚未履行增持承诺的公司,而且大股东增持行为存在操纵股价、虚增资产价值等情况,背后存在利益转移的目的。本文主要以2008年9月至2012年6月发生在我国A股市场的大股东交易行为为研究对象,采用理论与实证相结合的方法考察了上市公司大股东增持行为短期内的市场效应,同时为了检验结果的稳健性,又按照一定的标准分为不同的子样本进行分析。主要内容包括以下几个方面：首先,对国内外已有的研究成果进行综述。国外很少把大股东作为单独的研究对象,一般将内部人的交易行为当做一个整体来研究。同时,目前国内外学者对于大股东增持股票行为的研究都比较少见,但其对股票回购的研究十分深入,而大股东增持在一定程度上与股票回购类似。因此,本文主要对国内外内部人交易行为和股票回购以及近几年关于大股东增持股票行为的研究进行综述。在内部人交易方面,主要对比分析了伦敦、中国香港、瑞士、德国和中国的研究成果,结果显示内部人交易会带来短期的超额收益；在股票回购方面,国内外大部分学者通过实证检验证实其会产生显著的正向市场效应,长期来看会提升公司业绩,少数学者由于考察的时间和采用的数据不同,结果表明超额收益并不显著；对于上市公司大股东增持行为的研究方面,也主要考察了其发布公告后短期的市场效应,部分学者认为确实存在显著为正的异常收益,短期会刺激股价的上涨,但是在对汇金公司增持国有银行股份的检验中,结果表明增持可能在一个相对较短的时间里止住大盘下跌,而后仍将继续回到下跌通道。其次,本文又对有效市场理论、信息不对称理论、信号传递假说、市场择机理论和过度反应理论进行了阐述和分析,为上市公司大股东增持行为提供了相关的理论基础。然后,概述了近年来我国上市公司大股东增持行为的发展情况：2005年4月中国证监会发布了《关于上市公司股权分置改革试点有关问题的通知》,股权分置改革正式启动,我国证券市场步入全流通的时代,2005年与2006年引发了第一股增持潮,主要目的是为了推动股权分置改革的进行,由于法律制度不健全,存在操纵股价等违规交易行为,但是整体起到了稳定市场的作用。2008年金融危机导致我国经济下滑,股市低迷,许多上市公司股票价格跌破净值,此时许多公司大股东纷纷增持自家公司股份,引发了第二波增持潮,在政策鼓励和相关部门的支持下,我国股市渐渐回稳。2011年,欧债危机等的蔓延使得全球经济发展受阻,中国国内又面临严重的通货膨胀,股票市场大幅震荡,交易量萎缩,面对不景气的经济形势,资本市场又一次出现了大规模的增持股票行为,这一时期的大股东增持行为是在法律法规更加完善,相关政府部门政策调控更加有力的引导下进行的,增持的市场反应也很显著,为大股东增持行为的继续研究提供了更多有利的数据资料。实证部分,本文采用典型的事件研究法,通过检验公告期前后是否存在累积的超额收益,来验证增持行为在短期内是否具有正向的公告效应,并得出以下结论：在事件窗口(-2,0)内的平均异常收益率为1.8394%,显著为正,说明公司发布增持公告之前信息已经泄露了。而(-1,+1)和(-2,+2)两个事件窗口的异常收益显著为正,但是事件窗口(-5,+5)的平均正异常收益却不显著了,而且公告日后20日内的异常累积收益都不显著,表明大股东增持行为对市场来说是一个利好消息,但是只有极短期的刺激股价的作用。分析公告日后事件窗口(0,+1)和(0,+2)的结果显示异常收益也不显著为正,说明外部市场投资者不能从观察大股东的增持行为中获得股价异常波动的好处。作为本文的创新之处,为了进一步检验大股东增持行为公告效应是否稳健,文章又按照不同交易所、不同年份、不同行业、不同公司性质、大股东或者控股股东不同持股比例以及大股东或者控股股东不同增持比例和不同周期将总样本分为不同的子样本,考察了增持公告对股价的影响。结果表明增持公告对股价的短期正面影响是一种普遍现象,不存在系统性差异。1、增持的公告效应在上海证券交易所和深证证券交易所之间不存在显著性差异。2、不同的年份之间,大股东或控股股东的增持行为向市场传递的也都是正面的信号,只是在小牛市2009年中公告效应不是很显著。3、把样本分为制造业和其他行业,两组数据的结果也都是显著为正的公告效应。4、国有控股样本在二级市场的增持行为利好的效应比非国有控股更加强烈,而且持续时间更长。5、按照不同的持股比例来看,持股比例在50%以上的绝对控股公司或持股比例相对较低(0%——30%)公司增持的市场效应均小于大股东或控股股东持股比例居中(30%——50%)的公司,投资者可能认为股权结构相对合理的公司增持意愿更强,他们既可以通过购买股票来调整公司股权结构,也能在公司股价背离内在价值的情况下在二级市场增持股票来传达公司对未来发展的信心。6、把研究样本按增持比例的前30%、中间40%和后30%分为三组,发现首次增持比例较高和较低的样本累积异常收益大于增持比例居中的样本,本文认为增持比例低会增强投资者的预期,增持比例高表明对公司未来发展有信心,所以两者的公告效应较大。7、从不同的市场周期来看,熊市中的大股东增持行为异常收益值均大于牛市,说明熊市中更能传递公司利好的消息,有利于股价的稳定。为了使我国上市公司的大股东增持行为朝着更为稳定和有效的方向发展,本文针对法律法规、大股东、中小股东和外部投资者分别给出了相关建议。法律方面,要继续加强大股东增持行为的法律法规的制定,完善信息披露制度；对于大股东而言,可以在公司股价低于实际价值时通过增持股票来传递公司良好的发展前景的信号,维护公司形象；再者要进一步完善公司股权结构,有效保护我国中小股东的利益；对于外部投资者而言,要充分解读市场信息,选择有良好成长能力的公司,警惕增持可能制造的陷阱。本文的不足之处在于：由于数据搜集整理有一定困难,部分样本数据可能并没有采用,对于检验结果有一定的影响；用于实证分析和检验的市场模型本身存在的缺陷,对于结果有一定的波动性和误差；本文只分析了大股东增持行为的短期公告效应及其稳健性问题,没有进一步分析大股东增持的动机是否不同,也没有考察大股东增持行为对于公司未来业绩是否有影响。对于以后的研究,可以进一步完善相关数据,利用不同模型来检验,保证结论的准确性和可靠性；具体分析不同的子样本条件下各股东增持的动机和对公司未来业绩的影响是否存在差异；也可以横向比较公司大股东、高管、监事等内部人增持行为的差异和发生在A股、B股、H股等不同市场环境下大股东增持行为是否不同。
[Abstract]:Prior to the implementation of the split share reform in China, the dominant shareholder and the corporate shareholder can not be traded in the two level market. The interests of the state-owned and the two level shareholders are separated. The large shareholders can use the controlling rights of the company, through related transactions and financial fraud to obtain the collection. Benefit, damage the value of the company, also invade the rights and interests of the small and medium shareholders, resulting in the low efficiency of the company. With the implementation of the split share reform, China's securities market has gradually entered the era of full circulation, and the large shareholders of the state-owned shares have also entered the two level market transaction. The price of the stock is related to the value of the shares held by the large shareholders themselves. To promote the split share reform, the policy of encouraging the large shareholders to increase the stock of the listed companies is introduced from the regulatory level. The increase of the shareholder's holding behavior is active in this context. Stability, prosperity and development are of great significance, and will provide useful references for the government, large shareholders and small investors.
Due to the short distance of the event of large shareholder holding up, the research on it is still in the beginning stage, and there is a lack of systematic theoretical and empirical research. In the existing research, it mainly analyzes the motivation and announcement effect of the large shareholder holding behavior of the listed company. It is similar to the stock repurchase behavior. The existing research shows that the motivation of the increase of the large shareholders is out of the signal transmission effect, which indicates that the stock price of the listed companies is undervalued and the development prospects are good. The average abnormal return and the cumulative abnormal return will appear in the short term after the announcement of the increase. However, it is also pointed out that the company's performance is weaker than not yet. The company that performs the pledge of increasing its holdings, and the behavior of large shareholders increasing their holdings, manipulating the stock price and inflating the value of assets, has the purpose of interest transfer behind them.
This paper focuses on the trading behavior of large shareholders in the A stock market of China from September 2008 to June 2012, and uses a combination of theory and empirical method to investigate the short-term market effect of the large shareholder holding behavior in the listed companies. In order to test the stability of the results, it can be divided into different sub samples according to certain standards. The main contents include the following aspects:
First, a summary of the existing research results at home and abroad is made. There are few large shareholders abroad as a separate object of research. Generally speaking, the insider trading behavior is generally considered as a whole. At the same time, there are few scholars at home and abroad on the large shareholders to increase stock behavior, but their research on stock repurchase is very thorough, The increase of the large shareholders is similar to the stock repurchase to a certain extent. Therefore, this paper mainly reviews the domestic and foreign insider trading behavior, stock repurchase and the research on the increase of stock behavior of the large shareholders in recent years. In the aspect of insider trading, the research results of London, Central Hongkong, Switzerland, Germany and China are compared and analyzed. The results show that the insider trading will bring short-term excess returns. In the stock repurchase, most scholars at home and abroad confirm that they have significant positive market effect through empirical test. In the long run, it will improve the performance of the company. The results show that the excess income is not significant because of the difference between the time and the number of data used by the few scholars. On the research aspect of the large shareholders' holding up behavior of the listed company, it also examines the short-term market effect after the announcement of its announcement. Some scholars believe that there is a significant positive abnormal return, which will stimulate the rise of the stock price in the short term. However, in the test of the increase of the shares of the state-owned bank, the results show that the increase may be in a phase. For a shorter period of time, the market will continue to fall.
Secondly, this paper expounds and analyzes the effective market theory, the information asymmetry theory, the signal transfer hypothesis, the market selection theory and the overreaction theory, which provides the relevant theoretical basis for the large shareholder holding behavior of the listed companies. Then, it summarizes the development of the large shareholders' holding up behavior of the listed companies in China in 2005. In April, the China Securities Regulatory Commission issued a notice on the issues related to the reform of the split share reform of listed companies. The split share reform was officially launched. China's securities market entered the era of full circulation. In 2005 and 2006, the first share of the surge was triggered. The main purpose is to promote the reform of the share division, because the legal system is not perfect. In.2008 years, the financial crisis led to the decline of China's economy, the stock market downturn, and the stock prices of many listed companies fell to the net value. At this time, many large shareholders increased their share of their own companies, causing a surge of second wave increase, in policy encouragement and related departments. Under the support, China's stock market gradually stabilized for.2011 years, the spread of the European debt crisis made the global economic development blocked, China was facing serious inflation at home, the stock market was greatly oscillating, the volume of trading was shrinking. Facing the recession, the capital market once again appeared a large-scale increase of stock behavior, the large shareholder at this time. The increase behavior is carried out under the guidance of more perfect laws and regulations and more forceful guidance of relevant government departments, and the market response of increasing holdings is very significant. It provides more favorable data for the continuing study of the large shareholders' holding up behavior.
In the empirical part, this paper uses the typical event study method to verify whether there is a cumulative excess return before and after the announcement period to verify whether the increase behavior has a positive announcement effect in the short term, and the following conclusion is drawn: the average abnormal return rate in the event window (-2,0) is 1.8394%, which indicates that the company releases the increase. The information has been leaked before the announcement, and the abnormal returns of the two event windows of (-1, +1) and (-2, +2) are significantly positive, but the average positive abnormal returns of the event window (-5, +5) are not significant, and the abnormal cumulative returns within the 20 days after the announcement are not significant, indicating that the large shareholder's holding up behavior is a good news for the market, but only the good news of the market, but only The result of a very short term incentive to stimulate stock prices. The results of the event window (0, +1) and (0, +2) after the announcement show that the abnormal returns are not significant, indicating that the external market investors can not gain the advantage of abnormal stock price fluctuations in the observation of the increase of the large shareholders.
As the innovation of this article, in order to further test the stability of the large shareholder's increasing behavior announcement effect, the article will be divided into different stock exchanges, different years, different industries, different companies, different shareholding ratio of large shareholders or controlling shareholders, and the proportion of large shareholders or controlling shareholders in different increasing proportion and different cycles. The effect of the increase announcement on the stock price is examined for different sub samples. The results show that the short-term positive effect of the increase announcement on the stock price is a common phenomenon, and there is no systematic difference.1. There is no significant difference between the Shanghai stock exchange and the Shenzhen Stock Exchange (.2), between the different years and the large shareholders. Or the holding shareholder's increase behavior is also a positive signal to the market, but in the 2009, the announcement effect is not very significant.3, the sample is divided into manufacturing and other industries, the results of the two sets of data are also significantly positive announcement effect.4, the state-owned holding sample in the two level market increase behavior is better than the effect ratio Non state holding is more intense and has a longer duration of.5. According to the proportion of different shareholding, the market effect of the absolute holding company or the relatively low shareholding ratio of more than 50% (0% - 30%) is less than that of the large shareholders or the holding shareholders in the middle (30% - 50%) shareholders (30% - 50%). Companies with relatively reasonable ownership structure are more willing to increase their holdings. They can not only adjust the stock structure by buying stocks, but also increase their stock in the two level market to convey the company's confidence in the future development in the case of the company's share price deviating from the intrinsic value. The research sample is divided into the first 30%, the middle 40% and the later 30%, according to the proportion of the increase. In the three group, it is found that the cumulative abnormal returns of the higher and lower samples are higher than the median of the increasing proportion. This article holds that the low increase proportion will enhance the investor's expectation, and the high proportion of the increase shows the confidence of the future development of the company, so the announcement effect of the two is.7, from the different market cycle, the big stock in the bear market. The abnormal earnings of Eastern holdings are greater than that of the bull market, indicating that the bear market can better convey the good news of the company, which is conducive to the stability of the stock price.
In order to make the large shareholders of the listed companies develop in a more stable and effective direction, this article gives the relevant suggestions to the laws and regulations, the large shareholders, the small and medium shareholders and the external investors. In the legal aspect, we should continue to strengthen the laws and regulations of the large shareholders' holding up behavior and improve the information disclosure system. Shareholders, when the stock price is lower than the actual value, it can transmit the good development prospect of the company by increasing the stock to maintain the company's good development prospect, and maintain the company's image. Furthermore, we should further improve the company's ownership structure and effectively protect the interests of the small and medium shareholders in our country. Companies with long capabilities are on guard against possible pitfalls.
The inadequacies of this paper are that, due to the difficulties in data collection and consolidation, some sample data may not be used and have a certain impact on the results of the test; the market model itself used for empirical analysis and testing has its own shortcomings, and there is a certain volatility and error for the results. This paper only analyzes the increase of the large shareholder's holding behavior. The short term bulletin effect and its robustness are not further analyzed whether the motivation of the large shareholder's increase is different, nor does it examine whether the large shareholder's holding behavior has an impact on the future performance of the company. For the future research, we can further improve the relevant data and use different models to verify the accuracy and reliability of the conclusions. The difference between the motivation of the increase of the shareholders and the impact on the future performance of the company under the different subsample conditions, and the difference in the increasing behavior of the large shareholders, the executives and the supervisors, and the different behavior of the large shareholders under the different market conditions such as A shares, B shares and H-shares.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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