中国上市公司个人解禁股减持行为研究

发布时间：2018-07-14 19:15

【摘要】：我国上市公司股权集中度较高,公司经营活动与大股东存在紧密联系。内部人一旦拥有对企业的控制权,则有动力在维持控制权的前提下,利用私有信息买卖公司股票,从而获得超额收益。2006年至2012年间,在全部对解禁股实施减持的主体中,个人内部人的减持规模逐年上升,交易频率与次数均超过公司机构类股东,成为减持解禁股的重要主体；并且,与超过半数的公司机构类股东选择在大宗交易平台减持不同,绝大部分个人内部人在二级市场直接减持。对于大宗交易平台上的交易,市场已准确推断其折价抛售的信息含量,并反映在随后显著下降的超额收益中；而对于二级市场减持的交易,其动机形成更为复杂。基于上述现象与特征,本文将个人内部人对解禁股的减持行为作为研究主体,检验了个人内部人减持行为的信息含量、减持的影响因素、控制权持有程度对其减持的影响、减持的经济后果,并得出以下主要结论：首先,个人内部人的减持行为具有信息含量：其在减持当日获得显著正超额收益,而减持后超额收益显著下降,表明个人内部人掌握了市场未知的关于公司的内部信息；其在法规限制下的减持规模、心急程度以及身份确实预测了公司未来股价以及盈利情况。其次,市场因素以及公司基本面情况均对个人内部人的减持规模、心急程度产生影响。但控制权持有程度较大的个人减持比例更小、减持心急程度更高、获得超额收益更小。可见掌握控制权的个人内部人有动机通过减持来获得超额收益,但通常不会放弃控制权,减持可能出于平衡资产以及流动性方面的考虑。内部人的多重身份的确提高了其从减持中获得的超额收益。第三,个人内部人的减持行为产生以下经济后果：市场层面,个人内部人的减持对公司未来股票收益产生负面影响：个人内部人减持的心急程度越高、减持规模越大,公司日后股价走势以及盈利表现越差。个人层面,减持受内部人日后离职决策影响：控制权持有程度越高的个人在减持后离职越晚,减持规模越大的个人离职越早,说明个人内部人通过减持解禁股放弃了一定的控制权,以避免离职后失去私有信息而带来的持股风险。总结来说,个人内部人的减持行为受以下两个因素影响：控制权与私有信息,个人内部人减持往往是综合上述两类因素后的平衡：一方面公司内部人的身份使该类交易主体更容易获得私有信息,从而通过减持套利超额收益。另一方面,控制权持有程度不断提高后,掌握控制权的个人内部人虽然有动机通过减持来获得超额收益,但其通常不会因此放弃控制权,一旦大规模减持公司股票,则可能出于其掌握的未公开的公司负面信息或日后离职套现考虑。
[Abstract]:China's listed companies have a high degree of ownership concentration, and their business activities are closely related to major shareholders. Once insiders have control over the company, they have the incentive to buy and sell shares of the company with private information while maintaining control. The scale of individual insider reduction has increased year by year, the frequency and frequency of trading have exceeded the corporate institutional shareholders, and become the main body of the reduction of the shares, and, unlike more than half of the corporate institutional shareholders, they have chosen to reduce their holdings on large trading platforms. The vast majority of individual insiders in the secondary market direct reduction. For trading on big trading platforms, the market has accurately extrapolated the information content of its discount sell-off, which is reflected in subsequent significant declines in excess returns, while the motives for secondary market sell-offs have become more complex. Based on the above phenomena and characteristics, this paper takes the individual insider's behavior of reducing the prohibited shares as the main body of study, tests the information content of the individual's reduction behavior, the influencing factors of the reduction, and the influence of the degree of control right on the reduction of the shares. The economic consequences of the reduction and the following main conclusions: firstly, the behavior of the individual insider has information content: it gains significantly positive excess income on the day of the reduction, and the excess return decreases significantly after the reduction. It shows that individual insiders have information about the company that is unknown in the market; its size, urgency, and identity under regulatory restrictions do predict the company's future share price and earnings. Second, market factors and company fundamentals have an impact on the size and urgency of individual insiders. But individuals with greater degree of control are less likely to reduce their holdings, more anxious to reduce their holdings, and less able to earn excess returns. It can be seen that individual insiders with control have an incentive to reduce their holdings to obtain excess returns, but usually do not relinquish control, which may be driven by balancing assets and liquidity considerations. The multiple identities of insiders do increase the excess gains from underholdings. Third, the behavior of individual insiders has the following economic consequences: at the market level, the reduction of individual insiders has a negative impact on the company's future stock returns: the more anxious the individual insiders reduce their holdings, the larger the scale of the reduction. The company's stock price trend and earnings performance is worse. On the personal level, the reduction is influenced by the later decision of the insider: the higher the degree of control is, the later the individual leaves after the reduction, the larger the scale of the reduction, the earlier the individual leaves. It shows that individual insiders have given up some control by reducing their shares, in order to avoid the risk of losing private information after leaving their jobs. In conclusion, the behavior of individual insiders is affected by two factors: control and private information. Personal insider reduction is often the balance of the above two factors: on the one hand, the identity of the insiders of the company makes it easier for such trading parties to obtain private information, thereby reducing arbitrage excess returns. On the other hand, when the degree of control is increasing, the individual insider who has the control right has the motive to obtain the excess income by reducing the holding, but he usually does not give up the control right because of this, once the stock of the company is reduced on a large scale, It may be due to its knowledge of undisclosed negative information about the company or future termination considerations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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