我国A股送转股公司的长期业绩研究

发布时间：2018-10-18 11:12

【摘要】：针对学术界关心的话题“股利的信号传递效应”,本文从信息内涵这一角度出发,针对“上市公司的送转股行为是否包含公司未来业绩信息”进行了实证研究,结果发现公司的送转股行为没有传递关于公司未来业绩向好的信息。但是这无法解释学者们普遍观察到的送转股这一事件前后“股价有显著为正的超额收益率”这一现象。与以往针对短期超额收益率的研究不同,本文针对送转股公司的长期超额收益率进行了实证检验,结果观察到了显著为负的长期超额收益率。这和其他学者观察到的送转股事件前后显著为正的累积超额回报率结合起来,可以表明公司股价,在送转时的短期内显著上升,而在之后的较长时间内缓慢下降,送转股事件本身没有传递公司未来业绩信息。在研究方法上,以行业分布和盈利能力为主要依据,选择了一组与送转股公司盈利能力最接近的公司作为参考系和比较基准。具体地,在研究送转股公司的经营业绩时,以息税前营业利润率作为研究指标,考察送转股公司和对照组公司的盈利能力在实施送转后四年内的对比情况。在考察长期市场业绩时,以Fama-French三因素模型为基础,从市场角度、规模角度和价值角度这三个方面对风险进行控制,并结合零投资组合考察送转公司的长期超额收益率。
[Abstract]:Aiming at the topic of "signal transfer effect of dividend", this paper, from the perspective of information connotation, makes an empirical study on whether the transfer behavior of listed companies includes the company's future performance information. The results show that the company's transfer behavior does not convey good information about the company's future performance. But this does not explain the widely observed phenomenon of "significantly positive excess returns on stock prices" before and after the event. Different from previous studies on short term excess return, this paper makes an empirical test on the long term excess return of the transferable company. The results show that the long term excess return is significantly negative. This, combined with the significantly positive cumulative excess returns observed by other scholars before and after the stock transfer incident, indicates that the share price of the company rose significantly in the short term during the transfer period, but declined slowly over a longer period of time. The event itself does not convey the company's future performance information. On the basis of industry distribution and profitability, a group of companies that are closest to the profitability of the company are selected as reference system and comparison benchmark. Specifically, when studying the operating performance of the transfer companies, the profit margin before interest and tax is taken as the research index to investigate the comparative situation of the profitability of the transfer companies and the control companies within four years after the implementation of the transfer. In the study of long-term market performance, based on the Fama-French three-factor model, the risk is controlled from the market angle, the scale angle and the value angle, and the long-term excess rate of return of the transferred company is investigated in combination with the zero portfolio.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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