我国上市公司股份回购公告效应及其影响因素研究

发布时间：2019-02-28 19:32

【摘要】：在我国,虽然仍不具备像国外成熟资本市场能够实现大规模股份回购的环境,但不可否认的是,股份回购在公司经营管理以及我国资本市场的规范化发展中正日益发挥着不可或缺的作用。宏观上,股份回购促进了我国股权分置改革的进一步完成,有利于我国资本市场有序、高效地运作,同时盘活了国有资产,实现了国有资产的战略性调整。微观上,国有股及法人股的减少,改善了上市公司的股权结构,有利于提高公司经营管理水平,而回购亦改善了公司资产结构,有利于财务杠杆作用的发挥。虽然股份回购在我国起步很晚且相关制度还存在很多的不足,但这并不妨碍股份回购在我国快速地成长为上市公司重要的管理工具之一。在过去的一段时间内,国内的学者对股份回购公告效应及其影响因素的研究已经取得了一定的成果,但通过对已有文献的梳理发现,国内现有的研究成果多为早期的国有股回购,而关于流通股股份回购的研究则较少。由于起步晚、股权分置格局等原因,我国已有的研究中存在一些不足,而随着股权分置改革完成以及回购数量的增加,已有的研究已经不能够很好地反映我国资本市场的现时情况。本文针对现有研究文献的不足之处,结合相关研究理论,运用事件研究法、比较研究和多元回归分析方法,探讨我国上市公司股份回购公告的市场效应及其影响因素。首先,运用事件研究法实证分析股份回购公告前后股价表现;然后,从回购时间、回购方式、回购资金来源以及回购是否结合股改四个角度考察回购是否因回购时间不同、回购方式不同、回购资金来源不同以及是否与股改公告同时发布而存在差异;最后,以多元回归分析方法探析股份回购公告效应的影响因素。研究发现:1、我国A股市场对股份回购公告反应积极,且公告前的市场效应好于公告后的市场效应;2、股改期间发布回购公告、定向回购、以资产而非现金换取本公司股份和在股改公告同时宣告回购股份的公司股价都是先大幅上涨,然后经历下跌,而全流通后发布回购公告、采用集中竞价交易方式回购、现金回购和单独回购的公司股价在公告日前一到两天开始出现较为明显的增加,公告日后不曾下跌,总体上仍有所上涨;3、公告日后,现金回购和单独回购公司股价的市场表现明显好于资产置换式回购和回购与股改同时进行的公司股价的市场表现;4、实证检验公司特征和回购业务特征对股份回购公告效应的影响后发现,净资产收益率、公司规模与公告效应显著负相关,回购比例、回购时间与公告效应显著正相关。
[Abstract]:In China, although there is still no environment for large-scale share buybacks like foreign mature capital markets, it is undeniable that Share repurchase is playing an indispensable role in the management of the company and the standardized development of China's capital market. Macroscopically, the share repurchase promotes the further completion of the reform of the split share structure in our country, which is beneficial to the orderly and efficient operation of the capital market in our country. At the same time, it revitalizes the state-owned assets and realizes the strategic adjustment of the state-owned assets. Microscopically, the reduction of state-owned shares and legal person shares improves the ownership structure of listed companies, helps to improve the management level of the company, and the repurchase also improves the structure of the assets of the company, which is beneficial to the exertion of the role of financial leverage. Although the stock repurchase started late in our country and there are still many deficiencies in the related system, it does not prevent the stock repurchase from rapidly growing into one of the important management tools of listed companies in our country. In the past period of time, domestic scholars have made some achievements in the research on the announcement effect of share buyback and its influencing factors, but through sorting out the existing literature, it is found that the research on the effect of share buyback announcement and its influencing factors has been achieved. Most of the existing research results in China are early state-owned share repurchase, while the research on tradable shares repurchase is less. Due to the late start, the structure of the split share structure and other reasons, there are some deficiencies in the existing research in China. However, with the completion of the reform of the split share structure and the increase in the number of buybacks, The existing research has been unable to reflect the current situation of China's capital market. In view of the shortcomings of the existing research literature, this paper discusses the market effect and its influencing factors of stock repurchase announcement of listed companies in China by means of event study, comparative study and multiple regression analysis, combined with relevant research theory. Firstly, the paper uses the event research method to analyze the stock price performance before and after the share repurchase announcement. Then, from the time of repurchase, the way of repurchase, the source of repurchase funds and whether or not repurchase is combined with stock reform, the paper examines whether repurchase is different due to the different time of repurchase. Different sources of repurchase funds and whether they are issued at the same time as the stock reform announcement; Finally, the multiple regression analysis method is used to analyze the influencing factors of the announcement effect of share repurchase. The results are as follows: 1. China's A-share market has a positive response to the announcement of share repurchase, and the market effect before the announcement is better than the market effect after the announcement; 2. During the stock reform period, the share price of the company that issued a repurchase announcement and directed repurchase in exchange for the shares of the Company in exchange for assets rather than cash and the share price of the company that announced the share repurchase at the same time as the stock reform announcement rose sharply first and then experienced a decline. After the full circulation, the share prices of the companies that issued repurchase announcements, repurchased through centralized bidding transactions, cash repurchases and individual repurchases began to increase significantly one or two days before the announcement date, and there was no decline in the announcement date. Overall, there is still a rise; 3. After the announcement, the market performance of the share price of cash repurchase and individual repurchase company was obviously better than that of asset replacement repurchase and stock reform. 4. After an empirical test of the influence of company characteristics and repurchase business characteristics on announcement effect of share repurchase, it is found that the net asset return rate, company size and announcement effect are negatively correlated, while the ratio of repurchase and the time of repurchase are positively correlated with announcement effect.
【学位授予单位】：江南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F233;F832.51;F224

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