高送转事件对股价超额收益影响的实证分析

发布时间：2018-05-07 13:58

本文选题：高送转股利政策 + 超额收益　；参考：《上海外国语大学》2017年硕士论文

【摘要】：股利政策是现代公司金融学重要研究对象,2016年以来我国证券市场高送转的火热引起了市场参与者和监管者的广泛关注。本文采用理论和实证研究相结合、定性分析和定量分析相结合的研究方法,理论部分从传统股利政策和行为金融学视角对高送转进行理论研究。实证部分借鉴camp资产定价模型、套利定价模型,通过时间序列分析、多重线性回归分析等实证分析手段,分别从高送转预案公告日、股东大会公告日、除权除息日全过程对高送转事件超额收益的变化过程和影响因素进行实证分析。在事件期间的超额收益变化过程研究中,分别比对了样本总体、不同板块样本、不同送转比例的超额收益在三个事件点附近的变化过程,并综合萃取整体性结论:(1)在三个事件节点高送转股利政策都有显著的正向市场反应。(2)不同市场板块的超额收益在积累量、弹性、持续性上有所不同;(3)各板块类别轮番突出表现,此起彼伏贯穿了整个炒作过程,而不是某一个板块类别从始至终都突出的表现;在影响事件期间累计超额收益的影响因素研究中,借鉴套利定价模型,结合基本面和市场两方面因素来选择变量,分别对三个事件节点进行线性回归分析,主要结论如下:(1)量比的大小,从始至终是决定超额收益大小的至关重要因素,说明高送转的资金炒作因素较大。(2)不同阶段影响超额收益的因素不同,在预期博弈最强的预案公告日,送转比例是显著影响因素;在预期落地的股东大会公告日,基本面因素开始显著影响股价,最后在除权除息日的“填权行情”中,股价的高低成为极其显著影响累计超额收益的重要因素。整体看来,高送转的超额收益有其一定的固有现实演绎逻辑,实证效果较好。总体来说,高送转事件的演绎有其特定的市场逻辑,是当下不成熟客观存在的市场现象。站在不同角度,本文对于投资者认为在当下市场可能存在一定的高送转套利机会,但收益和风险是并存的,上市公司应该注重在利用高送转进行市值管理行为的合法性及市场影响,作为市场监管和引导的监管者,监管机构应该依法界定高送转事件中违法和扰乱市场秩序的行为,尤其对恶意减持及其伴生的内幕交易、操纵股价进行重点监控,对盲目高送转行为进行约束。
[Abstract]:Dividend policy is an important research object in modern corporate finance. Since 2016, the heat of high turnover in China's securities market has attracted the attention of market participants and regulators. In this paper, we combine theoretical and empirical research, qualitative analysis and quantitative analysis, the theoretical part from the traditional dividend policy and behavioral finance perspective to carry out a theoretical study of high transfer. The empirical part draws lessons from camp asset pricing model, arbitrage pricing model, through time series analysis, multiple linear regression analysis and other means of empirical analysis, respectively from the high transmission plan announcement day, shareholders' general meeting announcement day, respectively. This paper makes an empirical analysis on the change process and influencing factors of the excess return of the high transfer event in the whole process of the day excluding the right and the interest. In the study of the change process of excess return during the event period, we compared the change process of the total sample, the sample of different plates, and the ratio of excess return in three event points. And integrated extraction integrity conclusion: 1) at the three event nodes, the dividend policy has a significant positive market response.) the excess returns of different market sectors are different in terms of accumulation, elasticity and sustainability. The whole process of speculation runs through one after another, not the outstanding performance of a certain plate category from beginning to end. In the study of the influencing factors of cumulative excess return during the event, the arbitrage pricing model is used for reference. Combining the fundamental and market factors to select variables, the linear regression analysis of the three event nodes is carried out respectively. The main conclusions are as follows: the magnitude of the volume ratio is the most important factor in determining the excess return from the beginning to the end. It shows that the factors influencing the excess returns are different in different stages of capital speculation. The ratio of sending to transfer is a significant factor on the announcement day of the plan, which is the strongest game in the expected game, and on the announcement day of the shareholders' general meeting, which is expected to fall to the ground. Fundamental factors are beginning to have a significant impact on stock prices, and in the end, the stock price has become an important factor that significantly affects cumulative excess returns in the "fill market" on the day of the exclusion of the right and the interest. As a whole, the excess return of high turnover has its inherent realistic deductive logic, and the positive effect is better. Generally speaking, the deduction of the event has its specific market logic, which is an immature and objective market phenomenon. From different angles, this paper considers that there may be some high arbitrage opportunities in the current market, but the return and risk coexist. Listed companies should pay attention to the legitimacy and market influence of market value's management behavior by using high transmission transfer. As the regulator of market supervision and guidance, the regulatory body should define according to law the behavior of breaking the law and disrupting the market order in the case of high transmission transfer. In particular, the malicious reduction and its associated insider trading, share price manipulation focus on monitoring, the blind transfer behavior constraints.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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