大股东减持的时机抉择研究

发布时间：2018-01-04 00:25

本文关键词：大股东减持的时机抉择研究　出处：《南京理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：大股东减持是指持股在5%以上的大股东在法律规定的有效途径,通过二级市场或大宗交易减持股份的行为,是大股东实现利润的重要方式之一。相比于国外的大股东减持,我国的大股东减持能获取更多的超额收益,具有更强的时机抉择能力,但是跟前几年我国学者的研究相比,大股东减持所获取的超额利润有所下降,在一定程度上说明大股东想通过减持获取超额利润越来越难。本文选取我国主板和中小板2010年至2015年大股东减持事件作为研究样本,通过事件研究法和回归分析相结合的方法,研究发现:(1)大股东减持可以获取显著为正的累计超额收益,表明大股东减持存在时机抉择现象,可以获取丰厚的利润;(2)大股东,尤其是高持股比例的和非国有背景的大股东更倾向于在牛市期间、公司经营不佳时减持股票,而对市场估值水平变化的依赖较小;(3)高持股比例和非国有背景的大股东时机抉择能力较强,并且在牛市期间减持和公司经营良好时减持能够获取更多的超额收益;(4)大股东减持过程中不仅存在减持时点的时机抉择,同时还存在减持公告披露时点的时机抉择,研究发现在休市期间披露减持公告的大股东可以获取更高的超额收益。
[Abstract]:Large shareholder reduction refers to the behavior of the majority shareholders who hold more than 5% shares in the effective way stipulated by law, through the secondary market or bulk trading to reduce their shares. It is one of the important ways for large shareholders to realize profit. Compared with foreign major shareholders, the reduction of large shareholders in our country can obtain more excess income and have a stronger choice of opportunity. But in the past few years, compared with the previous studies of Chinese scholars, the excess profits obtained by the reduction of large shareholders' holdings have declined. To some extent, it shows that it is more and more difficult for large shareholders to obtain excess profits by reducing their holdings. This paper selects the main board and small and medium board as the research samples from 2010 to 2015. Through the method of event research and regression analysis, it is found that the reduction of majority shareholders can obtain significantly positive cumulative excess returns, which indicates that there is a phenomenon of timing choice in the reduction of large shareholders. You can make a lot of money; (2) large shareholders, especially those with high shareholding ratio and non-state-owned background, tend to reduce their stock holdings during the bull market, but are less dependent on the changes of market valuation level; (3) the large shareholders with high shareholding ratio and non-state-owned background have strong ability to choose the right time, and they can gain more excess returns during the bull market and when the company is running well. 4) in the process of major shareholder reduction, there is not only the timing of the reduction, but also the timing of the announcement of the reduction. The study found that large shareholders who disclosed a reduction announcement during the closing period could earn higher excess returns.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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