创业板重要股东减持限售股的市场反应强度影响因素分析

发布时间：2018-01-06 16:19

本文关键词：创业板重要股东减持限售股的市场反应强度影响因素分析　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：自创业板市场限售股开始解禁以来,遭遇大股东、高管与控股股东轮番减持,比较重要的一个原因是“三高”发行,但创业板上市公司的治理结构复杂、业绩不稳定、部分公司存在过度包装粉饰等也是减持的重要原因。创业板市场上减持的各类限售股股东中,由于在公司中担任的职务角色、持股数量和减持力度等方面都存在一定的差异,减持的市场反应强度也必然不尽相同。创业板市场重要股东减持的市场反应强度的影响因素一直是理论界与投资者关注的焦点。但是创业板市场诞生尚不满五年,有关控股股东的研究样本相对匮乏,前人的研究大多集中在大股东和高管的减持影响,对控股股东减持的市场影响研究较少。控股股东在创业板市场上占据着非常重要的角色,其掌握的内部信息要比普通高管和一般大股东还要多。文章筛选了自创业板开板以来至2014年2月底我国创业板市场发生的符合条件的重要股东减持事件为样本,以供求理论、股价压力理论、信号理论为理论支撑,运用事件研究法计算重要股东减持后的长期和短期累计异常收益率。另外,从股东类型、减持规模、业绩水平、估值水平和成长性等五个方面来分析减持市场效应强度,通过实证假设检验得出如下结论：首先,持股高管和控股股东比般大股东所掌握的公司内部消息越来越全面,根据信号理论,减持效应向市场传递的消息更加负面,其减持所造成的市场反应强度越来越强。其次,减持规模与市场反应强度正相关,减持规模越大,市场上股票的供应量越大,向市场传递的信号越负面,减持所造成的市场反应强度越来越强。最后,文章对理论逻辑上成立的假设在实证中没有得到验证的原因做出了可能性分析。总之,文章试图为找出创业板重要股东减持的市场反应强度影响因素做出理论与实践贡献。
[Abstract]:Since the GEM market began to limit the sale of shares lifted, suffered major shareholders, executives and controlling shareholders by reduction, a more important reason is the "three high" issue, but the GEM listed companies governance structure is complex, unstable performance, part of the company there is excessive packaging is an important reason to whitewash reduction. Entrepreneurship in the market to reduce all kinds of restricted shareholders, as in position in the company, the number of shares and the reduction of the intensity etc. there are some differences, the market reaction to the strength reduction will vary. The important influence factors of shareholders gem market reaction to the strength reduction is always the focus of theorists and investors. But the GEM market was born less than five years, the controlling shareholder of the study sample are relatively scarce, most previous studies focused on large shareholders and executives to reduce impact on Reduction of the controlling shareholder of the market. The impact of holding the controlling shareholder plays a very important role in the GEM market, internal information than ordinary executives and major shareholders generally more important. The screening of eligible shareholders since since the opening of the gem to the end of February 2014 China's GEM market has reduced hold the event as a sample, with the theory of supply and demand, price pressure theory, signal theory, using event study method calculation of important shareholders to reduce the long-term and short-term cumulative abnormal return rate. In addition, the shareholders from the reduction of the size, type, level of performance, five valuation levels and growth to analyze the reduction the effect of market strength, through empirical hypothesis testing, get the following conclusion: first, shareholding executives and controlling shareholders than a large shareholders holding company internal information more comprehensive, according to the signal theory, To reduce the effect of transfer to the market more negative news, the market reaction to the strength reduction caused by more and more strong. Secondly, reduction of the size of the market and the intensity of reaction is related to the reduction of the larger scale, the supply of shares on the market is bigger, the more negative transfer signal to the market, reducing market reaction and strength a caused by the stronger. Finally, this paper made analysis on the establishment of possibility theory logic hypothesis has not been verified in the empirical study. In short, this article attempts to make theoretical and practical contribution to the factors of market reaction strength find effect of gem important shareholders holdings.

【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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