中国上市公司并购事件的知情交易实证研究

发布时间：2018-01-20 18:54

本文关键词： 并购知情交易概率高管持股机构持股事件研究法 EKOP模型　出处：《福州大学》2014年硕士论文　论文类型：学位论文

【摘要】：通过并购获得成长是经济史上的一大现象,几乎所有的美国大型企业都是通过某种形式的并购成长起来。近年来,我国刮起了并购浪潮,越来越多的企业试图通过并购寻求成长。然而,在并购方面常常曝出一些负面消息,在证监会查处的内幕交易案件中,很大一部分涉及并购。机构投资者和高管作为最主要的私有信息知情者,其持股会对上市公司的知情交易产生怎样的影响?证券市场的典型特征是信息分散和信息不对称,不同的交易者—知情交易者和非知情交易者的市场行为会相互作用,相互影响,使价格逐渐揭示私有信息。本文选取深沪两市2004年至2009年间101个并购事件,利用上市公司股票的交易数据以获得有关知情交易的信息。基于股价能够反映信息的原理,本文首先用事件研究法探讨事件公告日前知情交易的存在性；其次,本文根据Easley et al(1996)直接测度知情交易概率的EKOP模型,直接度量并购公告前后期样本公司的知情交易概率,进一步观测知情交易在事件公告期的情况；最后,建立回归模型,研究并购事件中并购方公司在公告前期知情交易概率与高管持股、机构持股之间的关系,此外,基于机构投资者之间的异质性,进一步研究不同类型的机构投资者对样本公司知情交易概率的影响。对于事件公告日前知情交易情况的实证结果显示,样本公司股价在并购公告前即发生异常波动,其平均累积异常收益在1%的水平上显著不为零,说明并购公告日前,有关并购的消息已被泄露,知情交易者利用该私有信息进行了知情交易；观测公告期间知情交易情况的实证结果显示,公告日前期的知情交易概率在1%的水平上显著大于公告日后的知情交易概率,说明公告日前存在较多私有信息,其知情交易更严重；研究机构投资者、高管与知情交易概率关系的实证结果显示,机构持股和高管持股会显著提高知情交易概率,不同的机构投资者对知情交易概率的影响力不同,作为市场的主导力量,投资基金持股会显著提高上市公司的知情交易概率,文中所选其他类型的机构投资者会对上市公司的知情交易产生正的影响,但其影响不显著。最后,本文在归纳实证研究结果的基础上提出改善并购知情交易现象的若干建议,并指出本文研究的局限性。本文的实证添加了并购事件中知情交易研究的文献,以期证券市场知情交易的监管提供现实依据。
[Abstract]:It is a great phenomenon in the history of economy to gain growth through M & A. almost all American large enterprises grow up through some form of M & A. in recent years the wave of M & A has been blowing up in our country. More and more enterprises try to seek growth through mergers and acquisitions. However, in the aspect of M & A, some negative news is often revealed, in the insider trading cases investigated and dealt with by the CSRC. A large part involves mergers and acquisitions. Institutional investors and executives as the most important private information insiders, their holdings will have an impact on the informed transactions of listed companies? The typical characteristics of securities market are information dispersion and information asymmetry. The market behavior of different traders-informed traders and uninformed traders will interact and affect each other. This paper selects 101 M & A events between 2004 and 2009 in Shenzhen and Shanghai stock markets. Based on the principle that the stock price can reflect the information, this paper first discusses the existence of the informed transaction before the event announcement date by using the event research method. Secondly, according to the EKOP model which directly measures the probability of informed transaction, this paper directly measures the probability of informed transaction of sample companies before and after the announcement of M & A. Further observation of informed transactions during the event announcement period; Finally, a regression model is established to study the relationship between the probability of informed transaction in pre-announcement of M & A events and the ownership of senior executives and institutional holdings, in addition, based on the heterogeneity among institutional investors. Further study of the different types of institutional investors on the sample companies informed trading probability. The empirical results of informed transactions before the event announcement date show that. The stock price of the sample company fluctuates abnormally before the announcement of M & A, and its average accumulated abnormal income is significantly not zero at the level of 1%, which indicates that the information on M & A has been leaked before the date of announcement of M & A. Informed traders use the private information to carry out informed transactions; The empirical results of informed trading during the announcement period show that the probability of informed trading in the early stage of the announcement date is significantly higher than that after the announcement date at the level of 1%, indicating that there is more private information before the announcement date. Its informed transactions are more serious; The empirical results of the relationship between institutional investors, executives and informed trading probability show that institutional shareholding and executive ownership can significantly improve the informed trading probability, and different institutional investors have different influence on informed trading probability. As the dominant force of the market, the investment fund shareholding will significantly improve the informed trading probability of listed companies. The other types of institutional investors selected in this paper will have a positive impact on the informed trading of listed companies. But its influence is not significant. Finally, this paper puts forward some suggestions on how to improve the phenomenon of informed M & A transaction on the basis of summarizing the results of empirical research. The limitations of this study are pointed out. The empirical evidence of this paper adds the literature on informed transactions in M & A events in order to provide a practical basis for the supervision of informed transactions in the securities market.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F271;F832.51

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