中小板送转政策超额收益的影响因素研究

发布时间：2018-04-25 21:14

本文选题：中小板 + 送转政策　；参考：《湖南大学》2014年硕士论文

【摘要】：送转题材一直是市场热炒的题材之一，也是学术界研究的焦点之一。对于上市公司实施送转的分配政策，一般关注点在于送转行为引起了多大的市场反应，怎样从理论上去解释送转现象，以及寻找引起市场反应的因素。本文将按上述三方面来探索我国中小板市场送转政策引起的超额收益现象及影响因素。本文选取2010年1月1日——2013年8月25日中小板市场上，剔除ST类股票，金融行业股票和IPO后第一次实施送转政策股票后的所有包含送转分配政策的事件为研究样本，明确预案公告日为事件窗口日期来开展研究。首先，对中小板市场的送转实践特征进行描述，发现市场上送转事件逐年震荡增多的趋势，以及高比例送转在送转事件中的占比也有增多趋势，以及不同行业实施送转政策情况差别很大。其次，，以资本资产定价模型为计算方法得到各样本股票的期望收益率，再用实际收益率减去期望收益率得到超额收益。发现送转政策产生超额收益是一个比较普遍的现象，且呈现一定的规律性：早在预案公告日之前的3天，市场就已经有所反应，单日超额收益率为正，并且缓慢放大，一直到预案公告日当天达到最大。随后又大幅回落，直至4天之后，超额收益现象基本消失。且成长性行业的公司在此过程中获得的超额收益比成熟性行业的公司明显要高。最后，本文以相关股利政策理论为基础，对可能包含的影响因素进行研究，利用多元线性回归模型得到实证结果，并同时检验了文章开头部分提出的研究假设。得到的结论是：股票价格与超额收益无关；营业利润增速与超额收益负相关；送转比例和股权集中度与超额收益正相关。影响超额收益最重要的因素是换手率，而诸如转增比例，公司总股本，未分配利润等指标对超额收益的影响微乎其微。最优股价交易区间理论，信号传递理论，股利迎合理论不太适用；价格幻觉假说，客户效应理论，代理成本假说适用。
[Abstract]:Transfer theme has been one of the topics of market speculation, but also one of the focus of academic research. For the listed companies to implement the distribution policy, the general focus is on how much market response is caused by the transfer behavior, how to explain the transfer phenomenon theoretically, and to find out the factors that cause the market reaction. According to the above three aspects, this paper will explore the phenomenon of excess return caused by the transfer policy of small and medium-sized market in China and the influencing factors. From January 1, 2010 to August 25, 2013, this paper selects all the events including transfer policy for the first time after excluding St stocks, stocks of financial industry and IPO, on the market of small and medium scale board from January 1, 2010 to August 25, 2013, as the research sample. Define the date of announcement of the plan as the date of event window to carry out the research. First of all, the paper describes the practical characteristics of the small and medium-sized board market, and finds that the number of conveyance events in the market is increasing year by year, and the proportion of the high proportion of the transmission events in the transmission events is also increasing. As well as different industries to implement transfer policy situation is very different. Secondly, the expected return rate of each sample stock is obtained by using the capital asset pricing model as the calculation method, and the excess return is obtained by subtracting the expected return rate from the real return rate. It is found that it is a relatively common phenomenon that the transfer policy produces excess returns, and it presents certain regularity: as early as three days before the announcement of the plan, the market has already responded, and the excess return per day is positive and slowly magnified. Until the day of announcement of the plan to reach the maximum. Then fell sharply, until 4 days later, the phenomenon of excess returns basically disappeared. And the firms in the growth industry have higher excess returns than those in the mature industries. Finally, based on the relevant dividend policy theory, this paper makes a study of the possible influence factors, obtains the empirical results by using multiple linear regression model, and tests the research hypotheses put forward at the beginning of the article. The conclusions are as follows: stock price has nothing to do with excess return; operating profit growth rate is negatively related to excess return; transfer ratio and equity concentration are positively correlated with excess return. The most important factor affecting excess return is turnover rate, and the influence of such indicators as turnover ratio, total share capital and undistributed profit on excess return is very little. The optimal stock price trading range theory, signaling theory and dividend pandering theory are not applicable; the price illusion hypothesis, customer effect theory and agency cost hypothesis are applicable.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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