关于高送转对A股上市公司股价影响及其成因的实证研究

发布时间：2018-01-06 23:25

本文关键词：关于高送转对A股上市公司股价影响及其成因的实证研究　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：作为上市公司利润分配的方式之一，股票股利应该与现金股利一样，并不会对股价产生重大影响。但现实市场中，上市公司的“高送转”方案往往会被热捧，导致股价产生超额收益。本文采用事件研究法，以上市公司分红预案公告日为事件触发日，对2001年-2012年期间公告的2101次分红预案进行统计分析后，得到了“高送转”预案公告后的CAR曲线。根据该曲线，预案公告后的0-30天、120-180天和300-360天的超额收益最为显著。本文认为0-30天的超额收益属于利好信息的漂移，而120-180天和300-360天的超额收益是对继续“高送转”的预期和内幕交易叠加所致。并且通过对分红预案公告前30日“高送转”股票的超额收益进行假设检验，证实了内幕交易的存在性。之后又以苏宁电器“高送转”案例作为研究对象，解释了上市公司“高送转”的动因之一——再融资。此外，本文还通过实证分析，发现定向增发、股价上涨后，上市公司“高送转”概率明显增加。据此判断为定向增发后机构投资者退出提供时机、推动上市公司市值上升都是影响“高送转”的重要成因。最后，本文通过多元线性回归分析进一步支撑了本文的论点。上述研究结果对规范市场次序、指导投资者理性投资都具有一定意义，，并希望藉此推动上市公司信息披露更加透明，政策监管更加合理。
[Abstract]:As a way of profit distribution for listed companies, stock dividends should be the same as cash dividends, but will not have a significant impact on stock prices. But in real market, the "high transfer" program of listed companies will often be touted, resulting in excess returns on stock prices.
This paper uses the event study method, the dividends of listed companies plan announcement for event triggered, statistical analysis of the 2101 dividend plans during the 2001 -2012 announcement, the "high send turn CAR curve" after the announcement of plans. According to the curve, after the announcement of plans for 0-30 days, 120-180 days and 300-360 days the excess return is the most significant. The 0-30 days of the excess income belonging to the positive information drift, 120-180 days and 300-360 days, the excess return is to continue to "gaosongzhuan" expectations and insider trading due to superposition. And through the high transfer stocks excess returns dividend plans 30 days before the announcement "hypothesis testing, confirmed the existence of insider trading. Then to Suning high transfer case as the study object, explains the listed companies gaosongzhuan" -- one of the reasons for re financing. In addition, this paper also Through empirical analysis, found that the private placement of listed companies, stock prices, high transfer probability increased significantly. Judge providing an opportunity for the private placement of institutional investors to exit, promote the market value of listed companies is the main cause of "rising gaosongzhuan". Finally, this paper through multiple linear regression analysis further support the argument of this article.
The above research results have certain significance for standardizing the market order and guiding the rational investment of investors, and hoping to promote the information disclosure of listed companies more transparent, and policy supervision is more reasonable.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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