员工持股计划的市场效应及其影响因素的研究

发布时间：2018-02-15 15:36

本文关键词： 员工持股计划市场效应事件研究法　出处：《浙江工商大学》2017年硕士论文　论文类型：学位论文

【摘要】：2014年6月20日证监会发布《关于上市公司实施员工持股计划试点的指导意见》,对员工持股计划的实施方式作了详细规定,同时也放开了多种限制,使上市公司推出员工持股计划的运作更加丰富灵活,标志着新时期员工持股计划的开始。虽然我国员工持股计划的发展受到了不少经济学家的关注,但学术界对于员工持股计划激励效果的研究主要集中在员工持股计划对企业长短期绩效的影响。由于早些年数据披露问题以及数据样本偏小,致使国内少有学者从市场绩效的角度对员工持股计划进行解读。本文以2014年6月至2016年7月底我国A股市场502家推出员工持股计划的上市公司为基础样本,并按规则剔除不满足观察研究的公司,最后刷选出201家作为研究样本。采用事件研究法,并根据市场模型计算样本公司在不同时间窗口期的平均异常收益率和累积平均异常收益率,构建零假设进行T检验,检验员工持股计划事件的市场效应,同时从股票来源、资金来源、高管认购比例、杠杆比例等影响市场效应的不同因素分组分析。研究发现,我国员工持股计划对企业的短期市场绩效有显著的正向影响,直观数据显示草案公布前1交易日至后5个交易日窗口期内获得6.1%的累积超额收益率。而影响因素方面,股票来源为非公开发行方式的持股计划短期对市场有明显的刺激效果,而二级市场购买型的在扩大考察窗口期后也有不错的平均异常收益率;资金来源为融资借款形式的持股计划相比员工自筹形式有更好的市场表现,在[0,20]期间累积平均异常收益率达到最高11.64%;高管持股比例越高越能获得投资者对公司未来发展的认同;最后杠杆比例大小体现了大股东承担劣后端风险的程度,其比例越高市场效应更显著。基于以上的实证研究成果,本文分别构建两种投资策略:非公开发行型投资策略和二级市场购买型投资策略,并通过样本外的数据验证取得不错的收益,为广大投资者提供对事件投资的科学理性研究思路。
[Abstract]:In June 20th 2014, the Securities Regulatory Commission issued the guidance on the implementation of the ESOP pilot in listed companies, which made detailed regulations on the implementation of ESOP, and at the same time released a variety of restrictions. The introduction of ESOP by listed companies has become more flexible and rich, marking the beginning of ESOP in the new era. Although the development of ESOP in China has attracted the attention of many economists, However, the academic research on the incentive effect of ESOP mainly focuses on the impact of ESOP on the long-term and short-term performance of enterprises. As a result, few domestic scholars interpret the ESOP from the perspective of market performance. This paper takes 502 listed companies in the A-share market from June 2014 to July 2016 as the basic samples. According to the rules, the companies that were not satisfied with the observation research were eliminated, and 201 companies were selected as the research samples. The method of event research was adopted. According to the market model, the average abnormal rate of return and cumulative average abnormal rate of return of the sample company in different time window period are calculated, and the zero hypothesis is constructed to test the market effect of the ESOP event, and at the same time, from the stock source. The analysis of different factors influencing the market effect, such as the source of funds, the proportion of senior executives' subscription, the proportion of leverage, etc. The study found that the ESOP has a significant positive impact on the short-term market performance of enterprises. Intuitionistic data show that the draft has obtained a cumulative excess return of 6.1% in the window period from the first trading day to the next five trading days. In terms of influencing factors, the stock holding plan, which comes from the non-public issuance mode, has a significant short-term stimulus effect on the market. In the secondary market, there is also a good average abnormal rate of return after the expansion of the window period. The shareholding plan, which comes from the form of financing and borrowing, has better market performance than the employee self-financing form. The cumulative average abnormal rate of return reached the highest 11.64% during the period of [20]; the higher the proportion of executive shares, the more investors recognized the future development of the company; and the extent of the final leverage ratio reflected the extent to which large shareholders took on bad back-end risks. Based on the above empirical research results, this paper constructs two investment strategies: the non-public issuance investment strategy and the secondary market purchase investment strategy. And through the data verification outside the sample to obtain the good income, provides the scientific rational research thought to the event investment for the vast number of investors.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F272.92

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