大股东增减持市场反应与公司绩效的实证研究

发布时间：2018-04-20 10:41

本文选题：大股东增持 + 大股东减持　；参考：《西南财经大学》2014年硕士论文

【摘要】：中国证券市场在成立之初,为了保护国有资产不流失,人为的把上市公司股票划分为两部分：即流通股和非流通股,其中,流通股包括个人股和外资股,非流通股包括国有股和法人股,而非流通股通常是上市公司大股东。当大股东的股票不能在证券交易所流通时,他们只能通过场外方式进行协议转让,而场外转让价格通常是以净资产为价值基准进行的,因为这些股票的流通性比较差,所以这些非流通股的转让价格通常情况下不仅比流通股价格低,甚至比净资产账面价值还低,出现严重的同股不同价现象。在这个时期,大股东的股票不能在证券交易所自由流通,这种情况导致他们不怎么关心流通股价格,而且有充分的激励去做掏空上市公司的事。诚然,在刚开始的时候,这种证券上的“二元化”现象的确对保护国有资产有一定作用,但是随着中国证券市场的急速发展,不仅规模在不断扩大,而且投资品种也在不断增加,这种证券“二元化”已经严重阻碍了中国证券市场的健康发展,鉴于此,从2005年起,中国证券市场开始进行股权分置改革,消除证券“二元化”及其导致的同股不同价现象。在完成股权分置改革后,大股东所持有的股票也能够在证券交易市场自由流通,他们的利益和以前的流通股股东捆绑在一起,如果上市公司的经营业绩提高,公司股价上升,他们的利益也会跟着提升,在这种情况下,大股东就有动力去监督上市公司的经营情况,从而促使公司高层认真经营,提升公司经营业绩提高。这个时候,大股东的增减持行为就会受到广泛关注,因为他们掌握着比普通投资者多很多的信息,能够比普通投资者更好的估量上市公司价值,他们就会据此而做出股票买卖行为,据此,他们的行为也能够给投资决策做出一定参考。但是因为以前中国的股权“二元化”现象使得大股东的股票不能自由流通,而欧美等国外证券市场是没有流通股和非流通股的区分的,所以以前研究中国证券市场大股东增减持方面的文献比较少,所以本文选取大股东增减持与市场反应和公司绩效的实证研究这个命题比较有价值。本文的写作主要分为五个部分：引言、文献综述、研究设计、实证分析和结论。下面是关于这五个部分的简要介绍：第一部分是引言,主要是对本文的研究背景、研究意义、研究内容以及本文的创新与不足之处进行说明,这样做的目的一方面是文章更加清晰、便于理解,另一方面也为本文能够顺利创作打下基础。第二部分是文献综述回顾,写这部分有两个目的,一方面是介绍国内外学者在这方面的研究情况,另一方面是给本文创作寻找参考。因为欧美等证券市场上是没有流通股和非流通股的说法的,而中国股权分置改革又比较晚,所以国内外学者这方面的研究主要集中在股权集中度与公司绩效以及大股东增减持与市场反应这方面。对于股权集中度和公司绩效方面,国内外学者主要有四种观点,第一种是股权集中度和公司绩效正相关；第二种是股权集中度和公司绩效负相关；第三种是股权集中度和公司绩效呈现倒“U”形关系,在股权集中度很低的情况下,股权集中度和公司绩效正相关,在股权集中度很高的时候,股权集中度和公司绩效负相关；第四观点是股权集中度和公司绩效无关。对于大股东增减持后市场反应研究方面,主要有两种观点,第一种观点是说大股东增减持和市场反应有关系,在增持前有负的超额收益,增持后有正的超额收益；减持前有正的超额收益,减持后有负的超额收益；第二种观点是说上市公司大股东的增减持行为和市场反应没有什么关系,即市场不会对大股东的增减持行为有反应。第三部分是本文的研究设计,主要从样本与数据的选取、大股东增减持与市场反应的研究设计和大股东增减持与公司绩效的研究设计三个方面来进行。在样本和数据选择方面,样本是选取2009年发生增减持的上市公司中剔除非二级市场增减持公司、ST公司和*ST公司、财务不合理或具有异常的公司、金融类公司、发布公告后5天之后还停牌的公司以及当年在公开市场上公开发行过新股、可转债、配股的公司后得到的,数据是从上交所、深交所以及国泰安、锐思数据库中得到的。在大股东增减持与市场反应的研究设计方面,本文在结合了前人的研究基础和中国证券市场现实情况上,选取了市场研究法作为研究方法,在这个设计中,首先对市场研究法进行阐述,包括事件期的选取、超额收益率的衡量、平均超额收益率的衡量、平均超额累计收益率的衡量以及显著性检验；在大股东增减持与公司绩效设计方面,衡量指标主要有两种类型,第一种是从市场角度进行衡量,第二种是从财务因素的角度进行衡量,考虑到中国证券市场不成熟的实际情况,本文选取从财务角度进行衡量,在方法选取上,为了能够综合体现公司绩效,本文选取用主成分分析法来对指标值赋予权重,并且为了降低不同年份之间公司绩效对比的误差,本文没有按照通常的只取累计方差贡献率达到85%,而是选取累计方差贡献率100%,这样能够完全的代表样本财务指标值。第四部分是本文的实证分析,根据第三部分的研究方法和思路,以选取的样本和数据为基础,以事实来论证大股东增减持和市场反应以及公司绩效的关系怎样。本部分的写作主要分为3个方面,第一个方面是对样本情况进行说明；第二个部分是对大股东增减持和市场反应进行实证分析,通过对样本组分别进行总样本和大小比例的实证研究,研究结果发现,大股东在发布大比例增持公告前,公司股价有显著的负的超额收益,发布公告当日前一天、当日及之后,公司股价有显著的正的超额收益,而发布小比例增持公告的研究结果不显著,大股东在发布大比例减持公告前有显著的正的超额收益,公告日前一天、当日及之后有显著的负的超额收益,发布小比例减持公告除了公告当日有微小的显著的负的超额收益,其他的都不显著；第三方面是对大股东增减持与公司绩效进行实证研究,研究结果发现,大股东增持后公司绩效会下降,大股东减持后公司绩效会上升,虽然都不显著,但是从正负值来看,大股东增持后大部分的公司绩效下降,大股东减持后大部分的公司绩效上升。第5部分为研究结论,包括对实证研究结果的解释以及提出相关建议。在市场反应方面,根据研究结果,发现大股东增减持存在严重的择时行为,而大比例增减持前一天都有显著的超额收益,证明是消息泄露,而大股东增持后公司绩效降低,减持后公司绩效上升,这是因为在我国高股权集中度的情况下,大股东对上市公司的掏空行为所导致的结果。据此,本文提出择机交易、加大证券犯罪的处罚力度来降低内幕交易等犯罪、加强信息披露来降低“信息不对称”以及完善公司治理结构等建议。
[Abstract]:At the beginning of the establishment of the Chinese stock market, in order to protect the state-owned assets from losing, the stock of the listed company is divided into two parts: the circulation stock and the non circulation stock, in which the circulation shares include the individual shares and the foreign shares, the non circulation shares include the state-owned shares and the legal person shares, but the non circulation shares are usually the large shareholders of the listed companies. When they are unable to circulate on a stock exchange, they can only transfer the agreement by way of the OTC, and the over-the-counter transfer price is usually based on the value of the net assets, because the negotiability of these stocks is relatively poor, so the transfer price of these non tradable shares is generally not only lower than the price of the circulation stock, even the book price of the net assets. In this period, the stock of large shareholders can not be freely circulated on the stock exchange. This situation leads them to not care much about the price of the circulation stock, and there is a full incentive to empty the listed company.
It is true that, at the beginning, the "two yuan" phenomenon on the securities has a certain effect on the protection of state-owned assets, but with the rapid development of the Chinese stock market, the scale is not only expanding, but also the variety of investment is increasing. This kind of "two yuan" has seriously hindered the health of China's securities market. In view of this, since 2005, China's securities market has begun to carry out the split share reform to eliminate the "two yuan" and the same share price. After completing the split share reform, the shares held by the large shareholders can also be freely circulated in the stock exchange market, and their interests are tied up with the former circulation shareholders. On the other hand, if the performance of the listed companies increases and the stock price rises, their interests will also be promoted. In this case, the large shareholders will have the power to supervise the operation of the listed companies, so as to promote the serious management and improve the performance of the company. At this time, the increase or reduction of the large shareholders will be widely used. In general, because they have a lot more information than ordinary investors, they can estimate the value of the listed company better than the ordinary investors, and they will make the stock buying and selling behavior accordingly. Accordingly, their behavior can make certain reference to the investment decision. The stock of large shareholders can not be freely circulated, while there is no distinction between the European and American stock market and other foreign stock markets, so there are few literature in the previous study on the increase or reduction of the large shareholders in the Chinese securities market. Therefore, this paper selects the positive study of the large shareholders to increase and decrease the market reaction and the performance of the public company. Value.
The writing of this article is divided into five parts: introduction, literature review, research design, empirical analysis and conclusion. The following is a brief introduction to the five parts:
The first part is the introduction, mainly on the background of the study, the significance of the research, the content of the research and the innovation and shortcomings of this article. The purpose of this is to make the article more clear and easy to understand, on the other hand, it also lays the foundation for the smooth creation of this article.
The second part is the review of the literature review, which has two purposes. On the one hand, it introduces the domestic and foreign scholars' research in this respect, on the other hand, to find the reference for this article, because there is no circulation and non circulation shares in the securities market of Europe and America, and the reform of China's share division is relatively late, so it is so domestic and abroad. Scholars mainly focus on the degree of ownership concentration and corporate performance, and the response of large shareholders to the market response. There are four main points of view for the degree of equity concentration and company performance. The first is the positive correlation between the ownership concentration and the company performance; the second is the ownership concentration and the negative company performance. The third is that the ownership concentration and the company performance show an inverted "U" relationship. In the case of low ownership concentration, the ownership concentration is positively related to the company performance. When the ownership concentration is very high, the ownership concentration is negatively related to the company performance; the fourth point is that the ownership concentration is not related to the company performance. For the large shareholders, the ownership concentration is not related to the company performance. There are two main points of view in the study of post holding market response. The first view is that the large shareholders are related to the market reaction, have negative excess returns before the increase, and have positive excess returns after the increase; there are positive excess returns before the reduction and negative excess returns after the reduction; the second view is that the large shareholders of listed companies are said. There is no relationship between the increase and decrease in holding behavior and the market reaction, that is, the market will not react to the increase or decrease of the major shareholders.
The third part is the research and design of this article, mainly from three aspects of the selection of sample and data, the research design of the large shareholders increasing and the market reaction and the research design of the large shareholders increasing or decreasing and the company performance. In the sample and data selection, the sample is to select the non two market in the listed companies which were held in 2009. The company, ST company and *ST company, financial irrational or abnormal companies, financial companies, companies that have been suspended after the announcement 5 days after the announcement, and the companies that have publicly issued new shares in the open market, convertible bonds and allotment companies, are obtained from the Shanghai Stock Exchange, the Shenzhen and Tai'an, the ruix database. In this design, the market research method is selected as the research method. In this design, the market research method is first elaborated, including the selection of the event period, the measurement of the excess rate of return, the average excess amount. The measurement of the rate of return, the measurement of the average excess accumulative rate of return and the significance test. There are two main types of indicators for the large shareholders to increase or decrease and the company performance design. The first is to measure from the market angle, the second is to measure the balance from the Perspective of financial factors, and take into account the immature situation of the Chinese stock market. In this paper, we choose from the financial point of view, in the selection of methods, in order to integrate the performance of the company, this paper selects the principal component analysis method to give weight to the index value, and in order to reduce the error of the company performance comparison between different years, this paper does not reach 85% in accordance with the usual cumulative variance contribution rate. The cumulative variance contribution rate is 100%, which fully represents the sample financial index value.
The fourth part is the empirical analysis of this article. According to the research methods and ideas of the third part, based on the selected samples and data, the paper demonstrates the relationship between the increase and decrease of the large shareholders, the market response and the company performance. The writing of this part is divided into 3 aspects, the first one is to explain the sample situation; second One part is an empirical analysis of the large shareholders' increase or reduction and the market reaction. Through the empirical study of the sample group and the size proportion of the sample group, the results show that the stock price has significant negative excess earnings before the large shareholder announcements of large proportion increase, and the announcement of the stock price is the day before and after the day before and after the company's stock price. There are significant positive excess returns, and the results of the announcement of small proportion increase are not significant. Major shareholders have significant positive excess returns before announcements of large proportion reduction. There are significant negative excess returns in the day before the announcement day and after the announcement. The announcement of small proportion reduction has a slight and significant negative excess on the day of announcement. The third aspect is the empirical study on the increase and decrease of the large shareholders and the performance of the company. The results show that the company performance will decline after the large shareholder increase, and the company performance will rise after the reduction of the large shareholders, although it is not significant, but from the positive and negative values, most of the company's performance will decrease after the big shareholder increase. Most of the company's performance has risen after the reduction of shareholders.
The fifth part is the conclusion of the study, including the interpretation of empirical findings and relevant recommendations.
In terms of market response, according to the results of the study, it is found that the major shareholders have serious timing behavior, while large proportion increase and decrease have significant excess returns on the previous day, which proves to be information leakage, and the company performance decreases after the large shareholders increase, and the company performance increases after the reduction of holding. This is due to the high equity concentration in China. On the basis of the results of the hollowing behavior of the listed companies in the East, this paper puts forward some suggestions on how to reduce the information asymmetry and improve the corporate governance structure by making an optional transaction, increasing the punishment of the securities crime to reduce the crime of insider trading and so on.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】