股权分置改革公司治理和限售股解禁研究

发布时间：2018-05-16 18:52

本文选题：股权分置改革 + 限售股解禁　；参考：《复旦大学》2014年博士论文

【摘要】：中国证券市场起步较晚,自1990年和1991年上海证券交易所和深圳证券交易所成立以来,对国有股流通的问题采取搁置的政策,在事实上形成了股权分置的格局,针对中国证券市场上流通股和非流通股的股权分置导致的种种问题,中国于2005年启动了股权分置改革,目前已经过去了八年的时间,中间经历了股权分置改革方案的制定、实施,以及股权分置改革限售股的多次解禁,现在已经基本实现了全流通,中国证券市场在这期间也经历了牛市和熊市的更替。本文通过对股权分置改革的不同阶段所面临的不同问题展开了讨论,对中国的公司治理问题和资本市场效率问题进行了研究。本文的实证主要分为以下几个部分,第一部分对在股改方案实施前后的公司治理问题进行了探讨；第二部分研究了中国股改方案实施之后大量限售股解禁的价格和交易量反应,包括对所有参加股权分置改革的公司第一次限售股解禁事件和按照一定的间隔参加过三次解禁的公司的解禁事件的研究：第三部分针对限售股解禁事件对股票市场造成影响的因子进行了分析。在第一部分中,由于股权分置改革造成了中国股票市场中存在的独特的现金流量权和控制权的分离,非流通股股东仅仅承担了一部分的公司负面结果,本文针对股权分置改革对公司治理的影响而展开讨论。本部分的实证选用了683家从2005年至2007年完成了股权分置改革的公司2003年至2011年9年的强平衡面板数据,包含了三个子问题,第一,利用五个不同的代理成本变量衡量了由于大股东的不同动机而造成的代理成本,并且这些代理成本在股改期间没有受到会计政策变化的影响；第二,通过对比这些代理成本在股改之前和股改之后的变化,本文的研究发现了中国上市公司代理成本的严重性,并且实证结果支持股改完成之后中国的公司治理情况得到了改善；第三,本文验证了大股东的持股比例和代理成本的关系,发现在股改之前,前十大股东的持股比例越高,企业自由现金流越高,分配现金红利的倾向性越强,但是关联交易金额同前十大股东的持股比例关系并不显著,但是在股改之后,前十大股东的持股比例越高,企业的自由现金流和关联交易金额越低,并且十大股东的持股比例同红利支付倾向的系数也下降了,由于股权分置改革改变了前十大股东所持股份的交易权利,所以为交易权的价值提供了间接的依据。本文实证的第二部分主要研究了在股权分置改革方案实施之后中国股票市场面临巨额的股改限售股的解禁问题。本部分的实证选用了747家公司的第一次解禁事件,利用事件研究的方法发现在解禁日前三天的时候就开始出现显著为负的异常收益率,在解禁日当天等额平均异常收益率为正,之后出现了短暂的反转,但是仍然保持为负,为价格压力假说和需求曲线向下倾斜假说提供了一定的依据；在解禁前十二日就开始出现了显著为正的异常换手率,但是在解禁日当天及之后平均异常换手率为负。本文的第三部分对引起限售股解禁价格效应的因素进行了分析。首先从行为金融学的角度研究了中国A股市场被高估的原因,由于股改限售股解禁事件是一种形式的卖空限制的解除,所以这就对研究在卖空限制和异质信念下股票价格被高估提供了一种很好的检验,主要验证了以下几个假设：第一,由于中国A股市场存在异质信念和卖空限制,所以高特质性风险的股票具有较低的未来收益；第二,中国A股市场的交易量是由投机性动机所引起的,即换手率和总市值之间为显著的负相关关系；第三,投资者异质信念的波动率越高,股票价格和换手率越高；第四,在股改限售股解禁之后股票价格下跌,并且在股改限售股解禁之前异质信念越强的投资组合,在股改限售股解禁的时候股票向下调整越多；第五,如果需求曲线向下倾斜理论成立,那么如果内部人在解禁日时大量卖出股份,那么在高特质性波动率的股票组合中更容易出现较高的异常交易量。如果A股市场是由于投机性动机所引起的,那么在解禁之前特质性波动率越高的股票,在解禁之后异常交易量下降的越多。本章进一步通过横截面回归验证了对于限售股解禁效应的几种假说：需求曲线向下倾斜假说和价格压力假说、信息发现假说和流动性假说。
[Abstract]:Since the establishment of the Shanghai Stock Exchange and Shenzhen Stock Exchange in 1990 and 1991 , China ' s securities market has set aside policy on the circulation of the state - owned shares .
The second part studies the price and trading volume reaction of a large number of restricted shares after the implementation of China ' s stock reform scheme , including the first limited - selling stock - off event for all the companies participating in the stock - share reform and the separation of the companies that have participated in the three kinds of clearing - off according to a certain interval . In the first part , because of the unique cash flow right and control right in China ' s stock market , the non - tradable shares held only a part of the company ' s negative results . In the first part , we measured the agency cost caused by the different motives of the big shareholders from 2005 to 2007 , and the cost of these agents was not influenced by the change of accounting policy during the reform period .
Secondly , by comparing the cost of these agents before and after the reform of the stock reform , the thesis finds out the seriousness of the agency cost of Chinese listed companies , and the empirical results support the improvement of corporate governance in China after the completion of the stock reform ;
Third , this paper validates the relationship between the ownership proportion and the agency cost of the big shareholder , and finds that the higher the holding proportion of the top ten shareholders , the higher the free cash flow and the associated transaction amount of the former top ten shareholders .
The third part of this paper analyzes the factors that cause the price effect of the stock market . First , because of the heterogeneous belief and short selling limitation in the Chinese A - share market , the shares with high quality risk have lower future earnings .
Secondly , the transaction volume of China ' s A - share market is caused by speculative motivation , that is , there is a significant negative correlation between the exchange rate and the total market value ;
Thirdly , the higher the volatility of the investor ' s foreign belief , the higher the stock price and the exchange rate ;
Fourthly , the stock price declines after the stock reform limited - sale unit is released , and the stronger the foreign belief before the stock reform limited - sale unit is released , the more the stock is adjusted downward when the stock reform limited - sale unit is released ;
Fifth , if the demand curve is established by the downward inclination theory , if the inner person sells shares in a large amount at the end of the period , the higher the abnormal trading volume is more likely to occur in the stock combination with the high quality fluctuation rate . If the A - share market is caused by speculative motivation , the more the abnormal trading volume decreases after the desorption , the more abnormal trading volume decreases after the desorption . This chapter further verifies the hypothesis that the demand curve is inclined downward and the price pressure hypothesis , and the information discovery hypothesis and liquidity hypothesis .

【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F271

【参考文献】