投资者情绪视角的上市公司股票回购的市场反应研究

发布时间：2018-05-29 02:48

本文选题：投资者情绪 + 股票回购　；参考：《集美大学》2017年硕士论文

【摘要】：股票回购在国内起于1992年,经过20多年的发展,已经逐渐成为上市公司进行资本运作的重要手段之一。股票回购是指上市公司通过现金、举债等方式购回自己公司发行在外的股票,其目的是减少注册资本,提高每股收益,提高财务杠杆率,优化资本结构,为股权激励提供股票来源。本文主要以我国上市公司在2008年到2015年公布股票回购预案的案例为研究对象,研究投资者情绪与股票回购的市场反应之间的关系。首先,选取了代表投资者情绪的六个单一源指标构建投资者情绪指数index;其次,计算代表股票回购市场反应的累积超额收益率car;最后建立累积超额收益率car和投资者情绪index与影响因素的回归模型进行的回归分析,此外还对投资者情绪分组的分别进行回归分析并得出以下结论:(1)从总体上看投资者情绪与股票回购累积超额收益率(CAR)显著负相关。这意味着投资者情绪越高,股票回购的市场反应越低,说明在牛转熊的背景下,以发布提升股价为目的的公司并不如他们所期望的那样有效积极,在这个市场背景的投资者趋于非理性,并不注重对公司的基本面分析;另外投资者情绪越低,股票回购的市场反应越高,说明投资者在面对市场超额收益率普遍极低的情况下,对于发布股票回购的公司具有较强的积极反应。(2)从投资者情绪高低分类比较发现高投资者情绪与股票回购的市场反应所呈现的负作用表现更显著,而低投资者情绪与股票回购的市场反应所呈现的负作用并不显著。
[Abstract]:Stock repurchase began in 1992 in China. After more than 20 years of development, it has gradually become one of the important means of capital operation of listed companies. Stock repurchase refers to a listed company buying back the shares issued by its own company through cash, borrowing, etc. Its purpose is to reduce the registered capital, increase earnings per share, increase the financial leverage ratio, and optimize the capital structure. Provide stock resources for equity incentives. This paper studies the relationship between investor sentiment and stock repurchase market reaction with the case of stock repurchase plan published by listed companies in China from 2008 to 2015. Firstly, six single source indexes representing investor sentiment are selected to construct investor sentiment index. Finally, the regression analysis of cumulative excess rate of return (car) and investor sentiment (index) and influencing factors is established. In addition, the regression analysis of investor sentiment groups is carried out and the following conclusions are drawn: (1) in general, investor sentiment is negatively correlated with cumulative excess return rate of stock repurchase (CAR). This means that the higher the investor mood, the lower the market response to share buybacks, suggesting that companies with the goal of raising their share prices are not as effective as they expect them to be, in the context of bullish bears. Investors in this market background tend to be irrational and do not pay attention to the fundamental analysis of the company. In addition, the lower the investor sentiment, the higher the market response to stock buybacks, indicating that investors are facing a situation where the market excess returns are generally very low. According to the classification of investor sentiment, it is found that the negative effect of high investor sentiment and stock repurchase market reaction is more significant. The negative effect of low investor sentiment and market reaction of stock repurchase is not significant.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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