中国上市公司大股东减持行为动因及市场反应的研究

发布时间：2018-11-20 12:45

【摘要】：股权分置改革从2005年开始实行,它打破了长期以来上市公司流通股与非流通股相分割的局面。股权分置改革后,我国上市公司原有的非流通股获得在二级市场上流通的权利。随着股票市场进入全流通时代,上市公司股东以自身利益最大化为目标的获利机制明显发生转变。他们从关注公司净资产转向更加关注二级市场股票价格的变化。大股东会利用自身的各种优势,包括财务优势、信息优势等,尽量地抬高股价,获取投机收益。在全流通时代,大股东在二级市场上实现利益的最终方式是减持股份。本文以2009年1月1日至2011年6月30日,大股东在二级市场上减持股份的公司为研究对象,采用事件研究法和多元线性回归模型,分析大股东减持的深层次原因及减持行为对股票市场的影响。研究结果表明,大股东减持比例与公司经营业绩和盈利能力等公司经营特征并没有直接的相关关系,而与股权制衡度负相关,说明大股东在减持股份时考虑的是减持是否会威胁其控制权地位。此外,当大盘处于高位,市净率较低的成长型公司的股价更容易被高估,下跌的风险更大,大股东更容易通过减持公司股票将所获得的资本利得“落袋为安”,规避风险。在大股东减持股份之前的一定时期内,上市公司存在着显著为正的超额报酬,而在股份减持完成后,正的超额报酬逐渐消失。这表明大股东减持行为在短期内呈现出负的市场反应。通过研究上市公司减持效应的相关影响因素发现,从事件期的累积超额报酬来看,市场对于成长型、信息透明度低、大股东减持比例高的公司更为担忧,股票反应比较强烈,减持效应更明显。最后本文从内部治理和外部监管两方面对上市公司监管层提出了对大股东市场交易行为监管的政策建议。
[Abstract]:The reform of non-tradable shares has been carried out since 2005, which breaks the long separation of tradable shares and non-tradable shares of listed companies. After the reform of split share structure, the original non-tradable shares of listed companies in our country have the right to circulate in the secondary market. With the stock market entering the era of full circulation, the profit mechanism of shareholders in listed companies with the goal of maximizing their own interests has changed obviously. They moved from focusing on the company's net worth to paying more attention to changes in stock prices on the secondary market. Large shareholders will use their own advantages, including financial advantages, information advantages and so on, as far as possible to raise the stock price, to gain speculative gains. In the age of full circulation, the ultimate way for major shareholders to realize their interests in the secondary market is to reduce their share holdings. In this paper, from January 1, 2009 to June 30, 2011, the major shareholders in the secondary market in the reduction of shares as the research object, using the event study method and multiple linear regression model. This paper analyzes the deep reasons of the reduction of large shareholders and the influence of the behavior on the stock market. The results show that there is no direct correlation between the proportion of major shareholder reduction and the operating characteristics of the company, such as operating performance and profitability, but a negative correlation with the degree of equity balance. Major shareholders in reducing their shares consider whether the reduction will threaten their position of control. In addition, when the market is high, growth companies with low price-to-book ratios are more likely to be overvalued, riskier to fall, and larger shareholders are more likely to "pocket" their capital gains and avoid risk by reducing their holdings. In a certain period before major shareholders reduce their shares, listed companies have significantly positive excess returns, but after the completion of the stock reduction, the positive excess returns gradually disappear. This shows that the reduction of large shareholders in the short term shows a negative market reaction. Through the study of the related factors affecting the reduction effect of listed companies, it is found that the market is more worried about the growth type, low information transparency and high proportion of large shareholders' reduction, and the stock reaction is stronger from the cumulative excess returns in the event period. The reduction effect is more obvious. Finally, this paper puts forward some policy suggestions on the supervision of large shareholders' market transactions from two aspects of internal governance and external supervision.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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