股权集中度对股票估值的影响研究

发布时间：2018-03-03 12:44

  本文选题：股权集中度　切入点：股票估值　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：股权集中度反应了公司股票投资者持股比例的多少，其与企业价值、公司经营业绩、代理成本以及投资者进行股票估值息息相关。股权集中度相关问题被许多学者所研究，并且提出了许多划分标准。学者们将企业股权结构与公司经营状况、企业盈利情况还有公司治理方面的关系进行了深入探讨，研究表明两者之间存在显著的相关性。本文则以投资者对股票市场的判断为视角，认为公司股权结构，尤其是股权集中度对股票持有者对市场判断的准确性存在显著影响。 为了全面客观地呈现样本公司的股权结构和性质，本文采用RESSET和CCER数据库中的人均持股比例作为指标来表示企业股权集中度，借助面板数据模型分析股权集中度与股票估值之间的影响关系。其中，人均持股比例等于企业人均持股数除以企业总股数。借鉴以往学者的研究，本文以30%和50%为分位点将企业划分为分散型结构、制衡型结构和集中型结构。本文经过统计分析结果表明，从2006到2010年我国大部分企业属于股权制衡型结构，少部分属于集中型结构。尤其是，2006年企业股权集中度明显高于随后年份，究其根源是我国从2005年开始对资本市场实行股权分置改革，这种减少持有国有股份和对非流通股份的全面释放，增强了资本市场上股票和资金的流转，相关数据显示，在2007和2008这两年中股票市场释放的流动性比较集中而且广泛。 影响投资者对股票市场进行估值的因素也是纷繁多样。比如，国家经济政策、市场中资金的需求与供给、企业经营绩效、投资者预期等。除此之外，影响股票估值的因素还包括公司经营好坏和股权集中程度。而且，公司股权结构不仅关系到企业的经营而且影响股票估值准确性。那么，企业股权集中度如何影响投资者对公司股票的估值以及估值的准确性呢？本文对2006到2010年5年的沪深两市1075家上市公司进行面板数据回归。其中，投资者股票估值准确性指标采用企业年报公布日后市场累计非正常收益率和企业股票价格离差标准差表示。市场累计非正常收益率等于投资者获得的回报率减去市场平均收益率，可以认为是投资者预期的获得偏离市场收益的超常收益率。股票价格离差标准差是企业股票价格极差（最大值与最小值之差）与平均股价的差值的标准差，能够反映股票价格波动范围和稳定性。由于我国资本市场还不成熟，规范和制度也不健全，股票价格并不能完全反应有关企业结构和公司治理相关的重要信息，而且投资者的非理性导致市场上出现所谓“羊群效应”，即投资者不是通过分析交易信息以及企业相关财务报告而作出的投资决策，相反他们效仿跟随某些机构投资者或者被认为是成功投资者的投资策略。从而市场上往往跟风、投机和噪音交易现象时有发生。大部分市场上的交易者和投资者是非理性的，对股票估值存在一定程度的不准确性。造成这种现象的原因除了有投资者自身的因素外，企业内部股权结构和内幕交易也是关键因素。从信息距离和信息披露的角度分析，离公司信息源越近的人，相比外部投资者和公众掌握的重大消息越多，越容易造成内幕交易，扰乱市场秩序。从股权集中度方面分析，，股权集中度越高，控制权越掌握在少数几个股东手中，他们了解的影响股价的重大事件和信息越多，中小投资者和公众掌握的越少，越不利于对公司的股票进行正确地估值。本文实证结果也正证实了这一论断。因此，适度保持企业股权集中程度有利于激励股东和管理层为公司效益最大化而服务，过高的股权集中度不利于股票被正确地估值，不利于资本市场高效的运转和资源的合理配置。
[Abstract]:The ownership concentration response percentage of stock investors, the value of the enterprise, business performance, agency costs and investor stock valuations are closely related. Many scholars have studied the issue ofownership concentration, and put forward the division standard. Many scholars of equity structure and corporate business conditions, in-depth discussion corporate profitability and corporate governance of the relationship, research shows that there is a significant correlation between the two. This paper is based on the investors in the stock market from the perspective of judgment, that the company ownership structure, especially the ownership concentration of stock holders the accuracy of the judgment of the market has a significant impact.
In order to equity structure and properties comprehensively and objectively present Sample Firms, the per capita RESSET and the proportion of shareholding in CCER database as an index to represent ownership concentration, influence analysis of relationship between ownership concentration and equity valuation by using panel data model. The shareholding ratio is equal to the enterprise, the per capita per capita holdings divided by the total number of shares of the enterprise. Learn from former studies, this paper takes 30% and 50% points will be divided into enterprise decentralized structure, balancing structure and centralized structure. Through the statistical analysis results show that from 2006 to 2010, the majority of enterprises of our country belongs to the balance of ownership structure, a small part of a centralized structure. Especially, the enterprise ownership in 2006 the concentration was significantly higher than that in the following years, the reason is that China's capital market began to implement the reform of non tradable shares from 2005, this reduction of state-owned shares held The total release of shares and the non tradable shares increased the circulation of stock and capital in the capital market. The relevant data showed that in the 2007 and 2008 years, the liquidity released by the stock market is relatively concentrated and extensive.
Influence of investors in the stock market valuation of the factors is diverse. For example, the national economic policy, the supply and demand in the capital market, business performance, investors expected. In addition, factors affecting stock valuation include bad company and the degree of ownership concentration. Moreover, the ownership structure is not only related to the enterprise business and the impact of the stock valuation accuracy. So, how ownership concentration affect investors on the company's stock valuation and valuation accuracy? 1075 listed companies in 2006 to 2010 5 years in Shanghai and Shenzhen two panel data regression. Among them, the annual report released on the market after the enterprise cumulative abnormal return and stock enterprises the price difference from the standard deviation of investors stock valuation accuracy index. Market cumulative abnormal return is equal to the return rate minus the investors The average market rate of return, can be thought of as investors expected earnings obtained deviate from the market abnormal return. Stock price dispersion is the standard deviation of enterprise stock price range (maximum and minimum value difference) and the difference between the average price of the standard deviation of the stock price can reflect the fluctuation range and stability. Because of China's capital market is not mature, and the standard system is not perfect, the stock price can not fully reflect the enterprise structure and corporate governance related important information, but also non rational investors lead to the so-called "herding" appear on the market, the investors are not through the analysis of transaction information and enterprise financial report and make investment decisions, instead they follow follow certain institutional investors or is considered to be a successful investor investment strategy. Thus the market tend to follow the trend of speculation, and the phenomenon of noise trading is 鐢

本文编号：1561093