基于ST股票超额收益分析对ST板块监管的建议

发布时间：2018-04-04 09:37

本文选题：特别处理股票　切入点：年化累计超额收益　出处：《东北财经大学》2013年硕士论文

【摘要】：针对特别处理股票特殊的风险和收益特征,需要对它制定独特的监管规则。同时一些与之相关的制度规定也会直接或间接影响ST股票的市场表现。从我国1998年开始对状况异常的上市公司的股票实施特别处理制度以来,该制度几经修改,在实践的经验中逐步完善。为了规范弊病从生的借壳操作,2011年出台的证监会并购重组新规,该规定对特别处理股票的表现也有很大影响。同时,根据2012年7月7日开始实施的《上海证券交易所股票上市规则(2012年修订)》,对于ST股摘帽的条件上交所有明显的放松。研究ST股票长期以来的收益特点,以及这一系列新的规定的出台后ST股票市场表现的变化,对监管者加强特别处理板块股票的监管,维护证券市场的良好秩序有很大的理论和实践意义。首先,本文参考国内外相关文献,选择超额收益来作为分析特别处理股票风险收益特征的切入点,对超额收益指标的选取,本文不仅考虑了研究者常用的累计超额收益,而且考虑到对不同持续期间股票的分析窗口不同,为了相关指标的可比性,引入了年化累计超额收益。然后,要计算超额收益,要先得到股票的正常收益。为了得到正常收益,本文在模型构建准备阶段进行了CAPM模型的适用性分析。发现CAPM模型中β所代表的系统风险确实能够解释股票大部分的收益。所以本文仍然采用CAPM模型计算股票正常收益。最后,本文采用了描述性分析和多元回归分析法对特别处理股票进行实证分析。主要采用事件分析法以及多元回归分析法,选取了2007年,2008年两年间被特别处理的股票为比较样本详细分析其风险收益特征。运用事件分析法分析超额收益的特点和投资者市场公告的反应。并进一步对样本细化分组,考察一些可能影响超额收益的非经济变量,以便在后文中将其作为解释变量引入多元回归分析中。然后以2011年被特别处理的样本作为重组新规和一系列新政策出台后的样本与之比较,描述性分析发现两组样本风险收益特征和市场表现有很大差异,多元回归分析也发现两者间的超额收益来源有很大不同。研究发现,样本股票对ST公告和不利制度变化短期内确实有明显的负反应,对摘星摘帽处理有明显的正反应。另外,描述性分析发现不同的持续期,不同上市地点,不同处理方式,不同行业的股票超额收益特征都有所不同。而从被处理年份来看,2007年和2008年被特别处理的股票总体来说超额收益并没有很大区别,2007和2008特别处理的股票联合起来与2011年特别处理的股票的超额收益特征显著不同。此外,多元回归分析结果发现,2007和2008年样本的超额收益只有小部分可解释,可解释部分主要来自与与重组价值有关的变量：1.公司市值,小市值公司超额收益更高；2.资产质量,资产质量越好的公司超额收益越多；3.每股净资产变化,每股净资产下降的公司超额收益越大。而2011年样本超额收益大部分可以用与公司经营状况和成长性有关的变量解释：1.每股净资产,每股净资产越高的公司股票超额收益越大；2.主营业务收入增长率,主营业务收入增长越快的公司的超额收益越大；3.每股收益,在(-1,1)的区间内,每股收益越低,未来扭亏为盈时时带来的市场效果越大,对企业经营业绩扭转时所带来的超额收益越高；在(-∞,-1)之间的每股收益越低,投资者对其信心越小,超额收益越低。最后,本文根据实证研究的结果,结合中国证券市场的现实,对进一步完善和加强特别处理股票的监管,打击股票市场上的投机氛围,引导投资者理性投资提出建议。
[Abstract]:According to the special treatment stock specific risk and return characteristics, the need to develop a unique regulatory rules on it. At the same time, the market performance of some related regulations will directly or indirectly affect the ST stock. From the beginning in 1998 the implementation of the special treatment system for abnormal situation of shares of listed companies since the system has been modified, gradually perfect in practice. In order to regulate the defects from the backdoor operation, introduced in 2011, the Commission mergers and acquisitions of new regulations, the regulations also have great influence on the special treatment stocks. At the same time, according to the implementation of the July 7, 2012 "Shanghai Stock Exchange Listing Rules (2012 Amendment)", for the ST shares Zhaimao conditions turn over all significant relaxation. The income characteristic research of ST stock for a long time, and the change of ST stock market a series of new regulations after the introduction of the prison It is of great theoretical and practical significance to strengthen the supervision of the stock of the plate and maintain the good order of the stock market.
First of all, based on the published literatures, the excess return to choose as a starting point for analysis of special treatment stock risk return characteristics, selection of the excess income index, this paper not only considers the researchers use the cumulative abnormal returns, and taking into account the different duration between different window analysis of stocks, in order to relevant indicators can be compared the introduction of the year, the cumulative excess return.
Then, to calculate the excess income, normal income to get stock. In order to get the normal income, the model was used to analyze the applicability of CAPM model construction preparation stage. That system risk in CAPM model represented by beta does explain most of the stock returns. So we still use CAPM model to calculate the normal stock returns.
Finally, this paper uses descriptive analysis and multiple regression analysis for the special treatment stock for empirical analysis. Mainly using the method of event study and multiple regression analysis method, from 2007, 2008 two years special treatment stocks for the comparison sample detailed analysis of its risk return characteristics. Analysis of the characteristics of excess returns and market announcement by event analysis of the reaction. And further refinement may examine some sample groups, non economic variables affect the excess return, so that after the paper as explanatory variables into a multivariate regression analysis. Compared with the then in 2011 are special treated samples as the acquisitions of new regulations and a series of new policy after the introduction of the sample, descriptive analysis found in two samples of risk return characteristics and market performance are very different, the multivariate regression analysis also found between excess returns to The source is very different.
The study found that the sample stock of ST statement and short term changes in the unfavorable system does have significant negative effects, there are obvious reactions of stardom uncap. In addition, the descriptive analysis found that different duration, different place of listing, the different processing methods, excess stock returns in different industries have different characteristics from the year was. Processing, 2007 and 2008 are special treatment stocks overall excess returns and there is no big difference between 2007 and 2008, the excess return characteristics of special treatment stocks combined with 2011 special treatment stocks are significantly different. In addition, the results of multiple regression analysis found that 2007 and 2008 samples of excess returns only a small part can be explained, from some of the major explanatory variables associated with the restructuring of value: 1. market capitalization, small cap companies excess returns higher; 2. asset quality, asset quality is better. The company more excess profits; 3. net assets per share, net assets per share decreased the company excess returns greater and excess returns can be used most of the sample in 2011 operating situation and growth related variables and the company explained: 1. net assets per share, net assets per share higher stock excess return is higher; the rate of growth of 2. main business income, the main business revenue growth faster, the greater the excess income; 3. earnings per share (-1,1), in the range of earnings per share, the lower the future profitability of the market always bring the greater the effect of the enterprise, the operating performance of torsion of excess income is higher; in (infty, -1) between the earnings per share is lower, the smaller the confidence of investors, excess returns are low.
Finally, according to the results of empirical research, combined with the reality of China's securities market, we will further improve and strengthen the supervision of special handling stocks, fight against speculative atmosphere in stock market, and guide investors to invest rationally.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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