我国上市公司大股东增持、减持动机及市场效应研究

发布时间：2018-04-25 20:24

本文选题：大股东增减持行为 + 增减持动机　；参考：《江西财经大学》2013年硕士论文

【摘要】：我国学者对于大股东行为的研究起步较晚，源于我国股票市场建立之初制度上的缺陷，直到2005年后的股权分置改革，出现了一段时间大股东减持的高峰，再到2008年暴跌行情下《上市公司解除限售存量股份转让指导意见》及《关于修改〈上市公司收购管理办法〉第六十三条的决定》的出台，又出现了一段增持的高潮之后，大股东的增减持行为才得到学者们的关注与研究，但总体来看，相关的研究还偏少，但相关内容对规范大股东增减持行为、维护广大投资者的利益、维持市场的稳定和发展却非常重要。本文的第二章首先总结了一下大股东研究方面的历史文献，国外的文献更多的是内部人研究，而国内对这类问题的研究出现的较晚，可以看到，大股东增减持股票的动机复杂多样，各种文章并没有得到统一的结论，并且缺乏对增减持行为异同的对比分析，同时增减持行为与市场上股票的走势也息息相关，但就市场效应的研究缺乏细致的分析与理论解释，这些都为这一领域继续研究留下了空间。其次，本文第三章围绕着大股东的交易行为进行了分析，主要总结了大股东市场交易行为的优势、大股东市场交易行为的具体动机及交易行为的时机选择。本文的第四章是从实证假设开始引入，从估值水平、业绩前景、股票波动风险、股东性质、股权情况、市场指数累计收益6个方面提出了6大符合一般经济意义的假设，并围绕着这6个方面选取了11个解释变量，分别为市盈率、市净率、净资产收益率、每股现金流量净额、流动资产总资产比、资产负债率、日换手率、股东性质为国有与否的虚拟变量、股东性质为公司与否的虚拟变量、股权集中度、市场指数累计收益率，接着按照定义对样本数据进行了筛选及统计，大股东增减持行为动机的研究采用了多元线性回归分析，并对线性回归的常见问题进行检验分析，再根据检验的结果进行了加权最小二乘的调整回归，对得出的结果分析得到以下结论：相同的解释变量对增持和减持行为的解释程度大不相同，其中对增持行为缺乏解释力度，不显著的是股东性质变量中的国有性质与否的虚拟变量，与大股东增持比例成反比的有市盈率、资产负债率、股权集中度、市场指数累计收益率，与大股东增持比例成正比的是每股现金流量净额，公司类型股东会更多的为公司长远着想，从而其更倾向于在二级市场增持股票；对减持行为缺乏解释力度的解释变量为股权集中度，说明大股东的减持行为不会因为大股东持股比例过高而增加减持比例，其也会考虑到减持对控制权的影响，与大股东减持比例成反比的包括净资产收益率、每股现金流量净额，与大股东减持比例成正比的包括市净率、日换手率，而国有型、公司型股东会更少的减持公司的股票；而从影响程度来看，大股东增减持行为更多是基于对业绩前景、股票波动风险、股东性质、市场累计收益4大类因素的判断，，而估值水平、股权情况的影响较小。本文第五章大股东增减持行为的市场效应的实证研究采用了事件研究法，以增减持公告前后20个交易日为窗口期，计算了窗口期内股票的平均超额收益率和累计平均超额收益率，并对累计平均超额收益率做了显著性异于零的t检验，接着分了总体样本、大盘走势分类样本、股东性质分类样本、持股排名分类样本、所属板块分类样本、增减持比例分类样本六个部分进行了分析与比较，得出的结论包括大股东增减持行为的市场效应都存在，并且在增减持前就存在累计平均超额收益率的变化，增减持公告信息存在事前泄露，增持行为下，大盘处于下降趋势中、国有股东增持行为、第一大股东增持行为的正的市场效应更大，主板与创业板股票在短期正的市场效应相当，从更长窗口期来看，主板股票正的市场效应更好，而增持比例与累计平均超额收益率没有显著的相关关系；从减持行为来看，大盘处于震荡趋势下，减持的负的市场效应最大，非国有股东、非第一大股东的减持行为在短期负的市场效应更大，但在更长的窗口期里，国有、第一大股东的负的市场效应更大，中小、创业板相对主板负的市场效应更大，但其负的市场效应传导性有限，而减持比例与累计平均超额收益率没有显著地相关关系。最后一章对全文做了结论总结并根据市场投资者、上市公司、市场管理方提出了相关政策建议。
[Abstract]:The research on the behavior of large shareholders in China started relatively late, and it originated from the defects in the initial system of the establishment of the stock market in China. Until 2005, there was a peak of the reduction of the shareholders in a period of time, and then to the 2008 plummeting market, the listed companies relieved the stock transfer stock transfer guidance and revised After the introduction of the decision of the purchase and management of listed companies, the decision of sixty-third articles has come on, and after a high tide of increase, the increase or decrease of the large shareholders has been paid attention to and studied by the scholars. However, in general, the related research is still small, but the related content has been carried out to maintain the interests of the large investors and maintain the interests of the investors and maintain the interests of the large investors. The stability and development of the market is very important.
The second chapter of this article first summarizes the historical literature of the major shareholders' research, and more of the foreign literature is the insider research, and the domestic research on this kind of problem appears later. It can be seen that the motivation of the large shareholders to increase and decrease the stock holding is complex and varied. For the comparison and analysis of similarities and differences, at the same time, increasing or decreasing holding behavior is closely related to the trend of stock on the market, but the research on market effect lacks detailed analysis and theoretical explanation. All these have left space for further research in this field. Secondly, the third chapter focuses on the analysis of the trading behavior of large shareholders, mainly summarizing the big stock. The advantages of trading behavior in the Eastern market, the specific motivation of large shareholders' market trading behavior and the timing of trading behavior.
The fourth chapter of this article is introduced from the empirical hypothesis. From the valuation level, the performance prospect, the stock volatility risk, the stockholder's nature, the stock ownership situation and the market index accumulative income, it puts forward the 6 hypotheses which conforms to the general economic significance, and selects 11 explanatory variables around these 6 aspects, namely, the price earnings ratio, the market net rate and the net income. The profit rate, the net cash flow per share, the total assets ratio of the current assets, the ratio of assets and liabilities, the exchange rate of the daily turnover, the nature of the shareholders as the virtual variables of the state or not, the virtual variables of the company or not by the shareholders, the concentration of shares, the cumulative yield of the market index, and then the selection and statistics of the sample data according to the definition, and the increase or decrease of the large shareholders. Multi linear regression analysis is adopted in the study of motivation, and the common problems of linear regression are tested and analyzed, and then the weighted least squares adjustment and regression are carried out according to the results of the test. The lack of explanation of the holding behavior is not significant. It is not significantly the virtual variable of the state-owned property in the shareholder's nature variable. It has the price earnings ratio, the asset liability ratio, the equity concentration, the cumulative return rate of the market index, and the net cash flow per share of the large shareholders, and the company type shareholders will be even more. It is more likely to be long term for the company, so it is more inclined to increase stock in the two level market; the explanatory variable of the lack of explanation for the reduction behavior is the ownership concentration, which indicates that the large shareholder's reduction behavior will not increase the reduction ratio because of the high proportion of shareholders' shareholding, and it also considers the effect of reduction on control and the reduction of the large shareholders. The ratio, including net assets yield and net cash flow per share, is proportional to the reduction ratio of large shareholders, including the market net rate, daily turnover rate, and the state-owned type, and the company type shareholders will reduce the stock of the company less; and from the degree of influence, the larger shareholders' holding behavior is based on the performance prospect and the stock volatility risk, The nature of shareholders and the 4 main factors of market cumulative income are relatively low, while the level of valuation is less affected by equity.
The fifth chapter of this paper is an empirical study on the market effect of large shareholders' increasing or decreasing behavior. In order to increase or reduce the 20 trading days before and after the announcement, the average excess rate of return and the cumulative average excess rate of return in the window period are calculated, and the cumulative average excess return rate is significantly different from zero t test. We have divided the overall sample, the sample of the big market trend, the classification sample of the shareholders, the sample of the stockholding rank, the sample of the plate, the six parts of the sample, the conclusion includes the existence of the market effect of the large shareholder's increase or decrease, and the cumulative average before the increase or decrease. The change of the rate of excess returns, the increase or reduction of the announcement information exists in advance, under the increasing holding behavior, the market is in the downward trend, the holding behavior of the state-owned shareholders, the positive market effect of the first big shareholders, the market effect of the main board and the gem stock in the short-term positive market effect, from the longer window period, the market effect of the main board stock is positive. There is no significant correlation between the increase ratio and the cumulative average excess rate of return. From the point of view of the reduction, the market effect of the reduction is the largest, the non state shareholders and the non first major shareholders have greater market effect in the short term, but in the longer window period, the state-owned and the first largest stock market share. The negative market effect is larger in the East, and the negative market effect of the gem is greater, but the negative market effect is limited, and the reduction ratio has no significant correlation with the cumulative average excess rate of return.
The last chapter makes a conclusion to the whole paper and puts forward relevant policy recommendations according to market investors, listed companies and market management.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

【参考文献】