我国A股上市公司送转股行为的市场反应和影响研究

发布时间：2018-06-19 23:16

本文选题：送转股 + 超额收益　；参考：《浙江工业大学》2013年硕士论文

【摘要】：股利政策作为公司的三大财务决策之一,一直是理论界与实务界关注的热点。虽然送转行为没有产生实际的现金流入流出,也不改变公司的资本结构,仅仅是公司所有者权益内部结构的变化,从理论上看并不改变公司的价值。然而在实际中却并非如此,上市公司频繁实施送转,投资者对于送转概念股的偏好,恰恰说明了送转股产生的市场反应及影响满足了相关利益者的某种需求。目前,国内学者对送转行为的深入研究还相对较少,因此,全面观察研究送转行为的市场反应和影响就具有更为重要的意义。本文通过事件研究法,以送转预案公告日和除权除息日为事件研究日,对事件日的市场反应进行了研究,并进一步通过比较分析和回归分析对异常收益的影响因素进行了考察。同时,对送转前后公司股票流动性和波动性的变化特征及影响因素进行实证检验。全面分析了送转事件的市场反应和影响因素,获得了如下的研究结果。首先,预案公告日存在显著为正的异常收益,而除权除息日存在显著为负的异常收益,异常收益受送转比例、公司股价、市场行情和收益波动等因素的影响,且各因素对预案公告日与除权除息日的异常收益影响方向相反,显示市场对待送转事件存在话题炒作。其次,在流动性上,送转行为并未引起公司流动性在送转前后的显著变化,但引起公司股票流动性在除权日附近显著上升,说明流动性在我国解释力有限,送转事件更多的是吸引市场关注；而在波动性上,送转后波动性显著增加,意味着噪声交易增加,送转吸引了更多中小投资者的参与；研究还发现,送转引起的流动性变化受市场行情和送转比例影响,送转引起的波动性变化则受送转比例影响。最后,研究发现填权效应受市场行情影响存在随机性,送转事件对控股股东财富无负面影响。在我国证券市场上送转事件非理性行为和炒作风气较重,需投资者和监管机构的关注。
[Abstract]:Dividend policy, as one of the three major financial decisions, has always been the focus of attention in theoretical and practical circles. Although the transfer behavior does not produce actual cash inflow and outflow, nor does it change the capital structure of the company, it is only the change of the internal structure of the owner's equity of the company, which in theory does not change the value of the company. However, this is not the case in practice. Listed companies frequently carry out transfer, and the preference of investors for the transfer of concept stocks shows that the market reaction and influence of transferring stocks meet the needs of relevant stakeholders. At present, the domestic scholars have relatively few in-depth research on the transfer behavior, so it is more important to observe and study the market reaction and influence of the transmission behavior in a comprehensive way. This paper studies the market reaction of the event day by means of the event research method, taking the announcement day of the transfer plan and the day of excluding the right and excluding interest as the event research day, and further investigates the influencing factors of the abnormal return by means of comparative analysis and regression analysis. At the same time, the change characteristics and influencing factors of stock liquidity and volatility before and after transfer are tested empirically. The market reaction and influencing factors are analyzed, and the following results are obtained. First of all, there are significant positive abnormal returns on the announcement date of the plan, while abnormal returns are significantly negative on the dividend day. The abnormal returns are affected by the transfer ratio, the stock price of the company, the market prices, and the volatility of earnings, and so on. And the influence of various factors on the abnormal income of the announcement date of the plan and the day of excluding the right and interest is opposite, which indicates that there is a topic of speculation in the treatment of the transfer event in the market. Secondly, in terms of liquidity, the transfer behavior does not cause significant changes in corporate liquidity before and after transfer, but causes a significant increase in corporate stock liquidity near the right exclusion date, indicating that liquidity is limited in China. In terms of volatility, volatility increases significantly, which means more noise transactions and more small and medium-sized investors. The study also found that, The liquidity change caused by the transfer is affected by the market price and the ratio of the transfer, while the volatility caused by the transmission is affected by the ratio. Finally, it is found that the effect of filling rights is random under the influence of market price, and that the transfer event has no negative effect on the wealth of controlling shareholders. The irrational behavior and speculation in China's securities market need the attention of investors and regulators.
【学位授予单位】：浙江工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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