经营现金流信息含量、机构投资者持股比例与股价暴跌风险的关系研究

发布时间：2018-08-09 12:46

【摘要】：上市公司股价“暴涨暴跌”是一个全球性的金融现象，相比资本市场发达的国外，我国股市的暴跌现象更加频繁，仅在1997到2008年11年期间，我国股市就经历了四次大的暴跌现象，发生暴跌的平均时间为22.5个月，，平均跌幅为51.65%，最暴跌幅为80.3%，个股的暴跌现象更是司空见惯（腾泰等，2008）。“暴跌”现象所带来的股价暴跌风险（stock price crash），巨大地冲击和破坏资本市场健康发展和投资者个人财富，因而备受监管者、投资者和学术界关注。近年来，伴随着金融危机的爆发，“股价暴跌风险”已经成为宏观经济与微观财务学的热点研究问题。特别是在当前我国经济取得快速增长而金融风险和脆弱性逐渐积累的情况下，研究该问题对于规避我国资本市场金融风险和实现我国股市稳定发展有很大的理论和现实意义。本文选取了2003-2011年沪、深A股上市公司相关数据为研究样本。首先，本文从经营现金流（OCF）信息含量与股价暴跌风险是否有负相关关系入手，采用Gu et al.(2005)的2种方法度量经营现金流信息含量，调查经营现金流在股价暴跌上是否有预测作用，研究发现经营现金流信息含量增多，股价暴跌风险降低。其次，在研究经营现金流信息含量与股价暴跌风险负相关关系的基础之上，加入机构投资者持股比例与经营现金流信息含量的交叉项，以研究机构投资者持股比例的提高是否有利于增强经营现金流信息含量与股价暴跌风险负相关关系，研究发现机构投资者持股比例越高，股价暴跌风险与经营现金流信息含量的负相关关系增强。
[Abstract]:"soaring and plummeting" stock price of listed companies is a global financial phenomenon. Compared with foreign countries with developed capital markets, the stock market plummeting in our country is more frequent, only in the period of 1997 to 2008 11 years. China's stock market has experienced four big plummeting phenomena, the average time of the collapse is 22.5 months, the average decline is 51.65, the most violent drop is 80.3, the decline of individual stocks is more common (Teng Tai et al. 2008). The "plummeting stock price" phenomenon brings about the risk that (stock price crash), will greatly impact and destroy the healthy development of capital markets and the individual wealth of investors, so it has attracted the attention of regulators, investors and academics. In recent years, with the outbreak of financial crisis, "the risk of stock price collapse" has become a hot issue in macroeconomic and micro-finance. Especially under the circumstance of rapid economic growth and gradual accumulation of financial risks and vulnerabilities in our country, it is of great theoretical and practical significance to study this problem for avoiding the financial risks in China's capital market and realizing the stable development of China's stock market. This article selects 2003-2011 Shanghai, Shenzhen A-share listed companies related data as research samples. First of all, starting with the negative correlation between the (OCF) information content of operating cash flow and the risk of stock price collapse, this paper uses two methods of Gu et al. (2005) to measure the information content of operating cash flow, and to investigate whether the operating cash flow can predict the stock price collapse. The study found that the information content of operating cash flow increased and the risk of stock price plummeting decreased. Secondly, on the basis of studying the negative correlation between the information content of operating cash flow and the risk of stock price plummeting, we add the cross term between the proportion of institutional investors' shareholding and the information content of operating cash flow. To study whether the increase of institutional investors' shareholding ratio is beneficial to increase the information content of operating cash flow and the risk of stock price plummeting, it is found that the higher the proportion of institutional investors' holdings is, The negative correlation between the risk of stock price collapse and the information content of operating cash flow is enhanced.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F830.42

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