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大小非解禁对股东财富效应的短期影响研究

发布时间:2019-01-05 04:09  文章来源:笔耕文化传播
【摘要】:股权分置改革是中国证券市场上影响最为深远的一项改革举措,消除了流通股与非流通股在流通制度上的差异,使原来不能上市流通的限售股逐渐获得了流通权。但是,改革设计之初,对上市公司部分股票的上市流通日期做出了限制,大小非随之产生,成为股权分置改革的遗留问题。2006年6月17日,三一重工作为第一家试点公司拉开了大小非解禁的序幕,从此股改限售股陆续进入了可流通的状态。 大小非解禁使得大量的限售股流通到二级市场,打破了股票市场的供求平衡,股市面临巨大的扩容压力,这在一定程度上影响了我国股票市场的健康稳定发展。从个体股民到机构投资者,股东的财富在大小非解禁前后必定会受到不同程度的影响,如何对大小非解禁进行分析和鉴定并找到应对策略,成为了当前的一个重要任务。本文在总结前人对大小非解禁的研究基础之上,采用理论与实证相结合、定性与定量相结合的方法,从大小非解禁的由来、历程、规模以及对整个股市的理论影响出发,对大小非解禁的现状进行分析,并选择285家大小非解禁的上市公司进行短期股东财富效应的研究。 短期股东财富效应是指证券市场各种因素引起股价发生波动而给股东带来的额外收益。本文以2008年1月到2013年6月在沪深两市首次进行大小非解禁的A股上市公司作为研究样本,首先运用事件研究方法计算累计超额收益率,分市场对大小非解禁前后的股东财富效应进行研究,并建立多元回归模型,使用SPSS软件进行描述性统计和回归,分析解禁比例、平均换手率、总资产、市净率和净资产收益率对股东财富效应的影响。研究得出以下结论:(1)大小非解禁日前,整体市场的样本股票的财富效应为负,证明市场受消息效应和市场预期的影响强烈;解禁后,市场逐步消化了不良预期和恐慌心理,股价重新回到正常水平。(2)大小非解禁对个股的财富效应影响不一。(3)从整体上看,大小非解禁对样本股票的超额收益存在正效应,影响结果好于市场预期。(4)回归分析发现,大小非解禁比例(RATIO)与股东财富存在负相关关系,说明大小非解禁规模对股东财富产生负面冲击。同时,大小非解禁的财富效应受整体经济形势和市场环境的影响显著。文章最后,从政府监管、公司治理和投资者三个角度提出了相关的政策建议。
[Abstract]:The reform of split share structure is one of the most far-reaching reform measures in China's securities market, which eliminates the difference between circulating shares and non-tradable shares, and makes the restricted shares that cannot be listed and circulated gradually gain the circulation right. However, at the beginning of the reform design, restrictions were made on the date of circulation of some of the shares of listed companies, and the size and size of the shares were not followed, which became a legacy of the reform of the split share structure. Sany heavy Industry as the first pilot company to open the size of the prologue of non-lifting, since then into the restricted shares into the circulation of the state. The non-lifting of the ban makes a large number of restricted stocks circulate to the secondary market, which breaks the balance of supply and demand in the stock market, and the stock market is faced with enormous pressure of expansion, which to some extent affects the healthy and stable development of the stock market in China. From individual shareholders to institutional investors, the wealth of shareholders is bound to be affected by different degrees before and after the lifting of the prohibition. How to analyze, identify and find countermeasures for the non-lifting of the prohibition has become an important task at present. On the basis of summarizing the previous researches on the non-lifting of the prohibition, this paper uses the combination of theory and practice, the combination of qualitative and quantitative methods, starting from the origin, history, scale and the theoretical impact on the whole stock market. This paper analyzes the current situation of the non-lifting of the prohibition, and selects 285 listed companies to study the effect of short-term shareholder wealth. The short-term shareholder wealth effect refers to the additional income caused by various factors in the stock market. In this paper, from January 2008 to June 2013 in Shanghai and Shenzhen stock markets for the first time in the size of non-de-banned A-share listed companies as a research sample, first of all, using the event study method to calculate the cumulative excess return rate. The paper studies the shareholder wealth effect before and after the non-lifting of the ban, establishes the multiple regression model, uses SPSS software to carry out descriptive statistics and regression, analyzes the proportion of lifting the ban, the average turnover rate, the total assets, and so on. The effect of P / E ratio and net Asset return on shareholder's Wealth effect. The conclusions are as follows: (1) the wealth effect of the sample stock in the whole market is negative before the non-lifting day, which proves that the market is strongly influenced by the news effect and the market expectation; After the lifting of the ban, the market gradually digested bad expectations and panic psychology, and the stock price returned to normal level. (2) the effect of non-lifting of the ban on the wealth of individual stocks is different. (3) overall, There is a positive effect on the excess return of the sample stock, and the effect is better than the market expectation. (4) regression analysis shows that there is a negative correlation between the size non-lifting ratio (RATIO) and shareholder wealth. It shows that the scale of non-lifting of the ban has a negative impact on shareholder wealth. At the same time, the large and small non-lifting wealth effects are significantly affected by the overall economic situation and market environment. Finally, the paper puts forward the relevant policy recommendations from the three angles of government supervision, corporate governance and investors.
【学位授予单位】:中南林业科技大学
【学位级别】:硕士
【学位授予年份】:2014
【分类号】:F832.51

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