摘要
由于信息不对称的客观存在,大股东增持常被价值投资者自行解读,并引起股价的异动。采用事件研究法对2015年7月9日至2018年1月23日期间中国沪深A股市场上发生的上市公司大股东增持事件展开研究,通过对大股东增持动机的分析,提出大股东增持信号效应及其影响因素的相关假设,并基于ARMA(2,2)-EGARCH(1,1)模型进行分组检验。结果发现,在股权不存在质押、股份变动比例较大、股票估值水平较低、公司员工有持股的情形下大股东增持将带来明显的超常收益;相对于大股东减持的杠杆效应,股市对大股东增持信号未表现出过度反应。因此,投资者在解读大股东增持传递的信号时应综合考虑多方面因素,监管机构应敦促上市公司大股东规范实施增持行为以及时传递准确的信号。
Due to information asymmetry,major shareholders’increasing holdings is often considered positive by investors.But it often turns out that major shareholders are taking advantage of information for extra benefits.This paper studies the major shareholders’increasing holdings in the listed companies in the Shanghai and Shenzhen A-share markets from July 9,2015 to January 23,2018,analyzes their motivations andalso makes assumptions about its signal effects and influencing factors.It finally performs group tests on the basis of the ARMA(2,2)-EGARCH(1,1)model.The results show that the increase in major shareholders’holdings results in significantly extra returns if there are no pledge of equity,a large proportion of share changes,a low level of stock valuation,or the company employees’holdings.Besides,compared with the leverage effect caused by the signal of major shareholders’reduction,the stock market is not overacting to the increase in holdings of major shareholders.Therefore,investors should view objectively the signals from large shareholders’increasing holdings.As for regulators,they need to supervise the major shareholders to prevent them from misleading the investors.
出处
《东南大学学报（哲学社会科学版）》
CSSCI
2018年第5期49-64,共16页
Journal of Southeast University(Philosophy and Social Science)
