摘要
大股东减持行为一直备受投资者关注。研究大股东减持对股票收益率的抑制作用对于进一步规范大股东行为和促进我国资本市场健康发展具有重要意义。本文以2008—2022年沪深两市所有上市公司的大股东减持数据为样本,定量评估了大股东减持对股票收益率的抑制作用,同时考虑了股权质押这一变相减持形式对股票收益率的影响。研究结果表明,大股东减持对股票收益率有显著的抑制作用。此外,股权质押率越高,股票收益率越低。异质性研究发现,大股东减持对国有企业和非国有企业股票收益率的影响程度不同,对国有企业的影响更大。相比于国有企业,股权质押更可能成为非国有企业大股东变相减持的方式,从而对股票收益率造成影响,需要投资者加以关注。最后,本文为我国减持新规的进一步优化设计提出了相关政策建议。
Large shareholders'reduction is an important factor affecting stock returns.The research on large shareholders'reduction is of great significance in regulating the behavior of major shareholders and promoting the healthy development of the capital market.This paper uses the data of large shareholders'reductions of listed companies from 2008 to 2022 as an example to study the impact of large shareholders'reduction on stock yield,and at the same time takes into account the role of equity pledge,which is a disguised form of large shareholders'reduction,on stock yield.The results show that large shareholders'reduction has a significant dampening effect on stock returns.Secondly,equity pledge is a disguised form of shareholding reduction carried out by major shareholders,and the higher the equity pledge rate,the lower the company's stock return.Finally,this paper finds that large shareholders'reductions and equity pledges have different degrees of impact on stock returns for SOEs and non-SOEs,with a greater impact on SOEs.For non-state-owned enterprises,equity pledge as one of their financing methods is more likely to become one of the ways for their major shareholders to reduce their holdings in disguise,which will have an impact on stock returns and requires investors’attention.
作者
刘卓然
鞠荣华
LIU Zhuoran;JU Ronghua(China Agricultural University,Beijing 100083,China;Center for Futures and Financial Derivatives Research,Beijing 100083,China)
出处
《中国证券期货》
2024年第4期45-52,共8页
Securities & Futures of China
关键词
大股东减持
股权质押
PSM
减持新规
Large Shareholders'Reduction
Equity Pledge
PSM
New Rules on Shareholding Reduction
