我国上市公司控股权转让信息披露前后的股价变化研究
|
摘要
上市公司控股权的转让往往会导致股价发生较大幅度的变动,为了给所有的投资者营造一个公平的市场环境,就需要上市公司及时?准确地履行信息披露义务,如果信息披露的时机和内容被刻意操纵就容易导致内幕交易,内幕交易者就容易获得巨额超常收益?我国上市公司近几年来发生了大量的控股权转让事件,公司的股价往往在信息披露前就开始发生大幅度的异动?本文以我国上市公司1997年至2001年间发生的大量主动性的?实质性的控股权转让事件为研究对象,通过对它们的股价在信息披露前240个交易日和披露后120个交易日间的变动规律进行实证分析,得出了四个方面的结论:(一)我国股市存在比较明显也比较严重的内幕交易和股价操纵现象;(二)内幕交易的状况随着市场的发展在不断迅速演变,内幕交易的利益体现得越来越明显;(三)深圳?上海两个市场具有相似的内幕交易市场特征;(四)上市公司有关高管人员的诚信值得怀疑?文章还介绍了我国证券市场对信息披露和禁止内幕交易的监管历史和现行状况,对其中存在的问题和产生的原因进行了剖析,并根据研究分析结果向监管当局和投资者提出了建议?
The listed companies' transfer of control usually causes change of trading price.A fair market needs it's listed companies to disclose information promptly and accurately. Manipulating disclosure of information often brings about insider trading which causes abnormal return.A large number of listed companies' transfer of control have been transferred these years in China,but their trading price usually has abnormal change before information disclosed.This thesis studied the affaires of listed companies' transfer of control during 1997 to 2001,and carried out demonstrative analyses on their price change during the period of disclosure of information to reach to the conclusion that:(Ⅰ)There are serious and obvious affairs of insider trading and manipulation of trading price in China's stock market;(Ⅱ)The character of insider trading changes rapidly with the development of stock market;(Ⅲ)The character of insider trading in Shenzhen Stock Exchange and Shanghai Stock Exchange are very similar;(Ⅳ)It's doubtful about the faith of the senior management persons to their companies.The thesis also introduced the history and current situation of China's securities regulatory authority how to supervise insider trading and regularize disclosure of Information.Moreover, the thesis analysed the problem of China's stock market and the causes of insider trading.Finally,it gave some advice to the securities regulatory authority and popular investors according to the analytic conclusion.
The listed companies' transfer of control usually causes change of trading price.A fair market needs it's listed companies to disclose information promptly and accurately. Manipulating disclosure of information often brings about insider trading which causes abnormal return.A large number of listed companies' transfer of control have been transferred these years in China,but their trading price usually has abnormal change before information disclosed.This thesis studied the affaires of listed companies' transfer of control during 1997 to 2001,and carried out demonstrative analyses on their price change during the period of disclosure of information to reach to the conclusion that:(Ⅰ)There are serious and obvious affairs of insider trading and manipulation of trading price in China's stock market;(Ⅱ)The character of insider trading changes rapidly with the development of stock market;(Ⅲ)The character of insider trading in Shenzhen Stock Exchange and Shanghai Stock Exchange are very similar;(Ⅳ)It's doubtful about the faith of the senior management persons to their companies.The thesis also introduced the history and current situation of China's securities regulatory authority how to supervise insider trading and regularize disclosure of Information.Moreover, the thesis analysed the problem of China's stock market and the causes of insider trading.Finally,it gave some advice to the securities regulatory authority and popular investors according to the analytic conclusion.
引文
[1] 李子奈:《计量经济学方法与应用》,清华大学出版社,1994年
[2] 徐国祥?檀向球:《我国A股市场系统性风险的实证研究》
[3] 陈希孺:《概率论与数理统计》,中国科技大学出版社,1996年
[4] 张水泉?韩德宗:《上海股票市场股利与配股效应的实证研究》,《预测》1997年第3期
[5] 唐齐鸣?李春涛:《中国股市降息效应的统计分析》,《统计研究》2000年第4期
[6] 郭显光?易晓文:《中国股票市场的效率性分析》,《统计学》2000年第1期
[7] 杨朝军?蔡明超?刘波:《上海股市基于会计信息反应半强式有效性实证分析》,《预测》1999年第5期
[8] 何佳?何基报?刘胜军:《规范信息披露制度 打击内幕交易行为》,《中国证券报》第8版,2002年5月28日
[9] 陆正飞?汤立斌?卢英武:《中国证券市场信息披露监管:问题?原因及对策》,《中国证券报》第14版,2002年7月15日
[10] 侯晓阳?徐瑾:《中国股市新股长期投资回报实证研究》,《证券时报》第9版,2001年10月27日
[11] 秦宛顺?王永红:《中国A股与B股价格差异的实证分析》,《数量经济技术经济研究》2000年第5期
[12] Agrawal Anup and Mandlker Gershon N.,Large shareholders and the mornitoring of managers-the case of antitakeover charter amendments',Journal of Financial & Quantitative Analysis, No.25, 1990, 143-161
[13] Bagnoli M. and Lipman B. L.,Stock price Manipulation Through Takeover Bids,Rand Journal of Economics,No.27,1996,124-147
[14] Bebchuk Lucien A.,Takeover Bid Below The Expected Value of Minority shares, Journal of Financial & Quantitative Analysis,No.24, 1989,171-184
[15] Bittlingmayer George,Stock Returns,Real Activity,and the Trust Question,Journal of Finance, No.47,1992,1701-1730
[16] Fama E.,Efficient capital market:a review of theory and empirical work,Journal of Finance,1970,383-417
[17] Elton E. J.,Gruber M J.,Modern portfolio theory and investment analysis.,John Wiley & Sons,1987,418-425
[18] Mitchell M. and Mulherin J.,The Impact of Public Information on the Stock Market,Journal of Finance, No.3,1999
[19] Michaely R.,Thaler R.,and Womack K.G., Price Reactions to Dividend Inltiations and Mission:Overreact or Drift? Journal of Finance,June,1995
[20] Kim O. and Verrecchia R.Trading Volume and Price Reaction to Public Announcements,Journal of Accountion Research,29,1991
[21] Blair Margret M.,Ownership and Control:Rethinking Corporate Governance for the Twenty-First Century,Washington(D.C.),Brooking Instition,1995
[2] 徐国祥?檀向球:《我国A股市场系统性风险的实证研究》
[3] 陈希孺:《概率论与数理统计》,中国科技大学出版社,1996年
[4] 张水泉?韩德宗:《上海股票市场股利与配股效应的实证研究》,《预测》1997年第3期
[5] 唐齐鸣?李春涛:《中国股市降息效应的统计分析》,《统计研究》2000年第4期
[6] 郭显光?易晓文:《中国股票市场的效率性分析》,《统计学》2000年第1期
[7] 杨朝军?蔡明超?刘波:《上海股市基于会计信息反应半强式有效性实证分析》,《预测》1999年第5期
[8] 何佳?何基报?刘胜军:《规范信息披露制度 打击内幕交易行为》,《中国证券报》第8版,2002年5月28日
[9] 陆正飞?汤立斌?卢英武:《中国证券市场信息披露监管:问题?原因及对策》,《中国证券报》第14版,2002年7月15日
[10] 侯晓阳?徐瑾:《中国股市新股长期投资回报实证研究》,《证券时报》第9版,2001年10月27日
[11] 秦宛顺?王永红:《中国A股与B股价格差异的实证分析》,《数量经济技术经济研究》2000年第5期
[12] Agrawal Anup and Mandlker Gershon N.,Large shareholders and the mornitoring of managers-the case of antitakeover charter amendments',Journal of Financial & Quantitative Analysis, No.25, 1990, 143-161
[13] Bagnoli M. and Lipman B. L.,Stock price Manipulation Through Takeover Bids,Rand Journal of Economics,No.27,1996,124-147
[14] Bebchuk Lucien A.,Takeover Bid Below The Expected Value of Minority shares, Journal of Financial & Quantitative Analysis,No.24, 1989,171-184
[15] Bittlingmayer George,Stock Returns,Real Activity,and the Trust Question,Journal of Finance, No.47,1992,1701-1730
[16] Fama E.,Efficient capital market:a review of theory and empirical work,Journal of Finance,1970,383-417
[17] Elton E. J.,Gruber M J.,Modern portfolio theory and investment analysis.,John Wiley & Sons,1987,418-425
[18] Mitchell M. and Mulherin J.,The Impact of Public Information on the Stock Market,Journal of Finance, No.3,1999
[19] Michaely R.,Thaler R.,and Womack K.G., Price Reactions to Dividend Inltiations and Mission:Overreact or Drift? Journal of Finance,June,1995
[20] Kim O. and Verrecchia R.Trading Volume and Price Reaction to Public Announcements,Journal of Accountion Research,29,1991
[21] Blair Margret M.,Ownership and Control:Rethinking Corporate Governance for the Twenty-First Century,Washington(D.C.),Brooking Instition,1995