股权分置对中国资本市场实证研究的影响及模型修正  

The Effects of Split Share Structure on the Empirical Capital Market Research in China and the Corrections

作　　者：杨丹[1] 魏韫新[2] 叶建明[3] 

机构地区：[1]西南财经大学工商管理学院,610074 [2]西南财经大学会计学院硕士生,401140 [3]西南财经大学会计学院

出　　处：《经济研究》2008年第3期73-86,共14页Economic Research Journal

基　　金：国家自然科学基金项目(编号70672112);教育部“新世纪优秀人才支持计划”(批准号NCET-06-0816)的资助;财政部全国会计学术带头人后备人才培训项目;西南财经大学“211工程”、“151工程”支持

摘　　要：流通股和非流通股并存的特殊股权制度影响到中国上市公司股价和股数科学合理的确定,进而影响到几乎所有的中国股票市场实证研究结果。股权分置改革全部完成之后,涉及股改前数据的所有实证研究和数据库建设也都不能忽视改革前后的股数和股价的不可比问题。现有的基于股权分置的指标修正方法五花八门,也缺少合理的经济逻辑和数据支持。本文证明忽视股权分置现实,或者不适当的修正都将导致偏颇的结论,进而提出了一个通用的修正方法,即每股非流通股的价格相当于每股流通股的一个百分比。然后用实际数据对这个百分比的表达式进行了估计,从而对股权分置条件下价格模型与回报率模型进行了修正。结果显示,经过修正后的模型估计优于未修正的模型。在此基础上,我们研究了现在的全流通改革是否公平地补偿了流通股股东。结果显示,对于非流通股比率较小的公司,补偿是公平的,但对于非流通股比率较高的公司,还是存在着大的非流通股股东剥削流通股股东的现象。The coexistence of tradable and non-tradable shares affects the calculations of the market value of a firm, and influences virtually all the results in the empirical capital market research using data from China. The effect arises from the finding that each non-tradable share is worth less than one tradable share. The problem will continue to exist for any research utilizing historical data before the combination of two types of shares. We show that different assumptions about the price of non-tradable shares lead to significantly different empirical results, and a scientific correction is of crucial importance. In this paper, we propose a method which defines the price of a non-tradable share as a fraction of that of a tradable share. The fraction is then estimated through a model. We show that our method leads to estimates that are economically more meaningful than existing alternatives. As an extension of our method, we study the whether the tradable shares were compensated fairly during the reform of the split share structure. We find tradable shares are fairly compensated for the companies with lower fraction of non-tradable shares. For firms with high fraction of non-tradable shares, tradable shares were exploited by the non-tradable shareholders.

关 键 词：股权分置 指标计算 模型修正 实证研究 股改对价比率 

分 类 号：F832.51[经济管理—金融学]