股权分置改革与股票需求价格弹性——基于供给需求的理论框架和经验证据  

The Split-share Structure Reform and the Price Elasticity of Stock Demand——Based on the Framework of Supply and Demand and Empirical Findings

作　　者：郦金梁[1] 廖理[1] 沈红波[2] 

机构地区：[1]清华大学经济管理学院,北京100084 [2]复旦大学金融研究院,上海200433

出　　处：《中国工业经济》2010年第2期36-46,共11页China Industrial Economics

基　　金：国家社会科学基金项目"股权分置改革对我国资本市场和公司治理的影响研究"(批准号08BJY151)

摘　　要：股票需求的完全价格弹性这一假设是许多金融理论的基础。然而,真实市场上的股票并非是相互替代的,股价与市场供给有关。本文在中国股权分置改革的背景下,建立股票供给和需求的理论模型,分析在需求和供给变动两个冲击下,流通股股东的累积超额收益。我们进而利用市场模型和市场调整模型,计算流通股股东在股改复牌前后的累积超额收益,并分析检验其截面影响因素。实证检验发现,累积超额收益和远期股票供给量成负相关关系。在控制流通股供给冲击效应之后,我们还发现公司盈利能力和非流通股集中度与股改价格效应负相关。进一步考虑市场时机和内生性问题后,结论仍然稳健。本文创造性地度量了股权分置改革经济价值的市场预期,并提供了需求曲线斜率为负的经验证据。Many financial theories are based on the assumption that individual stocks have infinite price elasticity of demand. However, in the real stock market, the stocks can＇t he perfectly substituted; the price of stock is influenced by the market supply. Under the background of the split-share structure reform, the paper establishes the theory model of supply and demand of stock, analyses the cumulated abnormal return of tradable shares under the two shocks of demand and supply. We further calculate the cumulated abnormal return of tradable shares and analyses the cross-sectional factors after the resumption of trading using market model and market adjusted model. Empirical tests tell us the cumulated abnormal return is negative with the supply of equity forward. We find that the price effect of non-tradable shares reform is negative with the profitability of a firm and the concentration ratio of non-tradable shares. The conclusion remains robust after considering the market opportunity and endogeneity. This paper creatively measures the economic value of market expectation, provides the empirical evidence that the slope of demand curve is negative.

关 键 词：股权分置改革 市场反应 价格压力 公司治理 

分 类 号：F276.6[经济管理—企业管理]