上市公司大小非减持影响因素的实证分析  

Empirical Study on Factors Affecting the Floating of Non-tradable Shares of Listed Companies

作　　者：沈红波[1] 郦金梁[2] 屠亦婷[2] 

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

出　　处：《中国工业经济》2011年第1期109-119,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：本文以2006年6月—2009年12月的大小非减持事件为研究对象,从控制权市场、处置效应、信息优势的角度,检验了影响大小非减持比例的因素。实证研究发现:①大非的减持比例显著低于小非,但控制权市场并不显著影响减持比例;②处置效应是影响大小非减持比例的主要原因,在市场单边下跌的过程中,处置效应的作用体现得更加明显,这表明大小非的减持行为更多地受到市场情绪的影响;③当上市公司披露业绩低于分析师预期时,在业绩披露前期大非减持比例高,这揭示了大非作为内部人具有一定的信息优势。This article studies the floating of non-tradable shares during the period from June 2006 to December 2009 from the angle of the market for corporate control,the disposition effect and information superiority.The empirical study found that： ①The floating of non-tradable shares with large size is significantly lower than that with small size,but the market for corporate control does not significantly affect the proportion of floating;②Disposition effect is the main reason to affect the size of the floating of non-tradable shares,and in the process of market＇s side down,the influences become more pronounced,suggesting that the floating of non-tradable shares is greatly affected by the market sentiment;③In case that the disclosed performance of listed companies is lower than which analysts expected,the floating of non-tradable shares with large size is high before the disclosure,which implies that non-tradable shares with large size acting as insiders have some information superiority.

关 键 词：大小非减持 控制权市场 处置效应 信息优势 

分 类 号：F276.6[经济管理—企业管理]